Nanex are a great service but they don't have the CME futures trade aggressor flag set. I'm not sure about their cash equities feed though.
Yeah, I don't think the stock exchanges send those anyhow, but regardless it's not there. It doesn't sound like Nanex is going to be the answer since they are passing on the consolidated feed. Since the exchanges report trades and quotes separately to the CTA, I think the lag issue is already embedded at that point. I could be wrong though as I've never bothered with this level of granularity before and am learning on the fly. Appreciate any other suggestions for feeds / methods.
You need all full depth books to accomplish what you want and they are crazy expensive. In other words, you will need to build your own consolidated tape off Raw feeds at colo’d facility.
Thanks, I had actually just reached out to them right before you sent this. Reviewing the data now. I'll try to remember to post my findings in here for posterity's sake.