BB, Reuters, MQA, Factset or someone else?

SimJimons · Post by **SimJimons** » Tue May 31, 2011 11:29 am

We're looking in to our data vendor situation and are currently trying to figure out which vendor has the most attractive API solution (taking price into account, but only on the margin). We're predominantly trading futures so we want to have an as broad coverage as possible in this area, as well as a clean history for backtesting purposes. We mostly trade on a daily frequency but we would like to have access to real-time data as well. However, latency is not really an issue. Any thoughts?

/Sim

dgn2 · Post by **dgn2** » Tue May 31, 2011 1:05 pm

I would also look at Interactive Data Corp if broad coverage is of interest.

SimJimons · Post by **SimJimons** » Tue May 31, 2011 1:19 pm

dgn2, thx! But isn't IDC primarily a cash equities vendor? Or at least I know that they used to provide MQA with their equity data (until they switched to Thomson) while CRB delivered futures data.

dgn2 · Post by **dgn2** » Tue May 31, 2011 2:22 pm

All I know is that I have been using their futures data for years (6-7 years) at home via their retail feed (eSignal) and when I started looking for feeds to use alongside FIX based order routing at work I discovered that their coverage was pretty broad in futures.

We are also looking for feeds at the moment for use in the automaton of our futures trading (long term trend following for the last couple years, but looking to trade higher frequency in the futures). We have traded higher frequency in FX for many years, but all our futures execution has been done by me and a co-worker (day and night).

Anyway, I am going to speak to IDC today to get more details. It looks like Reuters and IDC have the broadest coverage in terms of what I have seen so far, but Reuters appear to have more comprehensive historical data. We need real-time (and perhaps historical) book so any feed we use will need to provide that. We are also a JAVA / LINUX shop so that is a factor as well. Most of the cheap feeds are probably ruled out for us even though we are not too concerned with latency at the moment.

I would be interested in what you find. My expertise lies more in the data itself and not in the infrastructure so I am looking for people knowledgeable about the feed offerings and their basic cost structure.

SimJimons · Post by **SimJimons** » Tue May 31, 2011 3:39 pm

Interesting! I'll definitely let you know what we find out. However, I'm not an infrastructure guy either, so I'm pretty dependent on my colleagues telling me what's good and/or bad. I posted here to get a feel for if their view (when they have one) is somewhat reflected here as well.

Systrader · Post by **Systrader** » Tue May 31, 2011 5:48 pm

For end of day futures data take a look at CSI data. I have been using it for a decade. Good data quality.