Datafeed Vendor Comparison

[bpr]

Hey bpr,
Any idea about market data feed via API? Ideally Level 3 data.
Here is a seperate thread that I opened.

http://www.traderji.com/data-feeds/97515-realtime-datafeed-via-api-nse-fno-cm-preferrably-level-3-tick-tick.html

[/QUOTE

Level 3 and Tick By Tick, I am yet to see any one datavendor.
All are level1 including Esignal. so no use.

Terminal has level 2 data , no tick by Tick Zerodha Pi may open their data API in future then you will have access. (Not free it will have its own fees)
Or May be RKSV will open their future platform's
Even then it will be Level2 so no use putting so much effort and money.

Your best option Request IQFeed to include NSE and hopefully they will include Tick by Tick data.

Or Make a group and buy Tick by Tick directly from NSE and integrate into existing software.

BTW why did you need API access and what is your GOAL? if writing strategies ultimately then why not use some existing tool and Language why reinvent the wheel?

 

[Trading.Money]

Please tell me how GDFL is better?
I have never tried GDFL . just trying to understand.

Have tried both Neotrade and GDFL, The bac kfill quality is robust in GDFL in terms of the following ways:-

1) Slow Internet connection, STOP, Go connections
2) Time stamp is accurate comparable to broker quotes

however neotrade quality has improved off late which i am using it right now but still eats lot of bandwidth and is dependable still on quality internet connection.

Hope the above info helps

 

[Giraffe]

Level 3 and Tick By Tick, I am yet to see any one datavendor.
All are level1 including Esignal. so no use.

True. GDFL is giving Level 1 API. Even some international are giving Level 1 only (Realtick).

Terminal has level 2 data , no tick by Tick Zerodha Pi may open their data API in future then you will have access. (Not free it will have its own fees)
Or May be RKSV will open their future platform's
Even then it will be Level2 so no use putting so much effort and money.

For my purpose, Level 1 = Level 2.
Ideally best would be Level 3 for now.
Even TBT would be difficult to handle. Ultimately would synthesize Level 3 data from it for now. At present I don't have much in mind to use all info from TBT.

Your best option Request IQFeed to include NSE and hopefully they will include Tick by Tick data.

Can try this, but don't have much hope on this.
Most give "Tick" data synthesized from Level 1 data. Although its correct to call it tick, but these not TBT feed of NSE.
Realtick is providing feed for 300-650$. IQ feed API might also be similarly priced. But again, its Level 1 data only (in realtick).

Or Make a group and buy Tick by Tick directly from NSE and integrate into existing software.

We are looking at Rs. 80 Lacs (+ maybe 10-15 lacs taxes).
Also it might require a lease line from exchange.
I don't think they give TBT via internet.
Certainly out of budget.
Itna paisa hota to trading chorh kar data provider hi ban jaata...:lol::lol:
(If had so much money, would have left trading and became a data provider)
The condition of market data availaibilty sucks(leach wala...) in India.

BTW why did you need API access and what is your GOAL? if writing strategies ultimately then why not use some existing tool and Language why reinvent the wheel?
Tried man,but many shortcomings. No single one does the work fine.
Amibroker, Ninja etc. : Evaluated most of them. Most missing on something or the other. e.g. Amibroker: Poor handling of tick data etc.
Moreover, what I am doing is not very complicated and doesnot require any fancy indicators. My plan is to intercept data at level of plugin for Ami, tweak it there, then send it out to Amibroker to plot chart. Also create dashboards and automated trading links to feed order to NEST API or PI API for semiautomated trading. Ami will only be used for visualization of data.
Rest everything like scanning, auto trade link, etc will be at level of API.
Another eg. :Scanning the market at level of API would save me 1-2 minutes. Also I can see results streaming in realtime rather than preset interval scan as in Amibroker.

 

[manjunnovates]

Have tried both Neotrade and GDFL, The bac kfill quality is robust in GDFL in terms of the following ways:-

1) Slow Internet connection, STOP, Go connections
2) Time stamp is accurate comparable to broker quotes

however neotrade quality has improved off late which i am using it right now but still eats lot of bandwidth and is dependable still on quality internet connection.

Hope the above info helps

I dont understand the first point. Care to explain?

