Market Data

rrvwmr · February 19th, 2005, 4:35 am

I'm curious what everyone out there is using for integrated market data with their applications. I have used Thomson Financial, ATFinancial, and Reuters. I'm currently using Thomson, which is fairly resource intensive. The recent $8 million in 7 seconds glitch at Citigroup/Knight/Arbitrade has me wondering what options are out there. Anyone have recommendations based on speed, integration w/ C++, support, ease of use, price, etc.

kc11415 · February 19th, 2005, 4:12 pm

The definition of integrated market data depends upon which markets you want to watch: equities? fixed income? derivatives? forex? You mention your current vendor which tends to be more commonly associated with retail brokers who emphasize stocks. However, retail brokers aren't known for writing custom s/w. That's because the job of a retail broker is not to analyze stock but to move the inventory his firm's analysts have put on the preferred list. For this, all he/she needs is basic quotes to tell the customer what the price will be.

rrvwmr · February 19th, 2005, 6:52 pm

What can I say? I want it all. Access to every market I can get my hands on.

kc11415 · February 19th, 2005, 11:52 pm

rrvwmr>What can I say? I want it all. Access to every market I can get my hands on.A comment like that suggests you may be underestimating by orders of magnitude how many markets are out there and how much bandwidth is required to accept all that data. Since you ask about price, it seems doubtful you intend to run SONET rings from your market data vendor.

rrvwmr · February 20th, 2005, 7:49 pm

I wouldn't think that "accepting" that much data would be the problem...more the providing/sending. This is an on-demand world. I don't think there are any applications out there that require the acceptance of information from every market at once. If I'm not mistaken, most data providers don't try to cram every bit of information down your throat, but offer more of a selective/on-demand service. I have no concerns that my network is going to be a limiting factor here. My inclusion of price is out of thoroughness. I hope this clarifies.

kc11415 · February 21st, 2005, 3:20 pm

Some more detailed responses to an earlier question:http://www.wilmott.com/messageview.cfm? ... 0798#95787