# Are there providers of delayed market depth data (DOM, Level II, Order-by-Order, etc)?

I have market depth data visualization software, and I want to create a free version for introduction. As far as I know, exchanges allow to distribute their data for free for the end-users, but only if the data is delayed. I know about several such delayed data providers, but none of them provides market depth data. The data must be streaming data, of course (not a snapshot by request).

update: Since it's just for introduction purpose, I'm looking for data on just few instruments. For example FDAX at Eurex, and ES,NQ,GC,CL at CME

update #2: To clarify my question. I am looking for a data vendor that provides streaming delayed market depth data. Typically, the delay must be 15 min. to avoid exchange costs. Please do not offer just any data vendor or historical data provider, or direct connection to exchange (e.g. becoming market data vendor myself).

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I think an important factor here is whether you're willing to pay for this privilige, are you? –  Bob Jansen Aug 1 '14 at 12:00
@BobJansen, I want to establish a mutually beneficial deal with that data provider. Just thought it's out of the scope of the question... –  Serg Aug 1 '14 at 12:14
I ask because that gives more possibilities, if it had to be freely available for anyone the options are much more limited. –  Bob Jansen Aug 1 '14 at 12:19
This data will be freely available only to our users. Though these users will not get the data directly, but as a chart through our visualization software. –  Serg Aug 1 '14 at 12:38
I doubt it. I would suggest saving a small sample of data from a cheap broker like IB and packaging it with your program. –  brian Sep 10 '14 at 0:10

You'll have to go to the exchanges to ask. There are several things you need to think about.

1) When the exchange give you data, its clearly laid out hat it is for your firm only, ie you can not be a re transmitter of this information.

The stock tickers you see scrolling across CNBC...There is an actual fee schedule for that. Google finance showing quotes, there is a set fee schedule for that. Data from a bloomberg terminal, you guessed it:), there is a set fee schedule for that.

Or put another way, the exchanges all consider their market data to be their property and if you want to use it, that right must be negotiated.

Your choices are limited to either: 1) Going to each exchange, signing the paper work and paying for the data. 2) Going to an aggregatorto provide you data. Again, you'll need to negotiate for the right to display the exchanges data.

To get you started, here is a list of brokers that are licensed to disseminate the TSX market data...

http://www.tmx.com/en/data/how_to_access_data/vendor_and_partner_list.html

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Hi cholida, thanks for the answer, but it's not what I'm asking. I don't intend to become data vendor myself because it requires a lot of paper works and development. I'm looking for a data vendor that already has the infrastructure to provide delayed depth data. –  Serg Aug 1 '14 at 14:50
@Serg, then you are going to be out of luck. You can not disseminate stock data without becoming a data vendor. A data vendor can send data to you but then you are still under the terms of the agreement you sign, which will almost certainly exclude you from disseminating the data to anyone else. –  chollida Aug 6 '14 at 19:34
I actually need only futures data, just few instruments (FDAX, ES, CL, GC, NQ). I know that disseminating delayed data doesn't require to charge payment from each end-user, so I could provide it for free (for the end-users, of course). But yes, it seems there is no data vendor with such infrastructure (I also did a search before asking). The only option left is to become a data vendor... –  Serg Aug 6 '14 at 23:20
@Serg I'm not sure that this statement is true " I know that disseminating delayed data doesn't require to charge payment from each end-user,". I can tell you that it is certainly not universally true. Maybe futures are special?Tread carefully. –  chollida Aug 7 '14 at 16:49
I have only one reference (a data vendor that can provide delayed data, but he has no delayed depth data). But it also makes sense looking on Google finance or similar sites - they don't charge each user for looking on delayed data. Yahoo finance even show a snapshot view of delayed order book from BATS. –  Serg Aug 7 '14 at 21:48

Edit: In that case, your question makes no sense and I am voting to close it.

There's fundamentally no difference between "historical data" and >= 15 minute delay. You can write an application to stream historical data in 1:1 correspondence to the original durations to your application. I don't know any providers who queue precisely 15 minutes of market depth data to disseminate continuously at the end of every moving 15 minute interval because it makes more sense to sell that data as historical data.

While in theory CME charges no fees on a per user basis for continuous data that is delayed at least 10 minutes and not accessed indirectly over LAN, someone at the top of the hierarchy has to be paying the data distribution fees and maintaining the colocated server(s) and multicast over TCP/IP/ through which you receive the data. This has real costs.

Moreover, real-time CME market depth data is cheap (exchange fees are \$5 per month per user and a third party vendor like eSignal or IQFeed probably charges another \$50 to \$100 per month) in your case. In other words, your question really just reduces to: "I'm in the business of selling software. Which data providers give me free historical data? I don't want to pay \$5 to \\$85 per month." This is outside the scope of this QE, which is for quant professionals.

For CME, here's a few sources that sell market depth historical data on an order-by-order basis:

1. CME DataMine
2. Reuters tick history - sells on an instrument-by-instrument basis.
3. Nanex historical data - sells on an exchange-wide basis.

For Eurex, the exchange itself also stores that data but Nanex only provides BBO:

You mentioned you're probably not willing to pay for your data... well, you can try your luck with Reuters or Nanex, they are more likely to cut you a special deal than the exchange itself.

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I am looking for a data vendor that provides streaming delayed market depth data. At least for a small list of instruments above. Typically it's 15 minutes delay to avoid exchange costs. Sorry, but the information you provided doesn't answer my question. I'm aware of these data vendors. –  Serg Aug 1 '14 at 14:56
1) No, I'm not looking for depth data "at the end of every moving 15 minute". Streaming data means streaming. It's exactly like real-time, but delayed. –  Serg Aug 4 '14 at 12:53
2) No, I don't ask for "Free data". The business side with the provide is off-topic. I'm asking the name/link of such provider that already has the infrastructure to provide streaming delayed market depth data. Your answer is irrelevant, and you just making it even worse. –  Serg Aug 4 '14 at 12:56
You said it yourself: "I am looking for a data vendor that provides streaming delayed market depth data. Typically, the delay must be 15 min. to avoid exchange costs." You're simply asking for free data that takes advantage of this workaround. Again, I am unconvinced that this is on-topic and still vote to close this question. –  madilyn Aug 4 '14 at 16:49
delayed data means that the data vendor is not obligated to charge payment from each end-user. Of course, this data vendor must have some agreement with the exchange. So I could make a deal with this vendor and provide the delayed depth data to all my end-users for free. This is the point. Also, I prefer to use the same data vendor (the same connectivity) for paying users, which will also pay for the real-time data to the exchange. I'm sorry if I couldn't explain myself clearly enough. –  Serg Aug 4 '14 at 20:43