Real-time data for US futures

[RyuTwo]

I have been reading through a large chunk of the Intraday Data Feed threads – great information.

Am looking for real-time data feeds for the US markets – I am primarily concerned with trading in the futures on the key US indices – so I am less concerned with data on individual stocks – I am also not in need of options data. At this point not planning on trading any futures re European markets – but may do so later.
The other item I am looking for is real-time news although this seems to often be included with the live data stream packages.

My budget is US$200/month - ideally this would include the exchange fees.

The ones that seem good at this point:
1. Real Tick – www.realtick.com – their Flash illustration of their platform and data looks excellent (what is the cost?)
2. QCharts Plus package ($95/mth)
3. eSignal Premiere ($115/mth)

Would these packages (each on their own) cover the needs I outlined above?

 

[RyuTwo]

bump.
I see no one has replied yet

Another question on this topic - the price quotations for data feeds and platforms differ for 'private' and 'professional' traders - my question is whether traders (on this forum for example) trading full-time and/or for a living classify themselves as 'private' or as 'professional'.

Also, has anyone have ever been questioned about the status they have selected?

 

[Bigbusiness]

I pay nothing for the data feed from Interactive Brokers. Have to have an account with the minimum balance and make a few trades every month or pay a small fee. My charting package, quotetracker, costs $60 a year. Tried other more expensive packages but some of them were worse than I am using now. I used to get lag and sometimes no data with qcharts and I think esignal sometimes has the same problem.

 

[Zeos6]

I have been reading through a large chunk of the Intraday Data Feed threads – great information.

Am looking for real-time data feeds for the US markets – I am primarily concerned with trading in the futures on the key US indices – so I am less concerned with data on individual stocks – I am also not in need of options data. At this point not planning on trading any futures re European markets – but may do so later.
The other item I am looking for is real-time news although this seems to often be included with the live data stream packages.

My budget is US$200/month - ideally this would include the exchange fees.

The ones that seem good at this point:
1. Real Tick – www.realtick.com – their Flash illustration of their platform and data looks excellent (what is the cost?)
2. QCharts Plus package ($95/mth)
3. eSignal Premiere ($115/mth)

Would these packages (each on their own) cover the needs I outlined above?

QCharts are OK but pricey. Esignal can lag and has crashes. Real pain. Don't know about Real Tick - I will check this out. Stay away from IB. I have an account with them. They are OK as a broker but their feed sucks. I finally got fed up and am looking at perhaps iqfeed.

Yestreday I had a trade go south on me and for the world couldn't figure out why. So I snapped a pic of my screen for study. Today, when I looked at the screen, the data in the area of the trade was different. The only change from yesterday was that I uploaded data from midnight until this am. The trade was yesterday areound 2pm so that data should have remained unaffected. Something VERY wrong with IB data - don't care if it's free if it's wrong. This cost me so BEWARE of IB feed.

 

[leeshindig]

you can get free live charts for Cash Dow, S&P, Amex,NYSE and Nasdaq here (plus Dax, Gold, Brent Oil and Forex)

no stocks (yet) although there are plans for them... you have basic tools like drawing and custom indicators etc... no futures Im afraid but ok for free... times in 10 second ticks, 1 minute, 10 minute, 1 hour then daily and weekly..

http://www.livecharts.co.uk/membersarea/charts/technicalchart.php


hope this helps for now..

 

[dcraig1]

Something VERY wrong with IB data - don't care if it's free if it's wrong. This cost me so BEWARE of IB feed.

Can't agree with this at all. Would you care to elaborate ?

 

[Trader333]

Can't agree with this at all. Would you care to elaborate ?

In my view this is absolutely correct I have done direct comparisons and IB is out on Volume by a factor of 10 in some cases.


Paul

 

[dcraig1]

In my view this is absolutely correct I have done direct comparisons and IB is out on Volume by a factor of 10 in some cases.


Paul

How are you deriving volume ? TWS sends a cumulative volume event in the data stream. In my experience this is 'always' correct. If you use the LAST_SIZE events in the data stream, then all bets are off.

 

[roguetrader]

QCharts are OK but pricey. Esignal can lag and has crashes.

QCharts are owned by eSignal, have not experienced any significant lag in their data on a regular basis, but have encountered an occasional lag, difficult to establish whether this is network related or not, any experience of this has been confined to after 6pm UK which leads me to suspect my isp may be at fault No majorly significant crashes unless that is defined as two crashes in the last 3yrs. The weak link in most software packages is the enduser's PC, there are often a host of problems lurking there waiting to interact with new software. Esignal has a discussion forum, go there and dig around to get a good feel for issues related to the platform

$200 is more than enough for data and exchange fees for what you are looking for.

