Discussion in 'Order Execution' started by George Parr, Feb 16, 2009.
Filtered and Unfiltered data feed?
In this case, TT feed versus Zen-fire feed?
I'll give you my un-professional take on it. Zen-Fire (which I use) provides true tick data, meaning each tick is reported as it happens, each and every tick that was documented by the exchange, good and bad. Others, such as IB, give you a 'snapshot' of cumulative tick data (200ms worth I believe) meaning you get somewhat of an average. From what I understand, filtered tick data removes the 'noise', or what is perceived as erroneous tick data. Perception, however, is in the eye of the beholder. A swing trader may dismiss spikes or exteme tick data, but for the scalper, it is very important.
My broker actually told me there is not much difference between TT and Zen-fire.
But TT would be considered more reliable and all the floor traders use it.
is there a list somewhere of which brokers provide true tick data(unfiltered)?
Any recommendations for Filtered data feed other than IB? Ie removes out of sequence trades and bad prints on the fly
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