What Data Feed and FIX broker would you recommend?

Discussion in 'Data Sets and Feeds' started by amelkoni, Mar 29, 2006.

  1. amelkoni


    I would truly appreciate if anyone could help with these questions:

    What Data Feed vendor would you recommend to receive streaming quotes (including Level II) with TCP/IP socket interface that could work on UNIX platform - with documented protocol / API?

    What broker would you recommend that accepts FIX order execution requests - with documented protocol / API?

  2. I highly recommend Lime

    They have a very nice pure java api (yes, it's fast!) . Also, the api doesn't depend on some huge monolithic application like IB's does.

    I'm receiving realtime full depth book data as well as level II, nasdaq totalView, all the ecns and the SIAC feed. All their quotes are timestamped at the source with millisecond accuracy where the exchange supports it. Also, invidual feed connections/disconnects/alerts are handled very gracefully thru the API. Order entry is also extremely flexibile and allows advanced algorithmic orders routing thru GSAT (goldmans algo trading) if you're into that.

    Also, I wouldn't get too hung up on FIX, the api is more than adequate and much simpler than the full FIX specification.
  3. Steve_IB

    Steve_IB Interactive Brokers

    You can use IB - and you do not need to use the TWS platform for this.
    You can recieve market data via our API and use a FIX CTCI for order management.

    Theres a bunch of information here:
    and under the website Software section.
  4. francis1

    francis1 ET Sponsor


    I love IB but your FIX implementation does not support order book download, account info and fill download. It also required that a Java gateway be running on the local machine.

    Are there plans to add those improvements and get rid of the Java gateway?


  5. francis1

    francis1 ET Sponsor


    If you absolutely want FIX then I suggest you take a look at TT. Their implementation is full featured and service is excellent.

  6. afarouk


    What is TT ?
    please excuse my ignorance :)
  7. francis1

    francis1 ET Sponsor

    Trading Technologies
  8. squeeze


    TT are an ISV so they only supply trading software and not brokerage.
    Hence, if you wish to use the TT platform you will need to find a broker that supports it.

    I can be a good idea to source data independently from whoever you execute through. This means you can look around for the broker with the best deal and connect using FIX. Once you start using data from the broker it is very difficult to move to another.

    For example, you could source data from DTN, Comstock, Reuters or via the Bloomberg data license and then you will have a broad range of brokers to use as most will support FIX for professional trading accounts.
  9. patrickj


    they have a forum for users. not sure if there is much talk about API (which I know they have and support) but they are good about responding to posts in their forum.

  10. kjsnow25


    It really depends on what markets you want to trade as well. TT s going to be focussed more on futures, whereas somewhere like Lime, mentioned in the front of the thread is equities based.

    There are several decisions to make when exploring, including where your data is from (direct, or a repackaged consolidator, etc) and how independent the API is. Some API's have FIX connectivity, some don't.

    Not only that, but you have to see how important latency is in the entire equation for you. FIX can be fast, but can also be slowed down. Some may want to have the access to a slew of brokers and markets, that's why FIX attempts to standardize connectivity. However, the rush to standardize data CAN slow things down. It's really up to you.

    Your list of what is truly important - and what markets you are involved in - really need to be incorporated. Sometimes a combo of a good front end, a great API, and a good broker with a good short list, etc, end up being three separate decisions.

    That being said, there sure are a fair amount of crappy recco's on this board, you really do have to seek out best in breed.
    #10     Apr 5, 2006