US Equity Real-time Market Data Feed Pricing
US Equity Real-time Market Data Feed Pricing
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Sergei Rodionov · External communityPost link
External question — Quantitative Finance Stack Exchange
Author: Sergei Rodionov
Original post: https://quant.stackexchange.com/questions/60677
License: CC BY-SA 4.0 — https://creativecommons.org/licenses/by-sa/4.0/
Adaptation: HTML converted to plain text; contact email addresses removed.
I'm trying to compare the minimum cost of subscribing to primary sources of real-time market data on NYSE and NASDAQ for last sale and level 1 top-of-book quotes.
Use cases are log to files, store history in a database, process messages and historical data to submit orders via broker API.
I'm a non-professional user, i.e. I don't work for a financial services company and I trade on my own account.
As of January 2021:
UTP
:
$500
Indirect Access Fee
$3,500
Non-Display Use on its own behalf (other than for purposes of an ETS)
CTA
(only Network A):
$750
Indirect Data Access Charges for Network A Last Sale Output Feed
$1,250
Indirect Data Access Charges for Network A Bid-Ask Output Feed
$2,000
Non-Display Use Fee Network A Last Sale
$2,000
Non-Display Use Fee Network A Bid-Ask
NYSE
:
$1,500
BBO General Access Fee
$1,500
BBO Category 3 Non-Display Fee
$100
BBO Per User Access Fee
$1,500
Trades General Access Fee
$3,000
Trades Category 3 Non-Display Fee
$100
Trades Per User Access Fee
NASDAQ - Not sure if Basic can be Non-Display
The least expensive feed in terms of subscription fees is UTP at
$4,000
which is expensive.
Are there better options, i.e. something that costs
$500
but a few milliseconds of latency?
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JoshK · External communityPost link
External answer — Quantitative Finance Stack Exchange
Author: JoshK
Original post: https://quant.stackexchange.com/a/60681
License: CC BY-SA 4.0 — https://creativecommons.org/licenses/by-sa/4.0/
Adaptation: HTML converted to plain text; contact email addresses removed.
You are forgetting about the actual cost to bring in your connectivity to the exchanges. You will have to spend a few \$k per month to bring in your own digital lines to bring the data back.
Also, you have some redundancy there why do you want CTA, UTP, and NYSE? If you just want the current best bid/offer for each US equity then the CTA/UTP will do.
But, do you want futures as well? Then you will have to pay CME/Globex and build out lines there.
Also, you have to build the software to parse these data feeds. You can't just plug them into your PC.
Better look at dealer platforms like Interractive Brokers. I think they, and a few others, will give you a simplified API that lets you see all of the data that you would like.
Alternatively, you can independetly purchase a Reuters (cheaper) or Bloomberg (more expensive) terminal which comes with a simple API that let's you see the best bid and offer for most securities. You will pay a small fee for each exchange.
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Quoted from Forex.com.bd-Editorial External question — Quantitative Finance Stack Exchange Author: Sergei Rodionov Source score (net votes, not local likes): 2 Original post: https://quant.stackexchange.com/questions/60677 License: CC BY-SA 4.0 — https://creativecommons.org/licenses/by-sa/4.0/ Adaptation: HTML converted to plain text; contact email addresses removed. I'm trying to compare the minimum cost of subscribing to primary sources of real-time market data on NYSE and NASDAQ for last sale and level 1 top-of-book quotes. Use cases are log to files, store history in a database, process messages and historical data to submit orders via broker API. I'm a non-professional user, i.e. I don't work for a financial services company and I trade on my own account. As of January 2021: UTP : $500 Indirect Access Fee $3,500 Non-Display Use on its own behalf (other than for purposes of an ETS) CTA (only Network A): $750 Indirect Data Access Charges for Network A Last Sale Output Feed $1,250 Indirect Data Access Charges for Network A Bid-Ask Output Feed $2,000 Non-Display Use Fee Network A Last Sale $2,000 Non-Display Use Fee Network A Bid-Ask NYSE : $1,500 BBO General Access Fee $1,500 BBO Category 3 Non-Display Fee $100 BBO Per User Access Fee $1,500 Trades General Access Fee $3,000 Trades Category 3 Non-Display Fee $100 Trades Per User Access Fee NASDAQ - Not sure if Basic can be Non-Display The least expensive feed in terms of subscription fees is UTP at $4,000 which is expensive. Are there better options, i.e. something that costs $500 but a few milliseconds of latency?
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