@MrMuppet, great reply! Thanks for contributing and confirming some of my thoughts - notably, that TraditionalFinance will have some price barriers to overcome.
You mention it may be in the thousands $ per month... Say I were willing to pay a few thousand per month for the highest speed Level-2/3 data I can get, or highest speed execution... where do I go? I'm at a complete loss as to what options even exist.
The best thing you can do - always - is to contact the exchange you want to trade on directly.
Just like in Crypto, each exchange has his own quirks and you have to figure them out first.
https://www.cmegroup.com/market-data/distributor/market-data-platform.html
Here is the CME.
As you can see, you already learn that they offer three different market data formats, have multiple channels, etc. This is important to know, because if you're only trading Globex Emission Futures, you pick a vendor that can deliver exactly that and only that.
From there you go ahead and have a look at the licensed market data vendors.
You probably won't go and purchase a membership or get your own infrastructure colocated, so you purchase a product.
https://www.cmegroup.com/market-data/licensed-distributors.html
Here you can find everyone, from FCMs to data providers to software builders, banks, you get the idea.
Either you click on each website and do your own research OR - and this is what I would do - just send an email to the CME and ask which vendor supplies the connectivity you need. Remember, 1st thing you do is check the exchanges themselves.
From my experience you can throw away everything retail. AMP, Rithmic, especially Ninjatrader...if you want to trade low latency with a working strategy just ignore them.
Second - and this is even more important: Do not use any datafeed from brokers and learn how your order is routed.
Here's why:
Different to crypto, each order you put in has to pass the brokers/clearing members risk check first, which means, your order always goes to your broker. Imagine you trade EUREX products through AMP. The exchange is in Frankfurt, but your order goes to the US first to pass the risk check...for every cancel/amend, execution message, etc. You can have the fastest feed on earth, you will always be behind if you don't account for this.
As a broker, you always want the FCM that is closest to the exchange.
Edit: Really do yourself a favour and read the rulebook of the exchange you want to trade on. I bet 99.9% of the monkeys here on ET don't even know the difference between a ZN and a GE orderbook.
But especially if you trade with a machine, be aware of how many cancels you can have per execution, what the rate limits are, which kind of orders you can use (remember that these market have an open and a close) and which kind of behaviour is not allowed.
If you fk up in crypto, you get an email from the exchange. If you do that in TradFi, you'll get a visit from authorities and hand cuffs.
