The Nanex data feed - a honest review
Trading needs data. There are many data providers. Nanex is unique. Nanex is also not a widely supported provider – you do not find them in any retail commercial software that I know of – with a good reason. Still, for a developer of trading systems, it is a good provider with very unique values. We are using it – because exactly of those values. We consider Nanex a hidden gem. One of those things not many people know about or consider that are worth a lot more than you can see on the first look.
Nanex NxCore software is a windows service
Nanex runs as either an application or - better - a windows service that is in the background talking to their data service. Various applications connect to it using a dll that uses shared memory to grab the data - super efficient, and their service can be configured to automatically start upon boot. SO data collection can happen even without trading software running.
Their software has a nice little window that can show a log of events or the current bandwidth and delay.
In this image we can see we currently use 690 byte per second (the screnshot was taken on a sunday, so all that is coming through is the time update every 25ms) as well as a lot of other information about the connection. The software allows direct and fast access to the helpdesk and with the right licensing can act as multicast server, so multiple trading computers get the data over the internet once and then distribute it locally in the network.
Nanex is file based
Essentially it records, during the day, a “tape” of data. It does so on the server side, sending the data in real time to the client software that is writing it to disc. This replay mechanism means that
- A Nanex customer automatically has the recorded tape file on his computer. Which can then be replayed for a backtest or (better) data extract
- If the internet connection goes down, the take will synchronize the missing data. In fact, the last 2 weeks of tapes are available for automatic sync through Nanex in case of a longer outage.
This is unique – we use Nanex for years now and have not a single day missing (yes, tapes are also generated for the weekends, although obviously with no trades and thus a lot smaller.
Nanex is complete
This means raw. Cancelled trades? In there as trade, then as cancel. Metadata is partially provided, depending on the exchange – from session times to other information. Data never gets changed and cleared up - allowing a backtest to run against the unedited tape the strategy would have seen in real time.
Nanex is not integrated
e already said it – Nanex is not really integrated into any retail level software we know of. The interface is C based and not complicated, but programming – especially for data export – is better done by a programmer that knows how to write fast code. But missing integration means that Nanex is mostly interesting for traders with an open, extensible platform.
Nanex Timestamps are not top notch
25ms. 1ms for some more modern tapes. That is not comparable to the nanosecond granularity that Rithmic does provide. But it is good enough for most usages in automated trading, although we would prefer a 1ms timestamp.
Nanex is not cheap
Obviously a limiting factor for some. Nanex is among the more expensive providers. No “50 USD plus exchange fees” offer, and obviously exchange fees are higher because of the tape structure and mandatory data that has to be taken. Still, for an automated trader that is not too bad – and the data may come in handy in some years when new strategies demand data that was not traded (like trying out option strategies).
Our conclusion: A good commercial feed
For any trader who wants it all, not just the symbol he trades now. Or anyone who needs a lot of data for auditing or other such scenarios. The ability to do significant development work in house is essential, though. Nanex tapes are hard to manage and should not be used for a backtest directly – too much data is not needed on a specific run. Instead, the data should be extracted. The high number of symbols leave no other choice – we take minutes to replay a Nanex tape file (with an empty handling routine) compared to around a second for the most active symbol on the CME.
If one can deal with the programming requirements, it is a top notch feed that is built around the idea of delivering a non-stop no-failure view on the market.