Matt, how do different companies filter data? are all unfiltered and filtered data the same?
The difference between filtered and unfiltered data depends on the asset class, the exchange, the datafeed provider, and possibly the software platform you are using.
For example, some filter data by publishing only a few updates per second. It keeps your bandwidth requirements down and prevents a barrage of trades from slowing down the price updates. But it makes tick-by-tick charts unrealistic. And this is for all asset classes/exchanges.
On the other hand, Rithmic does not filter data. They send out every bid/ask/trade that happens in the futures markets that they cover. So you had better have a good connection and lots of bandwidth. And if you are running a fast automated trading strategy that uses tick-based data, this is helpful.
Others do some filtering, but for different purposes that those who provide filtered fata. They send out almost every bid/ask/trade, but first they “sanity check” the data with a proprietary algorithm that looks for unrealistic or erroneous prices. That way you are less likely to enter a bad trade due to an error in the data feed. (And yes, these do happen sometimes.)
In Forex ECN’s for example, you have all kinds of filters in place. There is no central limit order book that defines what “the” bid or ask is at any given time. It all depends on who your liquidity providers are, or what ECN’s you are connected to. In a sense, these are your filters.
Sometimes, the filtered/unfiltered distinction is used mainly to market one service/broker/feed vs another. It’s important to ask yourself what level of data do you really need, and then ask in plain English if your service provider can offer it.
Thank you. This provides the explanation I needed.
Hello,
is this the reason maybe why I´m connected with Rithmic all day while with other datafeed (dont want to name) I have several times a day “ConnectionLost”. Rithmic is nicely green “Connected” all day.
Thanks
Tony
My question was in regards to unfiltered data and not connectivity. But, do you find that those who provide unfiltered data also have better connectivity?
Unfiltered data has it’s advantages as far as seeing the entire picture, but we can’t claim in good faith that it’s more stable than filtered data.