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You can try premiumdata.net. Among several sources I used this provides most clean data. They account for splits and dividends. Delisted securities are present in the data. This is not free but the price is modest for this quality for my point of view. They provide EOD data for US, Australian and Singapore stock exchanges.


The round-trip latency from point A to a matching engine at point B can be thought of being comprised of two components: $RTT_{total,A \rightarrow B} = RTT_{network\_transit,A \rightarrow B} + MPL_{matching\_engine,B}$ Where $RTT$ is the round-trip time and $MPL$ is the message processing latency (how long it takes to receive a message and produce an ...


I'm no expert in this topic, but I'm not sure people will be willing to share this kind of data openly, given a lot of HFT shops use such "trade secrets" to gain a competitive edge. Incidentally, I've been reading the book "Flash Boys" and there are some numbers related to your query in there. For instance, when you submit a trade from downtown Manhattan, it ...


Assuming you are not doing HFT, seconds scale, then you could measure it. By placing a limit order and then monitoring its appearance in Level 2 market depth quotes. During quiet market, with limit price away from spread and not crowded.


If you are looking for historical data there are a few websites I can think of that provide it. www.eodata.com provides 30 days of historical EOD data for free in various text formats. Additionally, you can purchase up to 90 months of historical intraday data as well. An added benefit is that they cover US Options, Mutual Funds, Currencies, and ...


There are plenty of sites you can get this information from. etfdb.com and etf.com are two of the bigger ones. See this for an example: http://etfdb.com/etfdb-category/europe-equities/ http://etfdb.com/tool/etf-stock-exposure-tool/


I am and have been a silver member for 3 years with EODDATA. I have had no problems. BTW I write my own code and have a degree in Economics and am a former computer systems analyst. I download their data about once a week. I do not care about hourly price fluctuations or Milan stock exchange or commodities. I am just a simple and profitable investor in the ...


If I understand your question correctly, you're asking what's a good design for a normalized feed. This is a somewhat trivial question of (i) picking which data fields (e.g. price, volume) to filter out from each feed and (ii) how to keep that in a trading system with minimal computational overhead. Regarding (i) I highly recommend you approach this in a ...

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