NxCore and IQFeed are both owned by DTN last time I checked. Nx is just more robust for HFT. They track just about every transaction and quote event that occurs during the session.
Once you trashed the Bloomberg terminal for their data quality, your ignorance was apparent. You want to test on data that is as close to raw as possible.
Quants want to run their simulations on data that reflects the true trading session. By changing the order of the data, Quant Quote is...
You just made my point with your example. When testing a model you want the sim to be as realistic as possible. Modifying the data to the point where the data is asynchronous to what actually happened during the trading session is a very big issue for quants.
Instead of back-testing on actual...
If you have a generous budget, there is only one choice: tickdata.com. If you are passionate about obtaining the correct test results with minimal focus on the data itself, this is the way to go. Their data is as close to the exchange you are going to find from a third-party.
If your budget...