Market Data Feeds for Day Trading

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Do I need a market data feed? Which one? What’s the difference?

All of these are common questions for traders and the answer isn’t the same for every market.

In this post we will take a look at the different data feed types and their features so you can make an educated decision on what you will need.

To get started, let’s examine the two primary market data feed types, execution and data feeds.

Market Data Feeds (everything you need to know)

Execution Feeds Versus Quote Feeds (data only)

There are two primary types of data feeds, execution and quote feeds which are sometimes referred to as data only feeds.

Execution feeds allow you to route orders to the exchange and receive exchange confirmations. Execution feeds can also provide quotes.

Most execution feeds use the FIX API protocol to send order data and receive confirmation from the exchange. The Financial Information eXchange (FIX), is the primary information and data protocol execution feeds use to disseminate price and trade information.

Quote Feeds simply provide real-time and historical data, no order routing. So what’s the point of a quote feed?

Your broker may not provide the data type or quality of data that you need for your trading style, which will make sense shortly.

Aggregated versus Non-Aggregated Data Feeds

Non-aggregated data feeds provide data in real time as it occurs.

Aggregated data feeds send a cluster of data at a predetermined rate, set by the data feed provider.
For example, Interactive brokers pulses their futures data every 250 ms. Therefore, you’re receiving a snapshot of the market 4 time per second. If you’re using data intensive charts, odds are you may experience some lag or your chats freezing with IB’s data feed.

The charting software and types of indicators you use directly impact the type of data feed you need. Particular chart types and indicators are more data intensive than others.

Traditional candlestick and a volume profile.

For example, to formulate and display a traditional candlestick, your charting software needs the Open, High, Low, and Close price for a total of 4 data points.

Compare that to the volume profile on the right which requires hundreds, if not thousands of data points depending on the interval size.

If you’re using data intensive charts, you’re going to want a non-aggregated data feed. We will look at some options shortly.

Futures Market Data Feeds

The futures market is more advanced than equities, and as result the data options are more à la carte . Most traders new to futures have a lot of confusion when it comes to data feeds so let’s break down some of the key differences.

Market by Order (MBO) Versus Market by Price (MBP)

Traditionally the Chicago Mercantile Exchange provided MBP data only.

Market by Price (MBP) is a price-based data feed. MBP restricts updates to a maximum of ten price levels for the bid and ask and consolidates all the quantity into a single update for each price level, which includes total quantity and number of orders.

Individual order sizes and queue position cannot be determined with much accuracy using MBP data.

In an effort to increase transparency, the Chicago Mercantile Exchange introduced a new data type, Market by Order.

Market by Order (MBO) is an order based data feed that provides data to view the individual queue position of orders, the size of each order at each price level, as well a full depth of book.

Table displaying MBO Data versus MBP Data

The example above illustrates the differences between MBO and MBP data.

If we examine the ask at the 4025.75 handle on both the MBP and MBO example, you will notice that MBP provides us with the total order count (2) and total quantity (100).

Market by Order data goes a level deeper. Now you are provided with every order and it’s size (49 &51) as well the queue in which the orders will be filled.

To help illustrate this even more, let’s take a look at a Depth of Market (DOM) with MBP data versus MBO data.

Depth of Market with Market by Price Data

The above DOM is an example of Market by Price Data. Notice how it only shows the total orders on the bid and ask, not the individual order sizes or queue.

Depth of Market with Market by Order Data

The above DOM is an example of Market by Order Data. Notice how you can now see the individual order sizes and queue in which they will be filled. (Note: I have a filter set to hide orders less than 5 contracts) On the bid, the order that’s furthest right is first in the queue. On the offer, the order that’s furthest left is first in the queue.

Every charting package will have different options in terms of MBO data can be displayed.

MBO or MBP?

As an order flow trader, I recognize the value of analyzing advertised orders and the edge it can provide. However, for personal reasons I’ve primarily focused on executed orders for the last 10 years of my career. Therefore, I personally don’t have a lot of use for MBO data, yet I still have it.

There are some charting software options like Bookmap that use order size and queue to detect things like synthetic Iceberg orders which is pretty cool. Yet, I think a lot of new traders get caught up in all the bells and whistles prior to understanding what they’re actually analyzing.

For example, there’s algorithms written specifically to look like synthetic iceberg orders, something you need to take into consideration if icebergs are going to be part of your strategy.

Ultimately it boils down to your trading style. If you’re a swing trader, the additional data MBO offers most likely won’t be of use to you. If you trade on short intervals and analyze advertised orders, you’re going to want MBO data.

Remember the more data your processing the more memory your computer will need as well as a fast internet connection or you could experience lag.

IMPORTANT: You must check that your charting software supports MBO data, as well as what feeds it supports. For example, at the time of writing this post, dxFeed does provide MBO data but MotiveWave (charting software I use) doesn’t support all the functionality for dxFeed such as order queue and size. If you’re on MotiveWave and want MBO data and all of it functionality you will have to use Rithmic.

Futures Data Feed Options (execution)

Let’s take a look at some of the differences between the primary execution feeds in the futures market.

