Data Feed
The real-time stream of market prices, bid/ask quotes, and trade ticks delivered to a trading platform from the exchange via providers like Rithmic, CQG, or Tradovate.
What is Data Feed?
A data feed is the real-time stream of market information delivered from an exchange to a trader’s platform. For futures trading, the primary data feeds come from the exchange (CME for US futures) via infrastructure providers like Rithmic, CQG, or Tradovate, then to the trader’s platform (NinjaTrader, Tradovate web, R|Trader Pro, etc.).
Data feeds have two tiers: Level 1 (best bid, best ask, last trade) and Level 2 (Depth of Market — full order book showing quantity at each price level above and below the inside). Level 1 is sufficient for most discretionary strategies; Level 2 is required for order-flow analysis, Footprint chart usage, and absorption-based strategies.
Exchange data fees are charged separately from broker commissions. CME charges per-product, per-month fees that vary by Level 1 vs Level 2 and by professional vs non-professional status. Most retail prop firm traders qualify as non-professional (lower fees). Fees range from free (with some platform packages) to $1-$110/month per product family depending on access level.
How Data Feed works
CME exchange data fee structure (May 2026 approximate):
- Non-professional Level 1 (CME equity index): $1-$5/month per CME product (ES, NQ, MES, MNQ each).
- Non-professional Level 2 (DOM): $11-$30/month per CME product family.
- Professional rates: $25-$110/month per product depending on tier.
- Bundle pricing: Some platforms bundle multiple products at a discount.
How prop firms handle data fees:
- Apex: Includes exchange data in standard account pricing. No separate data fees beyond eval/activation/Rithmic platform.
- TPT: Data fees passed through depending on platform choice. Tradovate-side accounts: included. NinjaTrader-side: may have separate exchange fees.
- Tradeify: Includes data fees on Growth/Select; verify Lightning specifics.
- Lucid: Data fees included in standard account pricing.
- FundedNext: Data fees included.
- Phidias: Data fees included with verification on specific account types.
Level 1 vs Level 2 — when each matters:
- Level 1 sufficient for: Most discretionary strategies, swing trading, basic technical analysis, most prop firm eval and funded trading.
- Level 2 (DOM) required for: Order-flow trading, Footprint chart analysis, absorption strategies, scalping with iceberg detection, professional-grade order book analysis.
Professional vs non-professional status:
- Non-professional: Individual retail traders, no business affiliation, limited to personal trading. Lower fees.
- Professional: Investment advisors, traders trading firm capital, business-funded accounts. Higher fees, more compliance.
Most prop firm traders qualify as non-professional even when trading firm-funded accounts because the simulated capital is not their own and they trade as individuals.
Worked example
Setup: Trader on Apex $50K Performance Account using NinjaTrader 8 with Rithmic. Decides between Level 1 only vs Level 1 + Level 2 (DOM) data.
Strategy A — Level 1 only:
- Discretionary trades on ES based on chart patterns and key support/resistance levels.
- Uses inside bid/ask for entries and exits.
- Doesn’t use Footprint or order-flow analysis.
- CME fees included in Apex account pricing for Level 1 — no separate cost.
Strategy B — Level 1 + Level 2 (DOM):
- Order-flow scalping using Footprint charts.
- Watches DOM for absorption (large orders at key levels).
- Detects iceberg orders by watching trade size relative to displayed size.
- Pays additional $11-$30/month per product family for Level 2 data (CME equity index, NQ family).
Strategy choice analysis:
- Trader using only chart-based discretionary strategies → Strategy A is sufficient. Don’t pay for DOM you won’t use.
- Trader using Footprint, order-flow, or scalping → Strategy B required. The $15-$30/month is small relative to expected trading edge from order-flow visibility.
- Most retail prop firm traders use Strategy A; professional order-flow specialists use Strategy B.
