Datafeed Recommendations

[madspeculator 10]

Hello Fellow Traders:

 

I am a futures trader who trades at CME/CBOT (cmegroup) and monitors ICE. I currently use CQG as my datafeed. Unfortunately, given my cashflow situation, CQG is getting too expensive. I am a swing trader: I need real-time data and daily/weekly historical data (both price and volume). As I dont use any indicators in my trading, the charting package provided by the datafeed provider is not important for me.

 

I was wondering if any of you would recommend a good datafeed (with API support) that is stable and reliable -- I was leaning towards esignal but I read that their daily volume info lags by a day, and they have roll-over and volume issues with continuous contracts?

 

Or is there a list of datafeed providers "somewhere-out-there" that I can use to evaluate datafeed providers? I would be more than happy to evaluate the providers if there is an already available list.

 

I look forward to your response.

 

Thank you.

 

Regards,

Madspeculator.

 

P.S: Soultrader: I am not sure if this is the correct place for this thread. Would it make sense to create a datafeed fourm under "Trader Resources" section where fellow traders can comment on their experiences with their datafeed(s)? Personally, I would like to see reviews of datafeeds separated out from the software provided by the datafeed providers (e.g., CQG's datafeed from their charting package; or esignal's datafeed from their charting pacakge).

[Soultrader 12]

Hi madspeculator,

 

Please use this section for now until our review system is finished. This should create a good review list of all vendors. Once I implement that I will create a new section for datafeed comments based on current users.

 

Regarding datafeed, I am currently using IRT with IQFEED. I understand CQG is expensive. Perhaps you might want to look into it. I used esignal in the past but IQFeed seems to cost slightly less.

[darthtrader 10]

I second DTN. While I think they may have had some problems in the past as I've read some negative reviews on them, I've had no problem at all.

If you just need good data there doesn't really seem to be any competition in their price range. They do also provide access to their API I believe.

[justlurkin 10]

I've been running into a lot of headaches with datafeeds and also am looking for something reliable and cheap. Recently, I noticed that IB real time data looks different than the same data backfilled from IB, i.e. Price bars are different. Understanding that IB live data is sampled, I switched to OpenTick. I had done at that time a quick test to verify that OT live data was identical to the same data backfilled and sure enough the price bars "seemed" to be identical, so I switched.

BUT,

I started writing a decent system that used volume as an input and oddly it worked like a charm in forward tests (live) but as soon as I backfilled my data at the end of the day my indicators were all in the wrong places. All trades now were losses! It would seem that the volume data changed quite considerably.

 

So my question is, is there any data feed out there that is identical Live and backfilled (with of course a few exceptions like tick cleanup)?

 

Its almost impossible to write a system using Historical data knowing that Live is different and vice versa, anyone else in the same boat?

:crap:

[thrunner 10]

So my question is, is there any data feed out there that is identical Live and backfilled (with of course a few exceptions like tick cleanup)?

Its almost impossible to write a system using Historical data knowing that Live is different and vice versa, anyone else in the same boat?

:crap:

You will probably get more answers if you could please post a chart of live vs historical data and the chart/testing platform with one or two volume indicators. Volume data integrity is one of those dirty little secrets in data feeds. It is like making, or God forbid, eating sausages, you don't want to know how they make it ; but I guess you gotta know.

In the end, you may have to try different feeds until you find one that works with your strategy. I am guessing you are using NT, you may find Zenfire a good datafeed for your purpose.

[thrunner 10]

For example if you are doing analysis using tick charts, the volume could be aggregated differently over time so that the volume data looks quite different. Attached please find comparison of two charts from TS, one @ES and the other @ES.D (day session version of ES continuos futures); the magenta arrows show some of the differences. If you apply some indicators based on volume, you will get quite different looking signals.

 

Even the candles looked different. However, using a time chart, the differences are absent (not shown).

[justlurkin 10]

thrunner, thanks for the response. I will see if I can post some charts for analysis. At the moment, all my data ends up being backfilled for some reason or another. I will try to collect live, save it then backfill it to show the differences for the same symbol. Zen-fire sounds good and will look into it as soon as my system comes closer to completion. One point I would make between ES and ES continuous contract is that ES would be live ticks as they come in (ignoring backfilling for now) from the exchange whereas #ES would be created, massaged, and mucked with at the data provider. My guess would be #ES would end up with higher volume than ES simply because the data provider has the ability to aggregate volume as they wish. With constant volume updates throughout the day (playing catch up with the market) #ES would probably include this volume. Similar problem to the one I'm experiencing except that my symbol is YM compared to YM or #YM compared to #YM.

Will try to post some pics...

[AgeKay 10]

madspeculator, how was your experience with CQG's datafeed and API? I am looking into it to do some order book analysis which requires every single order book update in the order it occured.

[madspeculator 10]

madspeculator, how was your experience with CQG's datafeed and API? I am looking into it to do some order book analysis which requires every single order book update in the order it occured.

 

AgeKay:

 

I haven't used CQG's datafeed for order book analysis. Depending on what kind of information you need for your order book analysis, CQG might or might not work for you -- for example, if you need cancels CQG will not provide you. In general, I have found CQG to be very robost.

 

You might also want to check out a FIX interface. The information you get from a FIX interface is vastly superior to that from any prop. API provided by market data vendors.

 

Hope this is helpful.

 

All the best.

 

Regards,

MadSpeculator.

[AgeKay 10]

MadSpeculator, thanks for your reply.

if you need cancels CQG will not provide you.

 

What do you mean with "cancels"?

 

You might also want to check out a FIX interface. The information you get from a FIX interface is vastly superior to that from any prop. API provided by market data vendors.

 

Right. Thanks for the suggestion. Do you know of a good data vendor that offers FIX that gets its data from the Eurex EBS interface or CEF ultra+ Eurex from Deutsche Börse? I know TT offers FIX and connects to EBS but my broker doesn't allow two platforms (I already have X_Trader and TT FIX counts as a platform).