Recommended API

Ok you are correct. My intention was IQFeed.
I understand that IQFeed service is based on the same technology, but it has some limited access to quotes. It is much cheaper (150$/M).
Does anyone know what is the difference?
Thanks,
Eyal
 
Your understanding is MOST likely incorrect. I do NOT think IQ is based on the same technology completely - maybe some backend, but NOT data distribution.

Do not underestimate the amount of data running through NxCore. I use Zen-Fire, and for testing purposes.... I was asking for a COMPLETE EXCHANGE FEED CME yesterday (and no, that is NOT possible with Ninja - you need a LOT more access to their backend, then you can basically ask the a complete subscription per exchange). Even during early morning I could hardly see the signals scrolling by. I was informed that during active times I should prepare for a LOT more than 30.000 notifications per second - the vast majority of that obviously bid/ask updates, and a lot of them again for options ;)

Will most likely do a recording next week for some days just to get an idea about how much data runs through there. But it is a LOT, even for a smaller exchange as CME (compared to all NASDAQ, for example - and options on stocks make me cringe for the volume there).
 
I've used both IQ Feed and NxCore, they are both provided by DTN but are completely different systems. I started with IQ Feed which is good for an individual trader that is monitoring a few hundred symbols. I upgraded to NxCore because I want to scan the entire market. I can see large blocks and momentum in all stocks as it's happening. NxCore provides subsecond timestamps, trade sequence numbers and all trades/quotes, regardless of trade condition, no filtering like other feeds. Some feeds filter out trades with a trade condition other than "regular" I want to receive all the data, not what a vendor thinks I need.

I've used many other feeds and there is no other feed that is able to provide the quantity of data as efficiently as NxCore. OPRA pushes more than 1,000,000 msg per second, if you want to receive data for all of the 300,000+ options contracts, you'll need to either need to pay a couple grand to colocate at a data provider or pay $5,000- $10,000 for a telco line to your office. Either of those options is more than the total cost for NxCore. Activ, Spryware, Comstock will charge $7500+/mo. It's truely remarkable that NxCore is able to provide the same data over a $40/month internet service.

If you're using Ameritrade or E-Trade to enter orders in a browser, NxCore's probably not for you, it's for the guy that automates trades using an API. You can use IQ Feed, eSignal, or IB for around $100/mo. If you want data for all 20,000 stocks, and you don't need OPRA I believe NxCore is around $750/mo for all equities. I know a guy that doesn't need quotes, he's a technical chart trader, I believe he receives only the executed trades no bid/ask and is paying less than $500 and his bandwidth is only a couple hundred Kbs.
 
I think what some people really igore here is the tremendous amount of stuff pushed through. NxCore API description looks delicious.

I thought the same until I got a delivery of the complete CME feed. CME is only small, not thousands of stucks, but the options and all the bid ask changes REALLY add up TREMENDOUSLY. For options, it must be like living hell - a million messages per second is something someone has to swallow first. But it makes sense. Do not forget, if the stock changes, market makers immediately change their offers for the options ;) That is a really big cascade of... bid ask changes.

Anyone thinking about the costs should also think about the costs of the backend hardware ;) This is not something you can really utilize on a laptop type of server.
 
OPRA is a lot of data, it dwarfs all other exchanges, according to FIF June 2009:
OPRA: 954,813 msg/sec
NYSE & Amex Quotes: 160,145 msg/sec
NYSE & Amex Trades: 22,328 msg/sec
CME Trades & Quotes: 14,691 msg/sec

If you don't receive OPRA NxCore can easily process all of the equities and futures on a laptop or average desktop PC.

The beauty of NxCore is it's able to provide data for the entire market using just a little more bandwidth, CPU, memory than IQ, eSignal, Real Tick, IB or other feeds that limit you to a couple hundred symbols. My NxCore uses less 10% CPU and 25 MB of memory. The issue will be if your app is efficient enough to keep up, it's not for the guy that wants to DDE into Excel or wrote a simple VB app, there's plenty of feeds that can do that.
 
Quote from Kinetic:

My NxCore uses less 10% CPU and 25 MB of memory.
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That is impressive. For comparison IQFeed uses in the range 10% - 15% of one core for 500 high volume stocks (Level I only) during the busy period after market open.
 
Good thread so far. I switched from Townsend to NxCore in January. My (modest) requirement is to scan about 2000 symbols once per minute, so the minimal (under $500/month) version of NxCore suffices. I also bought 5+ years of historical "tapes" from DTN, providing a complete database for backtesting, including all delisted symbols, splits, dividends, etc. (I can't overstate the value of having an accurate record of what actually happened each day, as opposed to the filtered historical data that other vendors offer.) While I agree that NxCore may be too expensive for the average retail trader, or too limited for an automated scalper, it is great to finally have a data service that is just right for the niche between these two extremes.
 
Quote from nitro:

Ok I have written a simple application to NxCore and I have some comments.

NxCore gave me a demo. The first thing that you notice is that this is not a retail type feed but an institutional grade feed. You don't subscribe to symbols and there is no symbol limit. You get an entire exchange and it is up to you what to filter out for your application. They do have ways to send you particular exchanges, but AFAIK that is the level of granularity of the feed. Otherwise, they do have granularity within the feed and it affects pricing. In order of rising expense, you can get just trades, NBBO, or regionals.

