I currently use IQFeed and their tick history, I believe, is the SIP quote and trade feeds merged as they received it in real time. That's fine except there are too many instances of lag between the two feeds to reliably determine where the trade occurred relative to the NBBO at execution time. Would I need to purchase TAQ from each exchange to do this properly? Does a data provider sell this already normalized and merged across exchanges? (I know I'm not going to get a perfect account of the trade aggressor this way...I'm more focused on where the trade happened relative to NBBO)
Thanks, I sent them a message. They didn't seem able to directly address whether the same issues would be present in their data, but they're sending a sample where I should be able to determine it for myself.
Nanex ----"strange financial events," provides an application programming interface. - i like it already, lol... Hunsader's views, as well as the record of market transactions released by Nanex, have been cited in many financial analyses done in news articles about strange financial events, such as the 2010 Flash Crash,[7][6] the Gold Flash Crash in early January 2014,[8][9][10][11][12] and suspicious trading patterns.[13][14][15] ----- Nanex is a firm that offers streaming market data services, and real-time analysis and visualization tools. They offer data on all market transactions to their clients who are typically traders and other financial analysis firms. Nanex is the creator and developer of NxCore, a ticker plant that delivers streaming whole market data from Telvent DTN and provides an application programming interface. The company was founded in 2000 and is located in Winnetka, Illinois.[2][1][3] The founder and CEO of Nanex, Eric Scott Hunsader, is a vocal critic of some aspects of high-frequency trading and has clashed on Twitter with defenders of the system.[4][5] Hunsader's firm is known for having coined the term quote stuffing.[6] Bloomberg called Nanex the "nemesis" of high-frequency traders.[1][3] Hunsader's views, as well as the record of market transactions released by Nanex, have been cited in many financial analyses done in news articles about strange financial events, such as the 2010 Flash Crash,[7][6] the Gold Flash Crash in early January 2014,[8][9][10][11][12] and suspicious trading patterns.[13][14][15] Type Private Industry Software engineering Founded 2000; 20 years ago Founder Eric Scott Hunsader Headquarters Winnetka, Illinois, Chicago metropolitan area Key people Eric Scott Hunsader (CEO) Products Financial market data Stock Market Services streaming data Number of employees 8[1] (2013) Website www.nanex.net
I could be wrong, but I believe Nanex and IQFeed are the same people and the latency problems which apply to IQFeed also apply to NxCore. This is to do with the physical location of their severs. Of course, beyond IQFeed and NxCore everything gets very expensive.
Yep, I think you're right that they're owned by the same parent company. However, I'm not worried about real time latency. The lag I referred to is the lack of synchronization between the SIP trades and SIP quotes feed. My understanding is that IQFeed merges and stores the two as they receive them in real time. So it's pretty easy for them to get out of sync and then that persists in the historical data. Plus, they're only saving the bid/ask at the time of the trade, not the entire quote stream. I don't think NxCore works this way, but that doesn't mean they're synchronization is suitable either. Still working on the answer to that.
Well, two reasons. The first is that IQFeed cautions about this. At least, I believe I read that in their forum from one of their reps. The second reason is that it's easy to see when reviewing a tick history response. You'll see a trade (with last qualified conditions) paired with a bid/ask that it falls outside of; then just a few entries before, you'll see the bid/ask where the trade came from. The lag is variable (and sometimes nonexistent) so it's impossible to code around.
Iqfeed sold Nxcore for a while but they are separate companies. See the owner of nxcore in this documentary 18.30 mins stalking CME Aurora data centre in his Audi convertible. Thomas Peterffy invents the iPad in 1983 as well.
Eric Hundsader I’ve listened to on chatwithtraders and a couple documentaries on flash crash/black boxes from vpro I think it is. As far as he’s talked, the ticker plant, software and API are his creation and his business. He uses DTN network to get it out and handle the subscription side of it. Something happened probably last year and their on their own now. Know their was some posts here about hiccups when this happened but haven’t seen any issues here in awhile. Seeing his part in documentary and seeing the data they have, quite impressive. Seeing where retail was seeing the SIP while the market was 30-40 seconds ahead of what everyone saw was an eye opener. SEC seems to think it’s fine. Seems they offer a great product if you need that data granularity. Can’t remember the exact number but it’s something like a terabyte of data a day their collecting when you take mostly the options exchanges and their bid/ask changes throughout the day.