2
$\begingroup$

I'm trying to compare the minimum cost of subscribing to primary sources of real-time market data on NYSE and NASDAQ for last sale and level 1 top-of-book quotes.

Use cases are log to files, store history in a database, process messages and historical data to submit orders via broker API.

I'm a non-professional user, i.e. I don't work for a financial services company and I trade on my own account.

As of January 2021:

  • UTP:
    • $500 Indirect Access Fee
    • $3,500 Non-Display Use on its own behalf (other than for purposes of an ETS)
  • CTA (only Network A):
    • $750 Indirect Data Access Charges for Network A Last Sale Output Feed
    • $1,250 Indirect Data Access Charges for Network A Bid-Ask Output Feed
    • $2,000 Non-Display Use Fee Network A Last Sale
    • $2,000 Non-Display Use Fee Network A Bid-Ask
  • NYSE:
    • $1,500 BBO General Access Fee
    • $1,500 BBO Category 3 Non-Display Fee
    • $100 BBO Per User Access Fee
    • $1,500 Trades General Access Fee
    • $3,000 Trades Category 3 Non-Display Fee
    • $100 Trades Per User Access Fee
  • NASDAQ - Not sure if Basic can be Non-Display

The least expensive feed in terms of subscription fees is UTP at $4,000 which is expensive.

Are there better options, i.e. something that costs $500 but a few milliseconds of latency?

$\endgroup$
2
$\begingroup$

You are forgetting about the actual cost to bring in your connectivity to the exchanges. You will have to spend a few \$k per month to bring in your own digital lines to bring the data back.

Also, you have some redundancy there why do you want CTA, UTP, and NYSE? If you just want the current best bid/offer for each US equity then the CTA/UTP will do.

But, do you want futures as well? Then you will have to pay CME/Globex and build out lines there.

Also, you have to build the software to parse these data feeds. You can't just plug them into your PC.

Better look at dealer platforms like Interractive Brokers. I think they, and a few others, will give you a simplified API that lets you see all of the data that you would like.

Alternatively, you can independetly purchase a Reuters (cheaper) or Bloomberg (more expensive) terminal which comes with a simple API that let's you see the best bid and offer for most securities. You will pay a small fee for each exchange.

$\endgroup$
2
  • $\begingroup$ There is indeed redundancy in the Last Sale feed, but the quote feeds are different. The exchange feeds take odd lots into account when calculating BBO, whereas the NBBO calculation by SIPs is based only on round lots (100 shares). As such NBBO inflates the spread and hides liquidity for higher priced stocks. $\endgroup$ Jan 25 at 6:08
  • $\begingroup$ Agreed, if you need to see everything then you need exchange feeds. Although the pending SIP changes I think address the round lot issue. $\endgroup$
    – JoshK
    Feb 24 at 14:59

Your Answer

By clicking “Post Your Answer”, you agree to our terms of service, privacy policy and cookie policy

Not the answer you're looking for? Browse other questions tagged or ask your own question.