Short survey for market research regarding Real-time Futures market data

Discussion in 'Data Sets and Feeds' started by lancem, Dec 12, 2018.

  1. lancem


    Hi everyone I am doing a market research. I plan to provide real-time streaming market data for Futures trading.
    If you trade Futures or plan to trade Futures, please consider filling out my short survey. It has only 5 questions and will take no longer than 20 seconds of your time.

    Any input is very much appreciated. This survey will help me to price and shape the service for the community. Thank you in advance!
  2. fan27


    The first question has the following in it:

    "This data feed is not meant for Live trading."

    Why would I want a real time data feed that I can't live trade with?
  3. lancem


    Hi fan27. It can be used for backtesting, charting, simulation, etc. I will provide a standalone desktop application and an API for algo trading. The quotes are Live from CME but the market data can't be used for Live trading.
  4. There is no point getting low latency data if you're not using it for live trading...! For all these other purposes you describe you don't need low latency:

    - backtesting, simulation: this is self evident
    - charting with manual trading - the time taken for a human being to look at the chart, make a decision, and then click through a trade means that getting your latency below a few seconds is utterly pointless

  5. qlai


    Are you saying you will provide live data but I must sign a waiver that I am not using it for live trading? Or you will be capturing real time data but providing it at a delay?

    I would get tick by tick data with original timestamp for sim/backtest even if it's delivered delayed.

    I may be mistaken, but I believe one must have active futures account to subscribe to CME data. If you just doing research, it's an inconvenience.

    @lancem, this could be useful service if I can subscribe on-demand (monthly) basis and pay for only what I need. However, CME data is relatively inexpensive so you will need to have competitive pricing. Also, I would prefer it streaming, not canned.

    I assume you will be providing the data in some human readable format(json), not the compressed raw format. That in itself is a bonus.
  6. lancem


    Hi globalarbtrader apologies for the late reply.

    Actually you are right and wrong. Let me explain.
    If you are manually trading and/or not using high-frequency trading strategies, then having a low-latency data feed might not be needed; but it's nice to have anyway.
    However if you are simulating an automated hft system for example, then the low-latency data would be good for your simulation.

    Backtesting and simulation are 2 different things, at least from my understanding.
    To me, backtesting means running your strategy against historical data whereas simulation is running your strategy against streaming data. Both can be done with the service I plan to offer.

    Charting isn't only used for manual trading, it can be used for analytics as well. It really depends on what you want to do.

    Hope that clarifies!
  7. lancem


    Hi qlai, apologies for the late reply.

    Let me answer both of your queries below:

    1) You will not be required to sign a waiver because the data I am providing doesn't have a clearing broker. It is just data, as is. The main usage is for backtesting, simulation, charting, analytics. The main selling point is that, this is Live streaming real-time market data from CME. I can provide various symbols for a fraction of the price. There is no delay.

    2) No I will provide an API for you to get the data. PM me your use case and I will provide the technical details. Yes I will provide a very competitive pricing. My aim is to provide a better pricing than what is available in the market currently. That's why I am having this survey to see if there is a market. If there is enough interest, I will start providing the service soon.
    Yes, the data will be streaming and it will be in json format.
    qlai likes this.
  8. Metamega


    Be curious about licensing. One of the expensive parts I’ve noticed about futures data is the exchange fees.

    Their is a waiver if your feed hooks into a platform that can execute trades and you also have a futures trading account.

    Here’s some examples from IQFeed of exchange fees.

    The waiver details.

    When I was using IQFeed I did subscribe to CME delayed and NYMEX for 1$ each. Didn’t trade futures but said what the hell thats cheap data.

    I thought CME was expensive ( if just using non displayed) but ICE is even more ridiculous.
  9. lancem


    Hi Metamega, yes indeed the fees can be high. That's why I am wanting to offer a real-time streaming market data service at a competitive price. Since I am not running an exchange, there would be no need for the USD$82/month exchange fee. (of course you would not be able to trade Live with my data feed as well since I am not running an exchange)

    However if you are doing research, backtesting, simulation, charting, analytics, etc. with a real-time data feed, it can be expensive. This is where my data feed service comes in.

    If you are keen on my service, please consider filling out my survey. It would be of great value to me.

  10. Metamega


    Those fees are basically licensing fees in a sense.

    I can’t go around redistributing CME data legally. Sounds crazy but they own the data.
    #10     Dec 13, 2018