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I have a proposal for the group & the trading community at large,
it's an idea I have been brewing over for several years.
As you would have read this week, I analysed yet another data feed,
(CME/Caplin E-quotes) and again, it was found the feed does not deliver
every sale, nor accurately track the Bid/Ask price/volume.
I have analysed data feeds from the top of the market US$2,000+/m
using dedicated leased lines & dedicated hardware, to the bottom of
the market, web sites, pocket pagers and the like.
The problems with all feeds breaks into a few major categories:
A) No ability to detect corrupt data (to customer) ;
B) Lack of ability to re-transmit corrupt data ;
C) Pipe to the customer to small ;
D) Pipe to Exchange/up-stream provider to small ;
E) Erroneous post processing of quotes ;
F) Deliberate decision to drop data (see C & D) ;
G) No redundancy in one-way protocol (satellite/pager/FM) ;
H) Poor SDK/API support if any ;
I) Win32 platform only ;
J) No published figures on data loss & error rate.
Obviously there are exceptions to every rule, though on average
my findings have been as follows:
The top end > $2,000/m = C,D,F,J
The mid range $200-500/m = C,D,E,F,G,H,I,J
The low end < $100/m = A,B,C,D,E,F,G,H,I,J
I do not accept that in 2004, we can place a robot probe on Mars that
is sending back 3D colour images, but cannot disseminate live pricing
from a first world exchange, over a first world telecommunications
infrastructure to an end a customer without the data getting lost or
corrupted while in transit.
I think the trading community on a whole has allowed this happen, as we
have taken our eyes off quality, and concentrated solely on cost.
When this happens, quality is always the first to suffer. Look around
you, when squeezed, most companies do not slash profits margins, they
simply offer less/lower service. The same is happening in the data
vendor business.
This is aggravated by a very common misconception that:
A) All data feeds are equal ;
&
B) The exchange(s) provide some regulatory quality control
and/or minimum technical standards for price disseminators.
Both are incorrect.
One internet data feed I tested a few years back lost ~ 95% of all data!
I wonder how many traders have gone to the wall because of bad data?
What other scientific industry would allow such erroneous data to be
the subject of such extensive study?
It may be a cliché, but I am coming to the conclusion that to do things
right, you must do it yourself. I made contact with the CME last year
and received tentative approval to connect directly to the exchange
(anyone can do this for a fee & some paperwork).
I estimate the cost of connecting to the exchange per 12 months,
including placing equipment in Chicago, will be Apx. US$10,000/yr.
I am looking for an initial 10 individuals and/or companies who are
interested in paying Apx. $80-100/m to receive a feed directly from
the CME, with no middle men trying to make a profit by squeezing the
pipe and dropping quotes etc.
I would like to operate as a co-op structure, in that if we receive
more than 10 customers, the price is lowered for everyone.
I.E. 20 customers could be as low as Apx. US$40-50/m etc.
Delivery will be via IP allowing global customer base and I would like
to see some functionality that is not currently widely offered, such
as client acknowledgement of every tick, ability to request historical
data (to recover client downtime) and ability to detect & re-transmit
corrupted (in transit) data to name just a few.
In the future, Additional exchanges could be added on a similar basis
if sufficient interest exists, but to start with I would like to
concentrate on the CME.
Thanks for reading this far, if you are interested please contact me
directly and/or via list on a non commitment basis.
Kind Regards,
Justin
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