 

[bpr]

Your best option Request IQFeed to include NSE and hopefully they will include Tick by Tick data.

Can try this, but don't have much hope on this.
Most give "Tick" data synthesized from Level 1 data. Although its correct to call it tick, but these not TBT feed of NSE.
Realtick is providing feed for 300-650$. IQ feed API might also be similarly priced. But again, its Level 1 data only (in realtick).

Tick data synthesized from Level1 data still Level1 data and I am not talking about them.

I don't know if IQFeed started supporting for NSE, Last time I checked they did not and said they don't have enough demand.

IQFeed provides true tick by tick data for all other markets and has a good reputation so My guess is if they start supporting NSE they will support Tick by Tick and not level1.

Their cost might be $200 to $250 per month looking at their other plans even at that cost it will be bargain for anybody looking for true TBT

 

[Giraffe]

Tick data synthesized from Level1 data still Level1 data and I am not talking about them.

I don't know if IQFeed started supporting for NSE, Last time I checked they did not and said they don't have enough demand.

IQFeed provides true tick by tick data for all other markets and has a good reputation so My guess is if they start supporting NSE they will support Tick by Tick and not level1.

Their cost might be $200 to $250 per month looking at their other plans even at that cost it will be bargain for anybody looking for true TBT

IQ feed not yet providing NSE data. I confirmed today.
Symphony providing TBT i suppose but only for Internal consumption for algos hosted in there local LAN.
Will try to see if anything possible from there.

 

[Trading.Money]

I dont understand the first point. Care to explain?

If your internet connection is on " On and Off" mode then the backfill quality of GDFL is better

 

[bpr]

NOT for PROFIT Organization for Datafeed Vendor

Guys how about we create a Not For Profit organization and pull money and then subscribe to NSE Tick by Tick data. The more number of users join the less cost per members.

The membership cost will be per Annum basis and it will be total cost for the year divide by number of users.

All members will have equal rights in decision making of the organization.

Once we subscribe to the datafeed and then we can create our own plugin for Amibroker , Ninjatrader and other platform as needed.


We will run the operation by year by year.
Initially we will start with membership fees at 1 lac and once we reach 100 members i.e 1c in funds then we will start the process.

More numbers will drive the membership fee down. Anything less than 100 members we cannot sustain the business so we will wait till we reach 100 before starting the next year operation.

worst case at 100 memebers the cost is coming at Rs 8333 per month (Less than or comparable to esignal)

At 1000 memebers the cost is going to be 1000 per month

theses are rough figures but you get the idea.

True tick By Tick data is trader's right we can do it if we want to

 

[manjunnovates]

@bpr I dont think true tick data is a necessity. Its something that hardcore professional traders require.

 

[Giraffe]

NOT for PROFIT Organization for Datafeed Vendor

Guys how about we create a Not For Profit organization and pull money and then subscribe to NSE Tick by Tick data. The more number of users join the less cost per members.

The membership cost will be per Annum basis and it will be total cost for the year divide by number of users.

All members will have equal rights in decision making of the organization.

Once we subscribe to the datafeed and then we can create our own plugin for Amibroker , Ninjatrader and other platform as needed.


We will run the operation by year by year.
Initially we will start with membership fees at 1 lac and once we reach 100 members i.e 1c in funds then we will start the process.

More numbers will drive the membership fee down. Anything less than 100 members we cannot sustain the business so we will wait till we reach 100 before starting the next year operation.

worst case at 100 memebers the cost is coming at Rs 8333 per month (Less than or comparable to esignal)

At 1000 memebers the cost is going to be 1000 per month

theses are rough figures but you get the idea.

True tick By Tick data is trader's right we can do it if we want to

Hmmmm, but it might not be easy to organize such big group buy.
Otherwise, 10-12K per month seems pretty fair for TBT feed.

Another option would be to get one of the data providers to upgrade there feed.
For e.g. GDFL paying 20 lacs for Level 1 of FNO, they can upgrade it to Level 3 for 10 lacs more. For another 10 lac [i.e. 40 lacs total], they can upgrade to TBT.
A group buy for such upgrade will be much cheaper and more feasible.

Moreover, NSE has recently allowed a more expensive feed to be used as less expensive one. GDFL/Icharts etc. can downgrade TBT for there use as Level 1/2/3