What is fastest S&P 500 futures datafeed with API?

Discussion in 'Data Sets and Feeds' started by GreenMan, Aug 9, 2010.

  1. GreenMan


    By “fastest” I mean the the lowest delay between tick being generated at the exchange till it come to my PC (in Europe). Especially at the moments of releasing the economic data.
  2. januson


    Look at AutomatedTrader.net , I believe they have some measures.
  3. Colocate a server at Equinix Chicago and process the data there for sub 3ms. Transporting the tick data to Europe adds approx 100ms latency. Processing time sensitive orders requires close proximity to your broker's infrastructure.

  4. GreenMan


    There is no reason to colocate in US because I'm autotrading at european exchanges. So I'm not concerned about 3-5 ms it takes for data to travel in US. What I really need is to be first to receive S&P 500 futures data in europe. How can this problem be solved?
  5. Occam


    QuantHouse, Thomson Reuters, Interactive Data, or Activ may be able to help as they either own or have relationships with the private network providers and (I think) have servers globally. My guess is that they will charge you in the realm of thousands of euros per month for this type of service.

    But if you want to be the fastest, my guess is that you'll have to roll your own with a direct CME feed and your own arrangement with a global, private network such as Radianz (if you're serious about this and are willing to pay the significant amount of money this will cost -- probably quite a few thousand a month -- then call CME and they'll tell you which provider to use). And even then you'll probably not be quite as fast as the big banks/funds in Europe, who have full-time staff and years of experience in the area.

    Hope that helps...
  6. Syprik


    What is your budget? Are we talking UHF application here or run-of-the mill intercontinental HF 20-40ms? Your location in Europe? What is infrastructure (is your "PC" colocated on a major EU exchange with fast link to stateside?).

    Recently befriended a Prague based HF Eurex trader. They are using QuantFeed and collect data @~42ms from CME to Eurex located server. Believe they offer low 30's ms NY-Paris, but don't quote me. Keep in mind 30ms intercontinental is slow if we are talking UHF and corresponding deep pockets of bulge brackets/large funds. That's an area I know very little about.
  7. The longer the race, the wider the time gap between the fastest networks, and everyone else.

    If you want to be the fastest you have to write to an exchange directly. In your case, you want to write to the CME Globex API. Collect the data in a server at the Chicago Equinex center (or talk to the CME about a pure co-location). Call a company like IPC to lease a line from Chicago to the exchange server center in Europe.

    This require a lot of coding, networking expertise, as well as high monthly payments for lines. Implement a two-tier approach to minimize costs. When developing your system be sure that you use the super fast/expensive lines for only the most time-sensitive data. Use your regular data provider for everything else.
  8. The data feed is only 1/2 of the pie. You really need low latency to your broker's infrastructure to execute. Take a look at Advantage Futures... They should be able to provide a turnkey solution.

  9. GreenMan


    What do you think about receiving CME data through CQG server in London?