What quality Data are you getting for the money paid?

[The Dutch Clown]

For gap filling I use a Dutch feed (that uses Comstock quotes) and the claim they make to supply 99% of the data is false, in fact in the past years they never ever supplied 100%. Let’s look at the definition of quality first: Euronext generates for the AEX index each 15 seconds a quote called Tick in total the exchange delivers 2042 Ticks each and every day so that is 100%. The DJIA has a huge number of Ticks each minute and day so my feed misses about a thousand a day !!!!

Same is therefore applicable for the real time DDE link I use to connect my trading systems. In order to check the quality I just read off the collected Tick data in the file and guess what again no 100% delivery. So I did check the DDE link with an excel sheet, you don’t want to know how much is not being delivered.

The combination of collecting real time data and gap filling by different suppliers is not enough so I use more vendors and exchange data in case of the many F… up’s. So I was wondering if we can combine our experiences and use the voice of multiple users to get the performance we pay for. Are you aware of the quality of your data feed? What is it? Is it consistent? What about realtime?

Hope we will find the best quality data feed at fair price in the end.

 

[NotQuiteRandom]

Bloomberg never goes down, has a great API and has not issued me a stray tick, ever. It is not cheap but is worth it.

 

[Stokkie]

From the data provider Fibbs I get about 1900 of the 2070 AEX ticks that should be there every trading day.
Since Fibbs gets its data from chartnet so I suppose they deliver a similair quality

First I thought it was my DDE link but when I download the tickdata at the end of the day I still have only 1900 ticks.

It is possible to download the full tick list here daily but this is easily forgotten.

If anyone has a good provider for Euronext indices/stocks which provides all the ticks please let me know.

 

[lurkerlurker]

For gap filling I use a Dutch feed (that uses Comstock quotes) and the claim they make to supply 99% of the data is false, in fact in the past years they never ever supplied 100%. Let’s look at the definition of quality first: Euronext generates for the AEX index each 15 seconds a quote called Tick in total the exchange delivers 2042 Ticks each and every day so that is 100%. The DJIA has a huge number of Ticks each minute and day so my feed misses about a thousand a day !!!!

Same is therefore applicable for the real time DDE link I use to connect my trading systems. In order to check the quality I just read off the collected Tick data in the file and guess what again no 100% delivery. So I did check the DDE link with an excel sheet, you don’t want to know how much is not being delivered.

The combination of collecting real time data and gap filling by different suppliers is not enough so I use more vendors and exchange data in case of the many F… up’s. So I was wondering if we can combine our experiences and use the voice of multiple users to get the performance we pay for. Are you aware of the quality of your data feed? What is it? Is it consistent? What about realtime?

Hope we will find the best quality data feed at fair price in the end.

I use OpenTick. It has plugins for most software and is largely platform independent. The API is open source, and they only charge exchange fees.

I pay $1/month* for NYSE (for the $TICK) and get free ECBOT stuff. Other US exchanges (Nasdaq, CME, etc) are also available, as are several books.

I think OpenTick is one of the cheapest and most reliable options, but I can't state consistently definitively (I can only say I've not ever noticed an obvious inconsistency).

*My bank rips me off a couple of £ surcharge for doing this.