Do I want a market knowledge feed? Which one? What’s the distinction?
All of those are frequent questions for merchants and the reply isn’t the identical for each market.
On this publish we are going to check out the totally different knowledge feed varieties and their options so you can also make an informed determination on what you have to.
To get began, let’s study the 2 major market knowledge feed varieties, execution and knowledge feeds.
Execution Feeds Versus Quote Feeds (knowledge solely)
There are two major forms of knowledge feeds, execution and quote feeds that are generally known as knowledge solely feeds.
Execution feeds assist you to route orders to the alternate and obtain alternate confirmations. Execution feeds also can present quotes.
Most execution feeds use the FIX API protocol to ship order knowledge and obtain affirmation from the alternate. The Monetary Data eXchange (FIX), is the first info and knowledge protocol execution feeds use to disseminate value and commerce info.
Quote Feeds merely present real-time and historic knowledge, no order routing. So what’s the purpose of a quote feed?
Your dealer could not present the info sort or high quality of information that you simply want in your buying and selling type, which is able to make sense shortly.
Aggregated versus Non-Aggregated Knowledge Feeds
Non-aggregated knowledge feeds present knowledge in actual time because it happens.
Aggregated knowledge feeds ship a cluster of information at a predetermined charge, set by the info feed supplier.
For instance, Interactive brokers pulses their futures knowledge each 250 ms. Due to this fact, you’re receiving a snapshot of the market 4 time per second. When you’re utilizing knowledge intensive charts, odds are you might expertise some lag or your chats freezing with IB’s knowledge feed.
The charting software program and forms of indicators you utilize instantly influence the kind of knowledge feed you want. Explicit chart varieties and indicators are extra knowledge intensive than others.
For instance, to formulate and show a standard candlestick, your charting software program wants the Open, Excessive, Low, and Shut value for a complete of 4 knowledge factors.
Examine that to the amount profile on the best which requires tons of, if not hundreds of information factors relying on the interval dimension.
When you’re utilizing knowledge intensive charts, you’re going to desire a non-aggregated knowledge feed. We’ll have a look at some choices shortly.
Futures Market Knowledge Feeds
The futures market is extra superior than equities, and as consequence the info choices are extra à la carte . Most merchants new to futures have a number of confusion on the subject of knowledge feeds so let’s break down a number of the key variations.
Market by Order (MBO) Versus Market by Worth (MBP)
Historically the Chicago Mercantile Change offered MBP knowledge solely.
Market by Worth (MBP) is a price-based knowledge feed. MBP restricts updates to a most of ten value ranges for the bid and ask and consolidates all the amount right into a single replace for every value stage, which incorporates complete amount and variety of orders.
Particular person order sizes and queue place can’t be decided with a lot accuracy utilizing MBP knowledge.
In an effort to extend transparency, the Chicago Mercantile Change launched a brand new knowledge sort, Market by Order.
Market by Order (MBO) is an order based mostly knowledge feed that gives knowledge to view the person queue place of orders, the dimensions of every order at every value stage, as properly a full depth of e-book.
The instance above illustrates the variations between MBO and MBP knowledge.
If we study the ask on the 4025.75 deal with on each the MBP and MBO instance, you’ll discover that MBP offers us with the entire order rely (2) and complete amount (100).
Market by Order knowledge goes a stage deeper. Now you might be supplied with each order and it’s dimension (49 &51) as properly the queue during which the orders will likely be stuffed.
To assist illustrate this much more, let’s check out a Depth of Market (DOM) with MBP knowledge versus MBO knowledge.
The above DOM is an instance of Market by Worth Knowledge. Discover the way it solely reveals the entire orders on the bid and ask, not the person order sizes or queue.
The above DOM is an instance of Market by Order Knowledge. Discover how one can now see the person order sizes and queue during which they are going to be stuffed. (Notice: I’ve a filter set to cover orders lower than 5 contracts) On the bid, the order that’s furthest proper is first within the queue. On the supply, the order that’s furthest left is first within the queue.
Each charting package deal can have totally different choices when it comes to MBO knowledge will be displayed.
MBO or MBP?
As an order circulate dealer, I acknowledge the worth of analyzing marketed orders and the sting it could actually present. Nevertheless, for private causes I’ve primarily centered on executed orders for the final 10 years of my profession. Due to this fact, I personally don’t have a number of use for MBO knowledge, but I nonetheless have it.
There are some charting software program choices like Bookmap that use order dimension and queue to detect issues like artificial Iceberg orders which is fairly cool. But, I feel a number of new merchants get caught up in all of the bells and whistles previous to understanding what they’re truly analyzing.
