Market Data Differences?!

A

antares66

Hello i was comparing different data feeds on a one minute basis and noticed a lot of differences i cannot understand. I compared the following:
1. Motivewave with IB
2. Tradingview
3. Quantower with dxfeed

I checked the data feeds on LIFE on 12-11-2020, a Nasdaq stock.
The one minute candles showed not always the same prices, i found IB´s datafeed showed the most movement within the one minute candle. I know IB´ datafeed is not tick by tick but the differences suprised me. Tradingview was a little bit behind IB and i think DXfeed showed the most differences in comparison to the other ones. Has someone an explanation for this? Thanks
 
They all summarize the raw tick data that contains various special type trades such as corrections, cancellations, trade summaries, delayed trades, form-t, odd lots, and other stuff. Most brokers even show false spikes resulting from delayed/late-reported and dark pool trades, which sometimes they remove later.
If you summarize this data yourself then you also would get different results from everyone else, because you’d need to decide how to clean and interpret it.
 
antares66 said:
Hello i was comparing different data feeds on a one minute basis and noticed a lot of differences i cannot understand. I compared the following:
1. Motivewave with IB
2. Tradingview
3. Quantower with dxfeed

I checked the data feeds on LIFE on 12-11-2020, a Nasdaq stock.
The one minute candles showed not always the same prices, i found IB´s datafeed showed the most movement within the one minute candle. I know IB´ datafeed is not tick by tick but the differences suprised me. Tradingview was a little bit behind IB and i think DXfeed showed the most differences in comparison to the other ones. Has someone an explanation for this? Thanks
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Hello antares66,

Your dxFeed U.S. Equities (Nasdaq Basic) Top of Book subscription provides market liquidity from Nasdaq only, while the other sources you have mentioned are most likely providing an aggregated feed from multiple exchanges. We are already working on adding a consolidated feed for U.S. Equities too.
 
It's possible these sources include "as is" and corrected data.
 
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