RealTick i'm not sure about, isn't that a broker outfit, related to Townsend Analytics if so they may not deal with UK resident customers, unless they offer data separate from any brokerage services.
Look at IQ feed as well, have come across talk of it a few times lately, though I have no personal experience with it.

 

[Zeos6]

Can't agree with this at all. Would you care to elaborate ?

I tend to run tick charts. The specific issues I have come accross many times are:

1. IB filters its ticks and does not send the true tick data - every trade. In fact, the ratio between IB ticks and E-signal ticks is about 3.1. In other words, 100 IB ticks is approximately equivalent to 310 E-signal ticks. This relates directly to the volume issues on minute charts that Trader333 mentions further below.

2. The specific issue with IB tick data that has come up is the following: You will see a bar on your chart. The bar will have a certain range and the close will be positioned somewhere inside this range. At the time of my trade, the tick bars showed me a clustering of closes (consolidation) and the trigger bar for the trade was a clean out bar to the top side. So, what I saw was a spike up with a close near the bottomof the bar. The data next day showed no clean out bar, no clustering of closes on the preceeding bars and the range of the bar was vastly different. In fact, what had been a clean out bar one day was an inside bar the next day and the closesof the preceeding bars were nowhere near consolidation. In short, the ranges of the bars changed.
It's hard to trade profitably when your data changes from day to day.

3. Overnight tick data that IB saves is apparently filtered in 2 sec intervals -I have also heard 1 sec intervals - but cannot substantiate this. I have spent hours on the phone with IB to get facts on this but have not found anyone in their tech department able to answer this. Many of their techs did not even know they had backfill data and so had no clue as to how it was being saved.

I would just like to point out that I have no personal vendetta against IB. In fact I think that they are good as a broker. My issue is only with the feed and this is my personal experience. I have been using IB feed for about 2 years. perhaps other people have different experience - I don't know, but I trade futures daily and I need reliable 24/7 true (actual trade) feed. i have compared stats with a friend who runs off E-signal and I find that I would have been substantially more profitable with his feed than the IB feed. Hence my desire for a change.

Cheers
Paul

 

[Zeos6]

QCharts are owned by eSignal, have not experienced any significant lag in their data on a regular basis, but have encountered an occasional lag, difficult to establish whether this is network related or not, any experience of this has been confined to after 6pm UK which leads me to suspect my isp may be at fault No majorly significant crashes unless that is defined as two crashes in the last 3yrs. The weak link in most software packages is the enduser's PC, there are often a host of problems lurking there waiting to interact with new software. Esignal has a discussion forum, go there and dig around to get a good feel for issues related to the platform

$200 is more than enough for data and exchange fees for what you are looking for.

RealTick i'm not sure about, isn't that a broker outfit, related to Townsend Analytics if so they may not deal with UK resident customers, unless they offer data separate from any brokerage services.
Look at IQ feed as well, have come across talk of it a few times lately, though I have no personal experience with it.

I agree with the $200/mo comment and can't comment on Real Tick as I have no experience with it. Regarding QCharts, however, here is a brief comment. E-signal just purchased QCharts.My comments re QCharts were based on QCharts prior to their purchase by Esignal.

Cheers
Paul

 

[charliechan]

i have just ditched e-signal. i trade futures and just couldnt put up with it any more - it started to cost me money in terms of missed opportunity. when it does work, the feed is fast and accurate though. couldnt comment on stocks - most seem to think its ok.

real tick. never used it, but i know people who have and they dont seem that impressed.

im currently using iqfeed (www.iqfeed.net) it seems rock solid so far. for trading us index futures, you are looking at around $80-$90 including exchange feeds, but you also need a chart application like www.sierrachart.com , quotetracker.com, metastock, tradestation etc. the best is probably www.ensignsoftware.com

www.prophetx.com looks very good, and costs around the $200 mark with data i think. you must cotact them to get a quote. its also from the dtn data plant (like the iqfeed) so should be rock solid. i will take a trial next week.

take a look at the reviews on elitetrader.

 

[dcraig1]

I tend to run tick charts. The specific issues I have come accross many times are:

1. IB filters its ticks and does not send the true tick data - every trade. In fact, the ratio between IB ticks and E-signal ticks is about 3.1. In other words, 100 IB ticks is approximately equivalent to 310 E-signal ticks. This relates directly to the volume issues on minute charts that Trader333 mentions further below.

