livevol pricing is INSANE, even more expensive than TickData which is already outrageously expensive.
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ActiveTick vs. IQFeed vs. IB (TOFTT)
- Thread starter SeattleAlgo
- Start date
Aside from tick-data and live vol, I can't think of any other providers of the intra-day historical data for options. Maybe you can suggest one?Quote from fareastcoast:
livevol pricing is INSANE, even more expensive than TickData which is already outrageously expensive.
In my experience, tickdata quality is ok and their software does a reasonable job aggregating the data into 1 min bars. No matter what the provider, you have to calculate your own vol surfaces anyway, so livevol value added is zero.
Quote from sle:
Aside from tick-data and live vol, I can't think of any other providers of the intra-day historical data for options. Maybe you can suggest one?
NYX would be a third option... http://www.nyxdata.com/page/1070
Again, expen$ive.
"TAQ Options U.S. covers regional options exchange quotes, options time & quotes, concomitant stock data, options time & sales, U.S. Options & Equity derivatives quotes at 1 minute and 15 minute intervals with intraday and EOD calculations.
The TAQ Options U.S. Trades File contains a complete tick-by-tick trade report for all trades reported to OPRA."
Quote from sixsigma:
I have one simple question regarding Activetick. What market breath indicators does Activetick offer in its data feed?
IQFeed has ~500 indicators in its data feed per their web site.
I think if speed is important to you, you should not be getting the indicators from your data feed. This just slows down the feed and makes you miss more ticks because the data is slower as a result of also transmitting the indicators.
It is preferable to go with a truly professional feed product (nxcore, QuantQuote TickView, Thomson Reuters Elektron, etc) and do the indicator calculation yourself to cut down on latency.
Quote from fareastcoast:
I think if speed is important to you, you should not be getting the indicators from your data feed. This just slows down the feed and makes you miss more ticks because the data is slower as a result of also transmitting the indicators.
It is preferable to go with a truly professional feed product (nxcore, QuantQuote TickView, Thomson Reuters Elektron, etc) and do the indicator calculation yourself to cut down on latency.
The breadth indicators shouldn't impact speed (or cause you to drop ticks) in any way (unless data updating once per second is clogging your lines/processing). The process where we calculate the stats is separate and thus doesn't impact the feed in any way.
BTW: Myself and many of our customers would consider both our NxCore and IQFeed products to be "truly professional feed products". I wouldn't define "Professional" based on if the feed is a full market feed vs. a symbol based feed. Nor should latency, price or any other single attribute be used to classify professional vs retail. You are correct that if you receive a full exchange feed product such as NxCore, Reuters, etc you can calculate breadth yourself. You obviously then have more flexibility in how and what you use to calculate your breadth indicators. However, you then need to look at local CPU cycles and the management of the symbol lists (index components, etc) associated with the various breadth indicators and determine if that is costing you anything as well.
Jay Froscheiser
I think it is worth pointing out that receiving iqFeed over the internet is going to cause you to drop ticks. During busy sequences, even for the top 3000 symbols only, if you are aggregating from all exchanges, you will easily saturate a 1GBit link. In fact, in the exchange colocation world, 10GBit is now the new standard. So since you are already bandwidth limited, transmitting indicator data in addition to raw price data is simply making your bottleneck smaller.