Book data for garage-built algo

C

Cap'n

Hey all,
As the title suggests, we got an as-built order flow strategy. We're aggregating data ~250ms, so we don't necessarily need microseconds. We're currently assessing the data-side of the equation first before choosing a broker. What are our options here & what kind of data costs are we likely looking at? Is it best to just get the data through the broker? We've been running over AWS (QuickFIX) as we probably can't afford a hosted option.
Any advice greatly appreciated.
 
Cap'n said:
Hey all,
As the title suggests, we got an as-built order flow strategy. We're aggregating data ~250ms, so we don't necessarily need microseconds. We're currently assessing the data-side of the equation first before choosing a broker. What are our options here & what kind of data costs are we likely looking at? Is it best to just get the data through the broker? We've been running over AWS (QuickFIX) as we probably can't afford a hosted option.
Any advice greatly appreciated.
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Cap'n,

Welcome to Elite Trader. When it comes to market data from the platform, we offer Realtick EMS. If you prefer to get your own data, we can offer Lightspeed Trader and Sterling Trader Pro too. I will send you a Private Message if you want to set up a call or email me directly. My email is below.

I would like to learn more about your algo. We offer a number of algo routes that are serverside so might be faster and meet your needs. Please either post a little information about the Algo email me.

Best,
Bob
 
Cap'n said:
Futures. Volume per instrument 500-2000 contracts.
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There are a number of APIs with good market data. No reason to use a third party. We offer Realtick EMS, CQG-IC, CQG WebAPI & FIX API, CTS T4, Rithmic and Trading Technologies (TT) that all are dedicated futures platforms with APIs. Most will be WIN OS. https://www.lightspeed.com/view-platforms/
 
I use Rithmic Api (c++ R|API+) on linux for full depth futures. It's great! I typically notice a data lag of around 40-50ms from exchange timestamp to my residential internet connected workstation in Arizona. Obviously, would be lower if your closer , but that suits me.
 
@Robert Morse @IAS_LLC thank you for your time. The Dev really wants Java API which seems to limit us to IB & Patsystems (via Rosenthal?). He said he "could" do C++ but doesn't want to deal with Windows. Luckily this system is 100% custom so we have our own UI/platform/front end. We definitely need L2 data but could use L3 if we could afford it...which we most likely can't. To be clear, this is a (slowish) HFT rig for sure.
Where do you guys get historical orderbook data from? We can aggregate & match the quotes & executions from the raw feed if need be, but we reeeely don't want to go down that road again as the backtests we did like that were a total PIA to do from the test bench.
 
Cap'n said:
@Robert Morse @IAS_LLC thank you for your time. The Dev really wants Java API which seems to limit us to IB & Patsystems (via Rosenthal?). He said he "could" do C++ but doesn't want to deal with Windows. Luckily this system is 100% custom so we have our own UI/platform/front end. We definitely need L2 data but could use L3 if we could afford it...which we most likely can't. To be clear, this is a (slowish) HFT rig for sure.
Where do you guys get historical orderbook data from? We can aggregate & match the quotes & executions from the raw feed if need be, but we reeeely don't want to go down that road again as the backtests we did like that were a total PIA to do from the test bench.
More...

Does level 3 even exist for futures? Are you referring to Dbo?
 
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