2. The specific issue with IB tick data that has come up is the following: You will see a bar on your chart. The bar will have a certain range and the close will be positioned somewhere inside this range. At the time of my trade, the tick bars showed me a clustering of closes (consolidation) and the trigger bar for the trade was a clean out bar to the top side. So, what I saw was a spike up with a close near the bottomof the bar. The data next day showed no clean out bar, no clustering of closes on the preceeding bars and the range of the bar was vastly different. In fact, what had been a clean out bar one day was an inside bar the next day and the closesof the preceeding bars were nowhere near consolidation. In short, the ranges of the bars changed.
It's hard to trade profitably when your data changes from day to day.

3. Overnight tick data that IB saves is apparently filtered in 2 sec intervals -I have also heard 1 sec intervals - but cannot substantiate this. I have spent hours on the phone with IB to get facts on this but have not found anyone in their tech department able to answer this. Many of their techs did not even know they had backfill data and so had no clue as to how it was being saved.

I would just like to point out that I have no personal vendetta against IB. In fact I think that they are good as a broker. My issue is only with the feed and this is my personal experience. I have been using IB feed for about 2 years. perhaps other people have different experience - I don't know, but I trade futures daily and I need reliable 24/7 true (actual trade) feed. i have compared stats with a friend who runs off E-signal and I find that I would have been substantially more profitable with his feed than the IB feed. Hence my desire for a change.

Cheers
Paul

OK, if you really need true tick data then IB is not the right feed.

I'm sure that some issues with IB feed and inconsistant candles come from unsynchronized PC clocks. The IB feed is not time stamped, so bar boundaries must be determined by the charting sw from the PC clock. PC clocks are lousy time keepers and can drift quite a lot. I resync mine every 30 minutes automatically. Anybody using IB feed should consider doing this.

Even if your clock is pretty good, you can never get an exact match with backfill because of various (and variable) delays in streaming data. However it should be quite close.

One other limitation that people should be aware of is a max of 3 simultaneous Level 2/DOM data streams. I find this limiting as I'm processing DOM via the API.

Within these constraints however, it does work well and to the best of my knowledge volume is accurate IF software chooses to use cumulative VOLUME events in the data stream. LAST_SIZE events are useless for calculating bar volume. I've written my own charting software and had to learn the grim details the hard way.

If one does not need true tick data, then there are advantages to the IB approach in fast markets where full tick streams can lag.

Having said all that I'm looking for another feed with API, because I want tick data, but not because I think the IB feed volume is wrong.

PS, these remarks apply to futures. I havn't looked at stock data in the same level of detail though I have no reason to suppose the situation would be different.

 

[Zeos6]

OK, if you really need true tick data then IB is not the right feed.

I'm sure that some issues with IB feed and inconsistant candles come from unsynchronized PC clocks. The IB feed is not time stamped, so bar boundaries must be determined by the charting sw from the PC clock. PC clocks are lousy time keepers and can drift quite a lot. I resync mine every 30 minutes automatically. Anybody using IB feed should consider doing this.

Even if your clock is pretty good, you can never get an exact match with backfill because of various (and variable) delays in streaming data. However it should be quite close.

One other limitation that people should be aware of is a max of 3 simultaneous Level 2/DOM data streams. I find this limiting as I'm processing DOM via the API.

Within these constraints however, it does work well and to the best of my knowledge volume is accurate IF software chooses to use cumulative VOLUME events in the data stream. LAST_SIZE events are useless for calculating bar volume. I've written my own charting software and had to learn the grim details the hard way.

If one does not need true tick data, then there are advantages to the IB approach in fast markets where full tick streams can lag.

Having said all that I'm looking for another feed with API, because I want tick data, but not because I think the IB feed volume is wrong.

PS, these remarks apply to futures. I havn't looked at stock data in the same level of detail though I have no reason to suppose the situation would be different.

Thank you for the heads upon the Volume issue. Regarding synchronizing PC clocks. You mention you do it every 30 min. Can I ask how? Also, do you know if the IQ feed is time stamped?

PS. Stupid question on my part re clock synchro. I know how to do it - what I meant is: is there a way to have the computer do it automatically every, say, 5 min or 30 min, etc. Right now I do it manually in XP. Thanks.
Cheers
paul

 

[dcraig1]

Thank you for the heads upon the Volume issue. Regarding synchronizing PC clocks. You mention you do it every 30 min. Can I ask how? Also, do you know if the IQ feed is time stamped?

PS. Stupid question on my part re clock synchro. I know how to do it - what I meant is: is there a way to have the computer do it automatically every, say, 5 min or 30 min, etc. Right now I do it manually in XP. Thanks.
Cheers
paul

Hi Paul,

I use Linux, but I've heard that some people use something called Dimension 4 on XP. There's bound to be others as well.