Rithmic Logo

Rithmic.com Highlights

  • Non-aggregated
  • Market by Order
  • Full Market Depth – See every order at every price level
  • Tick by tick historical data up until contract start date
  • Auto-liquidate – Allows a trader to set a max daily loss, when hit positions are liquidated and account is locked for remainder of day.
  • Plugin-in Mode – Connect to multiple platforms with one single feed.
  • No breadth indicators
CQG Data Feed Logo

CQG.com Highlights

  • Non-aggregated
  • Market by Price
  • Limited Market Depth – Typically 10 bids deep and 10 asks deep
  • Tick by tick historical data up to 30 days
  • Includes breadth indicators
Trading Technologies Data Feed Logo

TradingTechnologies.com Highlights

  • Non-aggregated
  • Market by Order
  • Limited Market Depth
  • Tick by tick historical data, limited

Note: Being that they’re execution feeds, Rithmic, CQG, and TT are purchased directly through your broker.

Interactive Brokers Logo

Interactive Brokers Highlights

  • Aggregated
  • Market by Price
  • Limited Market Depth
  • Tick by tick historical data, limited

Broker dealers such as Interactive Brokers and TD Ameritrade provide their own execution feed. The problem you’re going to run into is they aggregate their data. I couldn’t find what TD Ameritrade pulses their data at but below is what IB has on their website.

Table displaying pulse rates on data for Interactive Brokers

If you’re not sure, make sure to email your broker support team.

Quote Feeds (data only)

There are a lot of data only feeds available to you as a trader. I’ve personally used dxFeed and iqFeed and would recommend either provider.

dxfeed logo

dxFeed.com Highlights

  • Data only, not an execution feed
  • Non-aggregated
  • MBP & MBO Data
  • Multiple Markets
  • Top of Book or Full Market Depth options

dxFeed provides real-time, historical, calculated market data via multiple APIs for stocks, derivatives, commodities, treasuries, indices, and forex.

You can select different bundles depending on what markets you trade. You select what charting software you’re using, checkout, and they email you the login credentials for your specific charting software.

iqFeed logo

iqFeed.net Highlights

  • Data only, not an execution feed
  • Non-aggregated
  • MBP & MBO Data
  • Multiple Markets
  • Top of Book or Full Market Depth options

iqFeed is owned by DTN which is a massive data provider across a lot of different industries. They’re very similar to dxFeed and provide real-time, historical, calculated market data via multiple APIs for stocks, derivatives, commodities, treasuries, indices, and forex.

iqFeed is slightly more expensive than dxFeed but still a great option.

Forex Data Feeds

As an order flow trader, the quality of the data is very important. The problem with Forex is there is no centralized exchange, so you’re never going to have the complete picture no matter where you get your data from.

If Forex is the market you want to trade I would start by emailing your broker and finding out where their data is coming from.

You will most likely find the best luck using a data only feed from dxFeed or iqFeed . They provide a composite forex feed from multiple major Forex contributors including Prime Banks and financial institutions.  https://dxfeed.com/market-data/fx/forex-feeds/

Final Thoughts

I hope this post clears up some of the confusion on all of the different market data feeds.

If you have a feed you’re using not mentioned in this post, feel free to share a comment below of the positives and negatives.

If you’re still stuck and debating what charting software you’re going to use, check out our reviews on a few options.

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Adam

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10 Comments

  1. If I want to experiment and learn order stacking imbalances in the Bid/Ask Footprint, but for stocks, will I need something like rithmic or is it ok to just use MotiveWave and td ameritrade. Is rithmic only futures related?

    1. Hi Dave, I don’t trade with TD so I can’t say much about their data feed. Give it a shot, it if doesn’t work or you can’t take how slow the charts load, then look at some data only feeds. You should be able to see if it works with a demo of MW. Yes, Rithmic is only futures.

  2. Hey Adam,

    I am new in all of this and want to start trading with order flow using Motive Wave.
    I already have done some research and saw that i need Futures Data Feed for forex trading since this data is centralized.

    But I am stuck in how to choose my data feed and what it is al about. This post really helped a lot but still, I don’t know if I only need rithmic or also dxFeed? And what data to choose on dxFeed.

    1. Thanks for the comment Mitch. Forex data is actually decentralized. I would speak to Rithmic and dxFeed both and see if they give you an explanation of where they are getting their data from. If you’re set on trading Forex, I would test them both and see if you find any major discrepancies.

  3. Hi Adam,
    Great explanation.
    In order to trade order flow, Is it only neccesary Level I or Level II market depth ? There is an important price difference

  4. Hi Adam,
    I used IBKR as my all around Broker. trading Stocks & Options. I do also have a Motivewave for my Charting. I’m well aware that you’re also using them too. Just recently, i became interested with Orderflow type trading on Futures, My question to you is that, does dxFeed data subscription works with Motivewave and IBKR as my execution Broker? Thanks.

    1. Yes, I personally use dxFeed. I don’t connect IBKR to motivewave, I just trade through their Dom and use MW for my charts.

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