r/algotrading • u/lambardar • 3d ago
Infrastructure Realtime data struggle
So I'm struggling with getting a proper data source. I was running a few strategies fine with IBKR's realtime feeds till recently a strategy popped up that requires futures/CME MBP-1 for building certain indicators.
I need to test this strategy on paper and for 2 weeks now, I realized that IBKR is not able to maintain a continuous realtime feed. I get quotes with timestamps that are off or huge delays. There's no delay on processing as these get logged immediately. The code is running on a server in a datacenter and I've ruled out processing/network lags.
The timestamps that come with the quotes will be 10+ seconds old.
Before I spend $400/month on data from databento/massive for paper testing a strategy, I would like to know if there's a cheaper alternative.
I can maintain a funded account on some brokerage if it gives access to websocket and proper data streams or have a subscription that's significantly cheaper than $400.
I've looked at
FMP: no futures stream
moomoo: futures is only quotes; no best bid/ask
tradier: futures requires CQG, other vendors involvement.
kinetick: I've reached out to them, still waiting.
Update: subscribed to tickstream for $79 .. will try them out.
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u/Grinner789 3d ago
I use tradestation data integrated into multicharts for backtesting and strategy execution. not sure if its what you need for best bid/ask. I started off using IBKR data, but TS is much more reliable. need to maintain a TS account and spend >$40 per month in txn fees for free data, otherwise its $40 per month for what I need. I run a few fun scalping strategies on a small TS account to maintain the free data. good luck
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u/DeskbotTrader 3d ago
before paying monthly, check if your indicators actually need tick-level MBP-1 or if snapshot data (even 100-500ms) would work — plenty of strategies that people assume need the firehose do fine on snapshots, and that changes the price bracket a lot. also worth asking about historical + live replay for paper testing: you can validate the logic against recorded data first and only subscribe live once the edge survives. on the IBKR timestamps, their feed is known to throttle on busy accounts, so it may not be your code but it also may not be representative of a real feed.
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u/artemiusgreat 3d ago
L3 and MBO orders cost the same as DataBento but if you need only L1 or L2, they have more limited and cheaper plans.
Tradier in your list: they said that they don't offer an API, only integration with available platforms, FYI. Similar situation with AMP and WeBull - only existing platforms.
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u/algobyday 3d ago
Hey, just a heads up massive futures for real-time data is 199/month. It depends on what you need, but it could even be as low as 29/month if you just wanted to test things using delayed data. Full disclosure, I work there but just wanted to provide some options after seeing this thread.
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u/lambardar 3d ago
I have used their historical data to backtest and develop the strategies.
If i move to massive, ill use their stocks feed and futures. Both are $199 each
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u/metalayer 3d ago
https://londonstrategicedge.com/data/#api
free realtime futures data, ticks via websocket
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u/lambardar 3d ago edited 3d ago
WTF !!!
How is this hidden for so long
Edit: Thanks but they only have NQ and there's no bid/ask.. but the website is helpful though.
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u/QATSAlgo 3d ago
For a trade-plus-BBO indicator, I would ask each candidate for a short raw sample before opening and funding another account. Check whether the quote is the state associated with the trade event, or merely the latest quote received by your client. Also log source timestamp, local receipt time and sequence gaps separately. A feed can look fast on average and still be unsuitable for that join.
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u/fuzzyp44 3d ago edited 3d ago
ninjatrader -> deposit $400 to open acct, just take a micro trade here and there to maintain account activity. pay $4 / month for cme level 1 data or $12 for level 2 is probably the best you get. You can download historical tick data as well or do market replay to get super accurate fills if needed.
you can run strategies on sim without buying the software to test out as well which is nice.
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u/lambardar 3d ago
I didn't try ninatrader, but the associated tradovate.
to get CME futures data streamed outside of their apps (ninjatrader), they need me to register with CME as a sub vendor. That's like $600 something per month and $156 for professional. and it gets complicated if the data will be "Displayed" somewhere.
https://www.cmegroup.com/market-data/files/january-2026-market-data-fee-list.pdf
The prices you quoted are to use it inside ninjatrader. to stream it via API to your own app is not as straight forward from a lot of providers.
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u/greatestNothing 3d ago
I made an indicator to stream from ninjatrader to python because of this. it was clunky. Then I went to databento and it's pretty flawless. Recently switched to insight sentry...it doesn't have bid/ask that's true though the way that databento does. At an 1/8th of the cost it's a tradeoff I'm willing to make. IS also doesn't have historical tick data so if the data feed goes down you can't backfill tick past a few minutes.
Reliability and fidelity are why you pay the Databento toll.
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u/Maleficent-Success-6 2d ago
Before committing to another data provider, I'd run a short side-by-side capture and compare the actual message timestamps.
Since you need trades and their associated best bid/ask, the important distinction is whether the feed delivers exchange-timestamped events or aggregated snapshots.
I'd record the exchange event timestamp, local receipt timestamp, sequence gaps and the age of the latest usable bid/ask at each strategy decision.
That would help distinguish genuinely stale market data from delayed delivery or timestamp interpretation issues.
I'd also check whether the provider guarantees the specific CME data fields and update granularity you need, rather than just advertising real-time futures quotes.
For paper validation, I'd treat a 10-second-old observation as unavailable if the strategy requires fresher information.
Otherwise the paper results may look valid while testing decisions that could never have been made with timely data.
Have you already captured the exchange timestamps and local receipt timestamps side by side for a full session?
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u/severalbicycle57 3d ago
You could look into CME's own market data or some of the smaller futures brokers that offer websocket access with a small account minimum. Some prop firms also provide data feeds as part of their platform subscription, though it depends on what indicators you're building and whether you need full depth.