The culprit(s) for prohibitive cost of
authorized data are not the authorized data vendors, but the exchange(s) themselves!!!
The vendors, in fact, are worthy of empathy as they are trying to make ends meet in a very tough situation which is not of their own making!!!
Correctness of data is certainly one of the paramount factors contributory to quality of trading process!!!
BUT this is to be understood in the context of a huge caveat!!!
What process benefits from what aspect of correctness!!!
When a trade takes place (as per the matching algorithm appropriate for the prevalent session - auction OR normal) it generates a
tick!!!
A single tick has the following associated
markers
- Trade Timestamp
- Traded Price
- Volume (or number of contracts)
- Open Interest (as applicable)
The Bid & Ask for that particular trade time are supplementary markers - applicable for analytics specific to particular trading approaches!!!
Whether this tick will be counted as
authorized (or not) will depend upon the filtering algorithm (the sampling algorithm pertains to transmission as per designated
scale for
client type - this in turn is governed by realities of input cost Vs return for required infrastructure or wherewithal)!!!
A collection of filtered ticks w.r.t a time period will have the following additional attributes
- Open
- High
- Low
& - Close
All other (mathematical) attributes (e.g average, median etc) are merely derivatives
Pay
very very close attention to this
do we really need very very accurate data
Because it
ought to be a cause for some
serious introspection!!! That is, if you were, in fact, paying attention!!!
Apart from
latency which would be a universal cause of detriment to ALL types of traders & trading approaches, what are the attributes which would have specific bearing upon your
type of trading approach???!!!!
A query for which data is
better can not really yield any response of value unless its qualified as pertaining to the
type of trading approach & event horizon!!!
With as many approaches (at least, and more
in vogue) as there are traders
, is it reasonable to expect that what may suit Joe would also be kosher for Jane???!!!
What may suit you is going to be
very very personal because it is
YOU who is trading the markets as per a particular approach, with a particular strategy, with specific tactics for entry, exit, position sizing and scaling suited to that strategy and specific event horizon!!!
That realization can only dawn when
YOU have
thought out your trading process through & through!!!
YOU have to decide whether you want to make money with OR without TBT!!!
Just to make what is intended clearer with illustrative examples
- Did grandmothers of yore who made money simply by
keeping score with
yesterday's close prices from the newspaper and by hand drawn point & figure charts needed one minute (forget tick by tick
) data to do it??!!!
- Would an HFT arb firm be able to
make do with 30 sec bars??!!!
- Does your system (or
YOU) need TBT to differentiate between an uptrend and a downtrend???!!!
- Do
YOU need TBT to realize that support & resistance are
zones and NOT a singular point???!!!
- If YOU (or your system) trades on a 5 min bar, does it make any appreciable difference whether that bar contains 300 ticks or 900 ticks???!!!!
- Do
YOU understand that nuances of period
containers being marked by start - end time (different than that of the provided data timestamp) by your specific TA platform has a bearing upon showing '
apparently' different high/ low (or, say, maribozu
) for the same period compared candlestick/ bar???!!!
Think about it!!!
As rightly brought out by @yusi that, at times, mostly the high/ low values are the culprit
BUT do you know that except for a few handful, the majority of technical indicators are based on the close!!!
What @yusi kinda missed out on is that high & low are minor juveniles - It is actually volume that is the main offender!!! This is a problem not limited to a particular exchange but extends worldwide including exchanges of even the (so called) developed markets!!! - Correct info about true volume is very, very hard to get!!!!
There is absolutely
no point in data comparison between, say, GFDL or TrueData as both are unlikely to have the same
sampling and transmission policies (depending on specific wherewithal, mode of transmission and ensuing cost). Furthermore neither of them is an accredited benchmark for NSE data!!!
There is absolutely
no point in data comparison between, say, NEST, NOW, Sharekhan and/ or Odin terminals as none of them is an accredited benchmark for NSE data!!!
These exercises are merely placebos to appease a vacant mind and to placate nebulous concern!!!
If at all data comparison has to yield any meaningful inference for
RETAIL TRADERS, then its better to compare one minute data from your terminal/ vendor (authorized or otherwise) with TAME charts of NSE - Publically available for all - while accounting for TA platform
containerizing nuances!!! NSE can be faulted for many things, but deliberately publishing incorrect data on its associated website is
not one of them!!!
Even Yahoo or Google purchase data from the exchanges/ authorized vendors (or under special arrangement - there are NO free lunches
) and have nothing to gain (and only much to lose in respect of their reputation) by publishing (deliberately) erroneous data on their sites. These too can be good enough to trade on, specific to your trading approach or event horizon!!!
As brought out by
@TradeOptions, if your trading approach utilizes order flow analysis then you
will require specific data attributes, which would entail specific provision (however, this is not to imply that you will somehow be
magically transformed into a winning trader by doing this
)!!!!
As it generally happens in any endeavour specific to a particular pursuit, people end up with hallowed beliefs without subjecting them to rational scrutiny. The subject of '
Correct Data' is one such associated with the business of trading and is a favourite
whipping boy OR a peg to hang the blame for failure(s) in becoming a successful trader by many!!!
I've said it earlier AND will say it again - The
Perfect data is a Chimera that exists only in the innards of the exchange servers - that too
at the moment of its creation (trade execution), thereafter it will no longer be
perfect if only for no other reason than that of inevitable transmission latency!!!!
YES, the odds are stacked against the retail crowd - BUT nobody promised you an even playing field - The world does not go about its business in a fair manner!!!
A trader, rightly, ought to focus upon how to make money in spite of these
limitations!!!
This post is only to aid '
food for thought' for making the
suitable data call by
YOU!!!