Do you have any suggestions or know of any guides, tutorials, or advice pages on what is involved if you want to receive real-time data feeds?

You won't find a how to for consuming data feeds direct from the exchanges for several reasons

1. Each exchange is different, from format to api
2. Its hard to write a tutorial as the data is owned by hte exchanges and typically can't leave your firm, as spelled out in your market data agreement.
3. Each fund typically writes their own code to parse the data feeds and like most funds keep it proprietary, so there isn't one unified library that you can use.
4. One big issue is how you are going to receive the data. Typically you'd be collocated with each exchange you want data from.

How are you planning on connecting to the exchange? colocate at each exchange? software vpn to each exchange?

The other big issue is that typically the exchanges want a guarantee that the data is only used for hte purpose you say it is. What software are you using for tracking hte data and limiting it to only qualified computers or individuals? The exchanges will want to know.

Are there any significant reasons why you would recommend getting live data from a vendor rather than direct from the exchanges?

Yes, the big one is that you can get dat from multiple exchanges this way, ie you want NYSE, NASDAQ and CBOE, a vendor can get data and merge them all together for you. They also do the compliance for you,

If you don't need the fastest possible quotes then a vendor makes things 100 times easier on you.

Do you have any suggestions or know of any guides, tutorials, or advice pages on what is involved if you want to receive real-time data feeds?

You won't find a how to for consuming data feeds direct from the exchanges for several reasons

1. Each exchange is different, from format to api
2. Its hard to write a tutorial as the data is owned by the exchanges and typically can't leave your firm, as spelled out in your market data agreement.
3. Each fund typically writes their own code to parse the data feeds and like most funds keep it proprietary, so there isn't one unified library that you can use.
4. One big issue is how you are going to receive the data. Typically you'd be collocated with each exchange you want data from.

How are you planning on connecting to the exchange? colocate at each exchange? software vpn to each exchange?

The other big issue is that typically the exchanges want a guarantee that the data is only used for hte purpose you say it is. What software are you using for tracking hte data and limiting it to only qualified computers or individuals? The exchanges will want to know.

Are there any significant reasons why you would recommend getting live data from a vendor rather than direct from the exchanges?

Yes, the big one is that you can get dat from multiple exchanges this way, ie you want NYSE, NASDAQ and CBOE, a vendor can get data and merge them all together for you. They also do the compliance for you,

If you don't need the fastest possible quotes then a vendor makes things 100 times easier on you.