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I trade on local exchanges in Europe, but my HFT strategies need S&P 500 e-mini futures data (ES). I don't need to trade ES, but I need real-time data and I want to have it as fast as possible.

I've tried http://www.zen-fire.com/ and it works fine, but probably something better exist?

Or maybe (just maybe...) I can use another instrument that located somewhere in Europe and has a good correlation with ES?

I only need "last deal price" if this is important.

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4 Answers

Another DTN product, Nanex NxCore is a very good choice for a high-quality "retail" feed. It will suffer from the standard latency issues of transporting the feed across the internet, but it is likely the highest quality feed one can get on the retail end of the spectrum.

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I have no experience in retail trading related setups, but how well does this work on the execution side of things? Say you get your feed from Nanex and execute through IB - how bad is your slippage on aggressive trades and/ or bad fills you thought you had cancelled basis your model and feed? –  emsfeld Apr 1 '12 at 6:02
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You can get this data streamed real-time from IQFeed. Should be easily less than $100/month.

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You can get free real-time S&P 500 CFD data from a forex broker like FXCM. You can open a demo account and test the quality of the feed through their API. Note that it's a CFD, so there are some small differences to ES. The quality is probably not as good as Zen-Fire.

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In terms of pricing, Zen-Fire seems to be the best "retail" solution. But as you said, you need to be faster, so you can try some faster and more serious options:

  1. QuantHouse - CME's Level 1 market data will cost you around 1500 Euros per month. They have points of presence in most local financial centers in Europe (Stockholm, Frankfurt, etc.) so you can colocate near to them, if you wish. They aslo operate their own fiber network, so you will get your stuff from USA very fast.
  2. FixNetix - All the same, actually :) Maybe some little differences in pricing.

Regarding your question about higly correlated instruments - i do not know any, and as i know, S&P500 Index futures (big and e-mini) is traded only on CME and somewhere in Asia (am I wrong?).

Best regards, Dmitry

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thanks Dmitry, 1500 Euros is too expensive for me now, but thanks for information may be I will use this service one day :) I can pay 100-200-300 Euros per month otherwise It seems I have to stay with zen-fire. –  javapowered Sep 5 '11 at 19:21
    
Hey, do Zen-Fire provide API for their mkt-data? Once, i've thought about working with them, but didn't understand who do they actually work. –  m1ndst0rm Sep 5 '11 at 19:57
    
I don't know. I was using ninja trader. I don't know how to export data from ninja to outside, but I'm sure it should be possible... –  javapowered Sep 5 '11 at 20:45
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