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 doesnât 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
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
Yes, with IB you do need to have TWS running since you are actually communicating with it, not direct with IB server. Exchange fees - that really depends on the exchange. CME is $91. CME E-Mini is $46 As for the reduced exchange fees, you may want to refer to this: http://www.iqfeed.net/index.cfm?displayaction=data§ion=feewaiver It is not specific to IB. IQfeed just has it streamlined for IB clients.