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Also to eyeball it and make sure it's correct: data = client.timeseries.stream(dataset='GLBX.MDP3', schema='ohlcv-1m', # 1 min bars instead stype_in='smart', symbols=['ES.v.0']...

Easy to do this with Databento: import databento as db import pandas as pd client = db.Historical(key='YOUR_API_KEY') data = client.timeseries.stream(dataset='GLBX.MDP3', schema='ohlcv-1h', stype_in='smart', # use smart...

Actually — usually, no. 1. The data belongs to the trading venue(s). It doesn't belong to the third party or broker(s). They themselves have to license the data for redistribution from the trading venue(s). 2. Most trading venues take the position that their data becomes free to redistribute...

Usually the bars shouldn't print on tradeless intervals, and options trade very sparsely, so it should be slightly smaller when sampled at minute frequency. Also, options have GTH so it's not merely 0930 to 1600 — see this Cboe notice and this OPRA notice. We'll be covering options soon...

CTO: Cool, didn't hear about this before. I didn't demo this, but on a glance, I feel the main potential value-add here is not the all-in-one aspect but the fact that the reporting process is integrated and automated/simplified on the web platform. We've seen most of the top 5 fund...

? It makes sense to acquire a BD or FCM, but taking over an investment fund and its manager to jumpstart the regulatory and setup process seems like a bad idea. The due diligence costs and time alone will exceed that of starting from a clean slate, plus it will automatically trigger LP review...

From our CTO: I've gone through this and handled tax and regulatory audits, plus Form ADV, blue sky filings etc. Most law firms will take on the formation docs, subscriber agreements, pitch deck review, and PPM for anywhere around $50k to $120k, depending on the complexity — lower end if you...

Two institutional offerings we've seen for this include Redline Trading Solutions and Deltix. However we'd generally recommend you to build it yourself. There are so many simulation edge cases that you can't really treat it as a black box. Shameless plug for Databento: We do it make it easier...

You can try us: https://databento.com Currently about 3.5 years available from 2019 to 2022. We're extending this to 2017 by around the end of year.

Pretty much. Pages 70-72 have an example: https://www.sec.gov/rules/proposed/2022/34-96495.pdf The order goes through an auction process that lasts less than a second, during which counterparties can submit an auction response. The wholesaler would need to get an cancel ack for the order or...

Hey all, I'd like to draw your attention to three SEC proposals this week that will have significant impact on your order execution quality if passed. These will be the biggest changes of this decade to US stock market structure. - SEC Proposes Amendments to Enhance Disclosure of Order...

Thank you so much. It's words like this that really get us going. I've shared your message with the team. Your pricing feedback is most helpful. A main reason we've not yet opened to public signups is that we're still refining our pricing to make it work along the full adoption curve, from...

My bad, I should've been clearer. I'm referring to when the user obtains Firm Admin Dashboard access and then gets permitted by the FCM to create iLink session IDs associated with the FCM and/or Tag 50 operator IDs by themselves. More trivially, CME treats any user that obtains a dedicated...

Do keep in mind that cost and latency can be competing optimizations. If you acquire an exchange membership or create a tag 50, you might suddenly be subject to a host of data license fees that you were previously able to avoid.

If it's only minimizing cost you're after, folks on my team have had pretty good past experiences with (in alphabetical order): - ABN Amro - FC Stone - Wedbush Futures around the order of 10~100k ES contracts per day. They're all ISV-independent, so you can pick your choice of colocation...

Yes, we considered GraphQL but felt for market data that it's actually less expressive than the kind of proprietary "streaming query" frameworks that many of the top prop firms have and that we envision adding later on. We might migrate to GraphQL for the semi-private API used by our portal SPA...

Veering a bit off-topic here but I thought it might be informative to share our thoughts on REST: Our live APIs will be streaming APIs - you establish a session, send a subscription message, and listen for messages. So it won't be idiomatic to keep polling on them every 1 second; it's more...

The way we think of it is as follows: The live license for the data needs to be activated on the UI before you can start streaming it via our live APIs (raw TCP or WebSocket). Activation mainly involves electronic execution and submission of the license agreement(s) to the venue. Otherwise your...

Thanks for the advice. Yes we can commiserate and indeed our UI will make it very obvious what the licensing fees are; we've actually been working directly with our exchange sales reps for the design. Happy to hear that you like the UI. There are still many known issues and bugs before we're...

Because of the way our live protocol is designed, all of its users have real-time access. So even if you only choose to wait T+15 minutes to request for the data, you'll still be categorized a real-time user. As for how the real-time fees apply thereafter, it depends. For Nasdaq TotalView-ITCH...