Comparing Real-Time S&P 500 E-Mini Data Feeds and Latency Trade-Offs
Summary
The discussion compares ways for a Europe-based high-frequency trader to obtain real-time S&P 500 E-mini futures prices. Responses distinguish retail data services from more expensive institutional arrangements that offer market data and access to points of presence near European financial centers. They also mention a high-quality retail feed, a streaming data service, and a broker-provided S&P 500 contract-for-difference feed that can be evaluated through a demo account.
The answers frame feed selection as a trade-off among cost, data quality, and latency. Internet transport imposes latency limits, while a CFD is only a proxy for the futures contract and can differ from it. The suggestions are anecdotal and tied to the services and market arrangements described in the discussion; they offer no controlled latency measurements or current pricing validation. A correlated European instrument is raised as a possibility, but no substitute is identified.
Key ideas
- The responses compare retail feeds with institutional market-data and connectivity options for accessing E-mini futures prices.
- Colocation and network infrastructure can affect latency for a Europe-based user receiving US futures data.
- A broker CFD feed may offer a way to assess real-time prices but can differ from the futures contract.
- Internet delivery introduces latency, even when a feed is considered high quality.
- The provider descriptions and cost claims are anecdotal and are not independently tested in the discussion.
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# Real-time & Fast S&P 500 E-Mini Futures (ES) Data # Real-time & Fast S&P 500 E-Mini Futures (ES) Data I trade on local exchanges in Europe, but my HFT strategies need S&P 500 e-mini futures data (ES). I don't need to trade ES, but I need real-time data and I want to have it as fast as possible. I've tried http://www.zen-fire.com/ and it works fine, but probably something better exist? Or maybe (just maybe...) I can use another instrument that located somewhere in Europe and has a good correlation with ES? I only need "last deal price" if this is important. ## Answer by m1ndst0rm (score 9) https://quant.stackexchange.com/a/1837 In terms of pricing, Zen-Fire seems to be the best "retail" solution. But as you said, you need to be faster, so you can try some faster and more serious options: - QuantHouse - CME's Level 1 market data will cost you around 1500 Euros per month. They have points of presence in most local financial centers in Europe (Stockholm, Frankfurt, etc.) so you can colocate near to them, if you wish. They aslo operate their own fiber network, so you will get your stuff from USA very fast. - FixNetix - All the same, actually :) Maybe some little differences in pricing. Regarding your question about higly correlated instruments - i do not know any, and as i know, S&P500 Index futures (big and e-mini) is traded only on CME and somewhere in Asia (am I wrong?). Best regards, Dmitry ## Answer by Meh (score 5) https://quant.stackexchange.com/a/1838 You can get free real-time S&P 500 CFD data from a forex broker like FXCM. You can open a demo account and test the quality of the feed through their API. Note that it's a CFD, so there are some small differences to ES. The quality is probably not as good as Zen-Fire. ## Answer by Louis Marascio (score 3) https://quant.stackexchange.com/a/1859 Another DTN product, Nanex NxCore is a very good choice for a high-quality "retail" feed. It will suffer from the standard latency issues of transporting the feed across the internet, but it is likely the highest quality feed one can get on the retail end of the spectrum. ## Answer by Joseph Dunn (score 1) https://quant.stackexchange.com/a/1839 You can get this data streamed real-time from IQFeed. Should be easily less than $100/month.
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