I don't know if IQ feed is time stamped, but I'd be very surprised if it wasn't.

 

[Zeos6]

Hi Paul,

I use Linux, but I've heard that some people use something called Dimension 4 on XP. There's bound to be others as well.

I don't know if IQ feed is time stamped, but I'd be very surprised if it wasn't.

Hi dcraig1,
Thank you. I will check this out.

Also, how do you know about IB feed not being time stamped. It makes perfect sense. I am curious since every time I have spoken with IB no one seems to know anything. Also, how do you ensure using cumulative volume in TS with IB feed? Some of my friends still use IB feed and so do I until I switch early next week? This volume coul dbe a huge issue if you are using volume bars for trading. Thanks for your info. It is much appreciated.
Cheers
Paul

 

[dcraig1]

Hi dcraig1,
Thank you. I will check this out.

Also, how do you know about IB feed not being time stamped. It makes perfect sense. I am curious since every time I have spoken with IB no one seems to know anything. Also, how do you ensure using cumulative volume in TS with IB feed? Some of my friends still use IB feed and so do I until I switch early next week? This volume coul dbe a huge issue if you are using volume bars for trading. Thanks for your info. It is much appreciated.
Cheers
Paul

The only way I know to find out that IB feed is not timestamped is to read the TWS API documentation or look at the sample code. The thing to understand about the IB feed is that it was originally intended to feed the quote sheet type display on TWS pages. As such, a field is only transmitted when it's value changes, eg when last trade price changes, or bid price or bid size changes etc etc. The frequency at which such changes are sent has a limit - something like 5 times a second.

The real advantage to this is the load on IB's servers and network infastructure is bounded so they can have a fair stab at getting the capacity right for all market conditions. Hence it is generally very fast. We know what the downsides are.

I dunno about TS - you will have to ask the supplier. I can't see that there is any other way of knowing except perhaps get a copy of QuoteTracker which is free (with a couple of limitations) and compare charts. BTW Jerry Medved of Quotetracker will tell you the same thing about VOLUME and LAST_SIZE.

 

[Nastrader]

Direct Access Platform - Data Feed

The Key here is to have a "true" - Direct Access Real Time Data Platform.

I have been using Real Tick (RT) for the past 5.5 years, and have been very satisfied. Like all platforms, there are data feed problems, but very, very rare. Many are due to the Nasdaq feed, and sometimes due to software changes by RT. But RT does have many back up servers. Trade Executions are instantaneous and fills/sells are in fractions of a second (only due to your Internet connection/speed).

The platform supports Stocks (now includes EU), Futures, and Options. The platform cost could be free, if one trades 25 (complete [buy/sell] trades - or 50 tickets). Thus for me the $260/mo platform fee is refunded, I only end up paying for a news feed & minor exchange fees of ($32). RT has several retail Brokers available that provide RT Platform. Oh, I am with Terra Nova, but the platform fee structure is similar but not exactly rebated the same by all Brokers. So you would need to verify the fee's. Anyway, I only trade stocks as an individual scalp trader. Therefore I can only speak for the Stock's portion of the RT Platform.

Here is a link to RT Brokers & web site:

http://www.realtick.com/v2_getpage.asp?page=brok

 

[ammo]

ryu txo these come up on u.s. websites cqg i use it for spx and dow minis live trades with volume but you dont get the underlying quote so you watch future against future $50 mo. free if you trade over 50 contracts mo. i,ve heard great thinga about Market Delta, turns red or green with market profile chart $150 mo. friend swears by it also ,proactive futures $4.50 round turn on futures with free data or pay for trading system $150, and that goes down with no. of trades per mo.

 

[Zeos6]

The only way I know to find out that IB feed is not timestamped is to read the TWS API documentation or look at the sample code. The thing to understand about the IB feed is that it was originally intended to feed the quote sheet type display on TWS pages. As such, a field is only transmitted when it's value changes, eg when last trade price changes, or bid price or bid size changes etc etc. The frequency at which such changes are sent has a limit - something like 5 times a second.

The real advantage to this is the load on IB's servers and network infastructure is bounded so they can have a fair stab at getting the capacity right for all market conditions. Hence it is generally very fast. We know what the downsides are.

I dunno about TS - you will have to ask the supplier. I can't see that there is any other way of knowing except perhaps get a copy of QuoteTracker which is free (with a couple of limitations) and compare charts. BTW Jerry Medved of Quotetracker will tell you the same thing about VOLUME and LAST_SIZE.

I will check it out. Thank you.
Cheers
Paul