Market-data engineering
Data is a decision with a cost attached, and the honest answer is often “less than you think”. We match the feed to what your strategy genuinely needs, connect it cleanly, and keep it honest when the free option is the right one.
Start from the strategy, not the feed
The most expensive mistake in market data is buying the fastest, deepest feed for a strategy that never needed it. The right question isn’t “what’s the best data?”, it’s “what does this strategy actually require to make its decisions correctly?” That’s where we start, and it usually saves money.
What different strategies actually need
- Scalping & intraday. A reliable real-time feed with low, predictable latency, and often full depth of book. Here the data quality is part of the edge, and a premium feed can be justified.
- Statistical arbitrage & pairs. Time-synchronised ticks across many instruments at once, so two prices are compared at the same instant, not merely the same minute. Clean, aligned data matters more than raw speed.
- Positional & swing. End-of-day or periodic snapshots are usually enough. Broker data or an inexpensive EOD source does the job; a tick feed is over-buying.
- Event-driven. Structured news and economic-calendar feeds, timestamped and machine-readable, so the system reacts to an event rather than a chart.
Real-time, historical, and the gap between them
A backtest is only as trustworthy as the data under it. We care about the unglamorous parts: bad ticks and gaps cleaned without quietly deleting real moves; corporate actions, splits and contract rollovers handled so a naive series doesn’t lie to you; and history that’s actually deep enough to test what you’re claiming. Getting this wrong is how a strategy looks good on screen and falls apart live.
Feeds we integrate
Plus broker-native data where it’s sufficient.
News & fundamental data
For event-driven and fundamental strategies, we integrate structured news and economic-data sources and wire them to your logic, the release, not the rumour.
Infrastructure & latency, honestly scoped
If microseconds decide your strategy, we’ll talk about co-location, direct feeds and the engineering that goes with them. If they don’t, and for most strategies they don’t, we’ll say that too, and save you the bill. Latency is a real cost only when your edge actually depends on it.
Common questions
- Do I actually need tick data?
- Often less than you’d think. If your strategy trades intraday on seconds-to-minutes signals, a good real-time feed matters. If it’s positional or end-of-day, your broker’s own data is usually fine and a premium feed is money not worth spending. We tell you which case you’re in before you buy anything.
- Is IQFeed or Nanex worth the cost?
- It depends entirely on the strategy. For genuine tick-by-tick work, scalping, statistical arbitrage across many instruments, microstructure signals, a premium feed earns its keep. For most other systems it’s over-buying. We’ll size the data to the strategy, not the other way round.
- Can you just use my broker’s free feed?
- Frequently, yes, and we’ll say so when it’s true. Broker-provided data covers a large share of real strategies. We only recommend a paid feed when the strategy genuinely needs something the broker feed can’t give: full depth, unfiltered ticks, or history the broker doesn’t keep.