Choosing live data sources
High-quality live data is essential for accurate trading signals and reliable execution. Your choice depends on asset class, latency needs, and budget.
Common live data sources:
- Exchange feeds: Direct feeds from exchanges offer the freshest price and order book data for equities, futures, and crypto.
- Broker data APIs: Many brokers provide consolidated market data tied to execution services.
- Market data vendors: Commercial providers (e.g., Bloomberg, Refinitiv) deliver comprehensive, cleaned feeds for professional use.
- Aggregators and websockets: Third-party APIs aggregate data across exchanges or venues at lower cost.
Factors to evaluate:
- Latency: For fast strategies, low-latency direct feeds matter; for slower strategies, slightly delayed data may suffice.
- Coverage: Ensure the feed covers the exchanges, instruments, and historical depths you need.
- Reliability and uptime: Look for SLA-backed services and redundancy.
- Cost: Direct feeds and professional vendors are pricier; weigh cost against strategy sensitivity.
Practical checklist:
- Start with broker or aggregator feeds for prototyping.
- Verify timestamps and data quality against reference sources.
- Implement fallback providers for redundancy.
- Monitor feed continuity and set alerts for gaps.
Choosing the right live data source is a balance of speed, reliability, and budget. For many users, broker-supplied or reputable aggregator feeds are sufficient; professional strategies may require direct exchange subscriptions.