Ideal/cheap Data feed for Medium frequency trading system

R

rohan2008

Hi Everyone,

The futures based medium frequency ATS I have been working on should have it ready in a few weeks from now. I am considering going with one of the brokers that offers Rithmic infrastructure. I have a couple of strategies that require one minute candles. I create my own charts with specific rollover rules; I focus on spreads as well. Having access to tick data is fine/cool for future strategy development, but I can live without it for now. I can tolerate the one minute candles are delayed by a few seconds (no low latency stuff). I trade currencies, eminis, GC, cocoa, 10yr note & NG. I have a few questions, any pointers are highly appreciated:

1. What would be the best (& cheapest) data feed for my situation?
2. How much does NxCore cost approx for futures?
3. IQFeed doesn’t offer CME wavier for traders who use their API… am I correct here?
3. Rithmic also provides data feed, do they charge additional exchange fees (IQFeed advertises $91 for CME, ICE etc)?
4. How about Barchart data feed?
5. I am not going to start trading all the symbols right from day one... I want gradually get into this one symbol at a time.
6. I am particularly not into IB because I don't like their API architecture... it looks like I need to keep the TWS turned on when the ATS is running; I will eventually get to start using FIX and may consider IB at that time, but for now, I would like to stick with R/API.

I would like to start making calls to the relevant brokers soon, but I just want to get your opinions before I talk to them. Any advice is highly appreciated.

Thanks,
 
if you are doing a few futures symbols, NxCore seems like a major overkill. IQFeed would easily handle that. Even if you are processing a thousand symbols, it would not be a problem. IQFeed does have CME wavier option with IB. Don't know how it works with others.
 
How do you guys feels about

1 min ibkr for stocks?

1 min ibkr for futures?

Wouldn't the free feeds be reliable enough for medium frequency ATS? Then you could use qcollector+esignal ondemand for data collection?
 
IB is fine for 1 minute frequency. They don't provide exact tick data, but for 1 minute aggregation, or even 1 second, it won't be a problem
 
j_medved said:
IB is fine for 1 minute frequency. They don't provide exact tick data, but for 1 minute aggregation, or even 1 second, it won't be a problem
More...

IB would have been my first choice but for the need (if I understand it correctly... please correct me here?) to keep tws turned on all the time. IB-FIX is not an option right away. I would like to have my 24x5 running ATS fire orders and I keep an eye on them once in a while through a trading app..R-Trader is perfect for this. Once I get some confidence, I can then move to FIX. Please correct me if I got this wrong about IB.

esignal on-demand is 15min delayed. Thats not suitable for my strategies which can tolerate upto a few tens of seconds. My concern here is mainly around the need to pay exchange fees for Real time data. Each exchange is around $91 as IQ states... this can easily add up to $300+ if I go with CME, COMEX, ICE, CBOT. Just wondering if I can get around these exchange fee since I don't need tick data. Does Rithmic provide data free similar to IB? I will be calling up Vision financials and optimus pretty soon, but I would like to be prepared with questions
 
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