“I want to thank Nanex and Eric Hunsader for providing the trade and quote data for the options and their underlying stocks. I use these data in my doctorate thesis at UIUC which can be found at SSRN (http://papers.ssrn.com/sol3/papers.cfm?abstract_id=1963865). I thank Nanex in the acknowledgment section of the paper, but I decided to also send[...]

“I’ve been working in software development for the financial industry for over 15 years, both for European and US markets. There were many data feeds protocols and APIs passing through my dev environment, starting with market data received through TV teletext service and satellite antennas and continuing with the Internet feeds that are so common[...]

“In today’s marketplace, there is no room for error, data omission, latency or excuses when it comes to market data. After we had been a customer of Hyperfeed for five years and S&P Comstock for two, I had come to the realization that to get market data “right”, I was going to have to do[...]