For instance, there’s algorithms written particularly to seem like artificial iceberg orders, one thing it’s essential consider if icebergs are going to be a part of your technique.
Finally it boils all the way down to your buying and selling type. When you’re a swing dealer, the extra knowledge MBO provides almost definitely gained’t be of use to you. When you commerce on brief intervals and analyze marketed orders, you’re going to need MBO knowledge.
Keep in mind the extra knowledge your processing the extra reminiscence your laptop will want in addition to a quick web connection or you may expertise lag.
IMPORTANT: You need to test that your charting software program helps MBO knowledge, in addition to what feeds it helps. For instance, on the time of penning this publish, dxFeed does present MBO knowledge however MotiveWave (charting software program I take advantage of) doesn’t assist all of the performance for dxFeed akin to order queue and dimension. When you’re on MotiveWave and wish MBO knowledge and all of it performance you’ll have to use Rithmic.
Futures Knowledge Feed Choices (execution)
Let’s check out a number of the variations between the first execution feeds within the futures market.
Rithmic.com Highlights
- Non-aggregated
- Market by Order
- Full Market Depth – See each order at each value stage
- Tick by tick historic knowledge up till contract begin date
- Auto-liquidate – Permits a dealer to set a max day by day loss, when hit positions are liquidated and account is locked for the rest of day.
- Plugin-in Mode – Hook up with a number of platforms with one single feed.
- No breadth indicators
CQG.com Highlights
- Non-aggregated
- Market by Worth
- Restricted Market Depth – Usually 10 bids deep and 10 asks deep
- Tick by tick historic knowledge as much as 30 days
- Consists of breadth indicators
TradingTechnologies.com Highlights
- Non-aggregated
- Market by Order
- Restricted Market Depth
- Tick by tick historic knowledge, restricted
Notice: Being that they’re execution feeds, Rithmic, CQG, and TT are bought instantly by means of your dealer.
Interactive Brokers Highlights
- Aggregated
- Market by Worth
- Restricted Market Depth
- Tick by tick historic knowledge, restricted
Dealer sellers akin to Interactive Brokers and TD Ameritrade present their very own execution feed. The issue you’re going to run into is that they mixture their knowledge. I couldn’t discover what TD Ameritrade pulses their knowledge at however beneath is what IB has on their web site.
When you’re undecided, make certain to e-mail your dealer assist group.
Quote Feeds (knowledge solely)
There are a number of knowledge solely feeds accessible to you as a dealer. I’ve personally used dxFeed and iqFeed and would suggest both supplier.
dxFeed.com Highlights
- Knowledge solely, not an execution feed
- Non-aggregated
- MBP & MBO Knowledge
- A number of Markets
- High of E-book or Full Market Depth choices
dxFeed offers real-time, historic, calculated market knowledge through a number of APIs for shares, derivatives, commodities, treasuries, indices, and foreign exchange.
You may choose totally different bundles relying on what markets you commerce. You choose what charting software program you’re utilizing, checkout, they usually e-mail you the login credentials in your particular charting software program.
iqFeed.internet Highlights
- Knowledge solely, not an execution feed
- Non-aggregated
- MBP & MBO Knowledge
- A number of Markets
- High of E-book or Full Market Depth choices
iqFeed is owned by DTN which is a large knowledge supplier throughout a number of totally different industries. They’re similar to dxFeed and supply real-time, historic, calculated market knowledge through a number of APIs for shares, derivatives, commodities, treasuries, indices, and foreign exchange.
iqFeed is barely costlier than dxFeed however nonetheless an amazing possibility.
Foreign exchange Knowledge Feeds
As an order circulate dealer, the standard of the info is essential. The issue with Foreign exchange is there isn’t a centralized alternate, so that you’re by no means going to have the entire image regardless of the place you get your knowledge from.
If Foreign exchange is the market you wish to commerce I’d begin by emailing your dealer and discovering out the place their knowledge is coming from.
You’ll almost definitely discover one of the best luck utilizing a knowledge solely feed from dxFeed or iqFeed . They supply a composite foreign exchange feed from a number of main Foreign exchange contributors together with Prime Banks and monetary establishments. https://dxfeed.com/market-data/fx/forex-feeds/
Ultimate Ideas
I hope this publish clears up a number of the confusion on the entire totally different market knowledge feeds.
You probably have a feed you’re utilizing not talked about on this publish, be happy to share a remark beneath of the positives and negatives.
When you’re nonetheless caught and debating what charting software program you’re going to make use of, take a look at our critiques on a number of choices.