The demo time they give you is very small, on the order of a few days, but here is the interesting part. The application saves the "packets" to a file for the entire day. As you will see later, this gives you an indefinite demo. The API is included with the feed and it is not an extra cost. It includes a C++ and a C# wrapper program. Both worked flawlessly. The documentation is expansive and clear.

The application set includes three tools: NxCore Access, an application called "Viewer" which you can use to "replay" and inspect individual "pakets", and an IM tool that allows you to talk to the developers and tech support.

The Access application is a sort of control center that displays all sorts of information, and allows you to control your experience with the feed. The Viewer is a visual inspention tool that allows replaying and visualization of data structures of stored data. This capacity to replay data and inspect data in effect gives you the ability to continue development, since you can replay the data indefinetly even after your demo ends. In case you didn't notice, this also gives you a local historical data store for future trading system analysis. If a packet is dropped or an error occurs for any reason, the program will automatically work to get all the data stored. The interface to replay that historical data is the identical interface you use to go live, so you don't have to write two different programs.

Another really neat thing about the set of tools included is that you have this "Viewer" that while you are replaying the data, it allows you to visually inspect the data structures that contain the data. The representation uses a split screen, with a Listview/Treeview on the left and a pane on the right that displays the particular field you clicked on the left pane. This works well, so that if the structure contains a pointer, you can drill down (click on the plus or minus to open or close on the tree view on left) into those strcutures as the tree expands. The Viewer allows you to single step through the individual message data and inspect fields. This makes learning the API extremely simple, since you can compare what your application is seeing and what the Viewer is seeing. One final feature also really helps, the Viewer allows you to filter what type of messages, exchanges, etc you want to see, so you can concentrate on what you want and get up to speed quickly.

Finally one really neat thing is that you can get this data over the internet. So if you have a relatively fast internet connection, like say 16M down and a decent up, you can get this data without having to colocate or get expensive Inet connections. This is huge to the retail people that don't have the means or expertise to colocate or afford expensive point-to-point lines.

On performance, I have not done a scientific study, but they seem to be on par at least with Activ, and probably well better. They claim to have numbers that show they blow away Activ, but I have not done the study myself.

I have two beefs with NxCore.

1) This is not so much a beef as an observation. Their pricing is out of the league of 98% of retail traders. For example, if you are not a pro, and you want NBBO OPRA and NBBO ECNs over the internet, that costs $2500/M plus some minimal exchange fees. That is waaay tooo high. They need to get that under $1K/Month, without sacrificing anything you get today.

2) If you do have the means and want to colocate and get NxCore data as fast as possible, it is somewhat dissapointing, as they currently only distribute data from Chicago. So if you are interested in data that originates from NY, and you colocate your machines in NY, you still have to connect to the NxCore tickerplants in Chicago. This is unnaceptable for institutions. NxCore has to get a distribution center in NY ASAP.

Overall, NxCore is an extremely exciting new offering well worth watching and I strongly recommend demo'ing it if you understand the limitations stated above. If you research other feeds that in theory compete with NxCore on an institutional level like Activ, Spryware, etc, you begin to understand why NxCore has a very enticing business plan.

As far as retail traders, while the fact that you can get nearly a direct exchange feed over the internet is bleeding edge idea, the pricing is way out of their league.
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Nitro, this is an old post, but, is this Chicago tickerplant thing for NxCore still true (in 2012) ?

I guess I'm going to have to call these guys.
 
Quote from Occam:

NxCore gives Nasdaq Level 2 over the Internet.
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Does it give depth of market for ECNs? Like multiple levels of bids and asks for ISLAND (NASDAQ) and ARCA (NYSE)? Last time I checked (about 1.5 years ago), they did not but they were saying that they would "soon."

Also, I felt like NxCore didn't treat me that well in terms of easily getting the demo. I also had a problem cancelling the NxCore service during the trial period.
 
Quote from eyalmolad:

Hi all,
I have a beginners question for this forum.
I am developing some strategy for automated trading system.
I would like to know what is the recommended platform/broker to do this. I need to get a market data (Level I & II, Time and Sales) for around 1000 NYSE/NSDQ pre-defined quotes.

I tried 2 platforms so far:
1) Genesis - they have a limitation for 3 quotes using their API over the internet. They require me to hire a server at their server center in order to be able to access more quotes.
2) Thinkpipes - dont have a time&sales information nor level II.

Thanks,
Eyal
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NxCore, sorry, most data feeds just are not for you. Expect to either pay up, or drop requirements.

> I need to get a market data (Level I & II, Time and Sales) for around
> 1000 NYSE/NSDQ pre-defined quotes.

THIS is the problem. 1000 symbols is QUITE A lot. Most retail feeds limit in the hundreds - if that much. Some give you 50 or 100 symbols for free. 1000 is really pushing it.

Now:

> 1) Genesis - they have a limitation for 3 quotes using their API over
> the internet. They require me to hire a server at their server center in
> order to be able to access more quotes.

SO WHAT?

Seriously, processing 1000 symbols over a slow unreliable link with high latency is not my idea of a trading setup ;) The idea of a machine in a data center is not that bad.

Note:
* You can split data and trading. Thers are data providers - tons of - and brokers and trading networks. Some brokers / trading networks provide quotes, but there is no need to take all from one.
* There are ton of API providers out there ;)
* 1000 symbols is quite a lot.

http://www.futureprice.com/ may be able to provide that - they havea quite nice setup - but ;) Not released yet (beta).
 
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