Choosing a Market Data Provider for Systematic Trading

An accurate, reliable market data provider is essential for successful systematic trading. 

Any errors or delays in your data can cause serious problems with your trades, both in terms of backtests and live trading. 

In jargon, this data is referred to as market data, and it contains important information for creating and executing trading strategies. These include, for example, the last price reached by a financial instrument, bid and ask prices, and volumes traded in different time frames (or chart bars).  

The market data of each financial instrument must be processed by an intermediary to be used for live trading and backtesting. This intermediary is called a "data feed provider" and it processes the raw market data so that it can be imported, read, and used by a trading platform. 

Many data feed providers emerged over the years, and now we have many options to choose from.  

In this article, we will suggest some specific providers tested firsthand by our coaches. In addition, we will provide a list of criteria you can use for choosing a market data provider that meets your needs. 

Top Market Data Providers Recommended by Our Coaches

Below you'll find a list of the top 5 data feed providers (each with its pros and cons) tested by our coaches at Unger Academy. If you prefer, you can also watch the following video from 2:44 onwards, where one of our coaches discusses this very topic.  

1) eSignal
-Data quality: good
-Product range: very good, also includes uncommon products (such as oriental futures)
-Cost: very high, between $200-$400/month depending on your plan
-Historical data range: good, up to 2008
-Continuous contracts: available
-Entry barriers: none  

 2) TradeStation 
-Data quality: very good, interruptions in the feed are very rare
-Product range: very good, includes all major financial instruments
-Cost: free for U.S. futures, $28/month for European market data
-Historical data range: very good, in some cases going back as far as 2000
-Continuous contracts: available
-Entry barriers: you must have an account with TradeStation (which requires a minimum deposit of $500) 

3) IQFeed 
-Data quality: very good
-Product range: good, includes everything the average systematic trader needs
-Cost: about $100-$200/month, so quite high
-Historical data range: very wide, going back to 2008-2010 for futures
-Continuous contracts: available
-Entry barriers: none 

4) Rithmic  
-Data quality: very good 
-Product range: good, includes everything the average systematic trader needs
-Cost: good, around $50-$100/month
-Historical data range: acceptable but not as thorough as other providers (starting from 2011 for futures)
-Continuous contracts: available
-Entry barriers: none 

5) CQG 
-Data quality: acceptable, presented some bugs when we tested it
-Product range: very good, includes main instruments and some Far Eastern exchanges
-Cost: good, varies depending on your broker, in our case using AMP the cost was $33/month
-Historical data range: only 3 years (when using their partner Portara you can extend up to 35 years)
-Continuous contracts: not present but can be requested from the broker if the broker provides them
-Entry barriers: you need to open an account with a compatible broker to save money, otherwise the cost becomes very high (over $200/month) 

The 6 Parameters for Choosing a Good Data Provider

Before wrapping up this article on choosing a market data provider, we'd like to talk about what we believe are the main criteria for judging the quality of a data feed and figuring out if it's right for your needs. 

#1 Is the offer broad enough? 

As with brokers, it's important to start with the question, ‘What financial instruments do you intend to trade?’ US market? European market? Futures? Forex? Crypto? Far Eastern markets? Depending on your answer, you should target a provider who covers your desired markets. 

#2 How much does it cost? 

Depending on your budget, some data feeds may be more suitable than others. Indeed, some providers go as high as $400/month, while others cost a few dollars. 

#3 Is the historical data thorough enough? 

Backtesting your strategies using accurate and sufficiently thorough data (in other words, data covering a long enough period) is critical to creating effective trading systems.  

Of course, once again it will be your trading strategies and the markets on which you trade that will determine how extensive the available data should be. In any case, a data feed that only supplies data from the past few years is not ideal for backtesting.

#4 Are there any continuous futures contracts? 

Continuous contracts (denoted by the "@" character before the futures ticker) are artificial contracts made by "pasting" together historical data from all the different futures maturities.  

To backtest futures strategies, it's essential to have continuous historical data, and being able to use these contracts is certainly an added convenience. If they aren't available with your data provider, it’s necessary to manually create custom futures that collect the different maturities.  

#5 Are there any entry barriers? 

Some data feeds are available to anyone who pays the service fee while others have additional requirements, such as a subscription to a specific broker. 

#6 Is the data provided accurate? 

This point is quite self-explanatory. If the data we are given fails to accurately report market data or if it contains errors or delays, our trading activity will be greatly affected.  

Conclusion

As mentioned at the beginning of the article, choosing a good market data provider can make a difference when it comes to creating profitable strategies and trading successfully in the markets.  

For this reason, we recommend that you spend some time choosing the best provider for your specific needs, applying the criteria we've presented in this article.