Hello, I've been looking for a reliable fast data vendor for US indices. I'm interested in real time tick-by-tick data and speed is a top priority here. I've used IQFeed but i believe there should be something faster than that. Does anyone knows or can suggest a faster one?
Fastest Market Data Vendor
- Thread starter eliteyusii
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Robert Morse
Sponsor
To get an ultra fast feed, you will need to be hosted and pay non-display fees which are very expensive. You can also try and contact the CBOE and ask what they sell direct to the public without a vendor. On a sidenote, it’s not clear to me that the indexes are distributed tick by tick. As an example, I think SPX updates every 15 seconds. You’d get better tick by tick data with the futures.
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Robert Morse
Sponsor
https://www.orats.com/ is a sponsor on ET. You can reach out to them also.
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What is it about display fees that you seem to be often talking about? I know they exist (no need to post links) but no other broker ever mentions them,only you. Even brokers who provide api access. Did Definitions of "display fees" change over time? Before it seems the exchanges wanted to fleece everyone with api access. Now it's only for hosted or colocated solutions?
Robert Morse
Sponsor
The SIP feeds (Exchanges) want to charge these higher fees when the Realtime data is consumed without a display. Any open API where data pass through is subject to them. Some of the large brokers and Bloomberg have been fighting them. We had to stop. The typical argument is what is Realtime? Some like Bloomberg only provide data on query not streaming. Some delay the data a small amount. If you contact any data provider like ACTIV Financial, they will tell you about it. Even the CME has non-display fees now, just much lower fees than NYSE. https://www.cmegroup.com/market-dat...-guidelines-and-non-display-licensing-faq.pdf.
Bloomberg provides streaming Realtime data through its bpipe and api and does not charge non display fees. So does Refinitiv. Interactive Brokers does not charge one either. I understand BB or Refinitiv may swallow the fees themselves in exchange for charging much larger data fees to its end customers. But Interactive Brokers definitely does not do that. If they were subject to non display fees they would charge it to their customers. They don't. Hence I don't think it's so straightforward as you think?
Robert Morse
Sponsor
Mazedonia- I try my best to provide accurate information and adding links helps me show that the majority of my posts are not my opinion. I'm not sure what purpose it serves for you to convey that non-display fees are not real because you know data providers that are non-compliant. The owners of the data created this fee back in 2014 and they are actively looking to enforce this. When you contact data providers that do not comply, you will find they do not like to respond to emails about it. With regard to Bloomberg, they say they do not stream live data on their basic API, not me. https://data.bloomberglp.com/professional/sites/10/2017/03/BLPAPI-Core-User-Guide.pdf
2.1. API Capabilities - Data is requested by issuing a Request and is returned in one or more Messages—based on response size. A wide variety of Requests is available from reference to historic. Some of these features are not available to all users on all products.
This is not streaming live data. This is data by request.
You might like to read this too. https://www.sec.gov/litigation/opinions/2018/34-83755.pdf This is Bloomberg fighting the SIP feeds through the SEC. Read Section C. "The second is Bloomberg Market Data Feed (“B-PIPE”), which can be used for automated, algorithmic, or other ‘black box’ applications. The parties have not disputed that Bloomberg B-PIPE is a non-display service subject to the Non-Display Use and access fees."
2.1. API Capabilities - Data is requested by issuing a Request and is returned in one or more Messages—based on response size. A wide variety of Requests is available from reference to historic. Some of these features are not available to all users on all products.
This is not streaming live data. This is data by request.
You might like to read this too. https://www.sec.gov/litigation/opinions/2018/34-83755.pdf This is Bloomberg fighting the SIP feeds through the SEC. Read Section C. "The second is Bloomberg Market Data Feed (“B-PIPE”), which can be used for automated, algorithmic, or other ‘black box’ applications. The parties have not disputed that Bloomberg B-PIPE is a non-display service subject to the Non-Display Use and access fees."
I think you misread my post and intention. All I said is that it's obviously not as straightforward as you think when most other brokers do in fact not charge non display fees. I looked up your past posts and you seemed to be one of the very few or only one insisting on non display fees having to be charged for those who trade automated algorithms, regardless of whether its an entity or individual, pro or non pro. I guess we can both agree that Interactive Brokers would not so blatantly violate or deceive exchanges given their transparency and public exposure. So, it seems apparent that those non display fees do not apply to everyone who trades automated strategies. That was my point. I did not mean to personally attack you and I don't think I did. Do those non display fees exist? Yes surely they do, but it is not clear whom they apply to.
Here is the link to standard blpapi documentation of Bloomberg. They do provide live real time streaming data via their c#, python and c++ APIs. I have used the api myself in the past. What you referenced is just one small part of their api, they have static data, historical data and live data subscriptions among many other parts of their api.
https://bloomberg.github.io/blpapi-docs/
I think it's quite a claim by you to say that all other brokers who don't charge this fee to their customers are automatically non compliant. I doubt that is true.
Here is the link to standard blpapi documentation of Bloomberg. They do provide live real time streaming data via their c#, python and c++ APIs. I have used the api myself in the past. What you referenced is just one small part of their api, they have static data, historical data and live data subscriptions among many other parts of their api.
https://bloomberg.github.io/blpapi-docs/
I think it's quite a claim by you to say that all other brokers who don't charge this fee to their customers are automatically non compliant. I doubt that is true.
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Robert Morse
Sponsor
Are you sure IB API pass through market data is real time streaming and the only delay is normalizing? Ask them. They use a technique they call "snapshot". There is nothing wrong with it except they use that to avoid non-display fees and it is not real time tick by tick data.
https://interactivebrokers.github.io/tws-api/top_data.html
This data is not tick-by-tick but consists of aggregated snapshots taken at intra-second intervals which differ depending on the type of instrument:
https://interactivebrokers.github.io/tws-api/top_data.html
This data is not tick-by-tick but consists of aggregated snapshots taken at intra-second intervals which differ depending on the type of instrument:
I used bbg real time streaming data for years and work in this space. Yes it's live streaming. You can also request snapshots but it's just an additional feature of the api.
Re IB, fair point, this could explain why IB is not impacted by that. But there are many others who do provide live streaming data and who definitely do not charge a non display fee. Polygon to my knowledge does not, neither does DTNIQ
Re IB, fair point, this could explain why IB is not impacted by that. But there are many others who do provide live streaming data and who definitely do not charge a non display fee. Polygon to my knowledge does not, neither does DTNIQ