Bundle math: Trading multiple CME product families (ES + NQ + CL + GC) on Level 2 can stack to $60-$100/month in DOM fees alone. Bundles or single-product Level 2 access typically more cost-effective for retail.
Data Feed vs related concepts
Side-by-side comparison of Data Feed against the most commonly confused alternatives.
| Concept | Definition | Category |
|---|---|---|
| Data Feed this term | The real-time stream of market prices, bid/ask quotes, and trade ticks delivered to a trading platform from the exchange via providers like Rithmic, CQG, or Tradovate. | Trading Platforms |
| Rithmic | A market data and execution infrastructure provider used by most US futures brokers and prop firms — powers Rithmic R|Trader Pro plus the back-end of NinjaTrader, Sierra Chart, MotiveWave, and similar platforms. | Trading Platforms |
| Tradovate | A web and mobile-native futures brokerage and trading platform with simple flat-fee pricing — popular with prop firm traders for its mobile app, server-side bracket orders, and absence of platform-license fees. | Trading Platforms |
| NinjaTrader | The most popular full-featured futures trading platform among US prop firm traders — Windows-native (Mac via Parallels/Wine), free for charting and demo, paid tiers for live trading. | Trading Platforms |
| CQG | A premium futures market data and execution provider used primarily by professional and institutional traders — alternative to Rithmic with similar reliability but more expensive and complex. | Trading Platforms |
| Depth of Market | A real-time display of all resting buy and sell limit orders at every price level — the "order book" view that shows market structure and liquidity. | Futures Mechanics |
Why traders fail Data Feed
Paying for Level 2 data without using it. Level 2 data only adds value for traders actively using order-flow analysis, Footprint charts, or DOM-based decision-making. A discretionary chart-based trader paying $30/month for DOM is wasting money.
Ignoring data fees in cost analysis. Some prop firms include data fees; others pass them through. A trader assuming “all-included” pricing can be surprised by $30-$100/month in CME fees not covered by the firm. Always verify exchange data fee handling per firm.
Selecting professional status by mistake. Some platforms ask whether you’re professional or non-professional during account setup. Selecting professional incorrectly results in 5-10x higher data fees with no benefit. Most retail prop firm traders are non-professional; verify your status carefully.
Using free data feeds for live execution. Free data feeds (some platform demo modes, delayed-data services) are typically delayed 10-15 minutes — useless for live trading. Live execution requires real-time feeds, which always have some cost (either bundled with platform/broker or paid separately).
Frequently asked questions about Data Feed
What is a market data feed?
A data feed is the real-time stream of market prices, bid/ask quotes, trade ticks, and order book depth delivered from an exchange to your trading platform. For US futures, data flows from CME via providers like Rithmic, CQG, or Tradovate to platforms like NinjaTrader, Tradovate web, or R|Trader Pro.
What is the difference between Level 1 and Level 2 data?
Level 1 data shows the best bid, best ask, and last trade price. Sufficient for most discretionary trading. Level 2 data (Depth of Market or DOM) shows the full order book — quantities at each price level above and below the inside. Required for order-flow trading, Footprint charts, and absorption analysis. Level 2 costs $11-$30/month per CME product family for non-professional retail traders.
Are data feed fees included in prop firm pricing?
Most major prop firms (Apex, Tradeify Growth/Select, Lucid, FundedNext) include Level 1 data fees in standard account pricing. Some firms pass through Level 2 (DOM) fees separately. Tradovate-side accounts at TPT typically include data; NinjaTrader-side may charge separately. Always verify per firm before assuming all-included pricing.
Do I need Level 2 data for prop firm trading?
Only if you use order-flow strategies. For discretionary chart-based trading, swing trading, or standard prop firm strategies, Level 1 is sufficient. Level 2 adds value mainly for scalpers using Footprint charts, order-flow analysts, and traders making decisions based on DOM absorption. Most prop firm traders pass evals and trade funded accounts on Level 1 only.
How do I qualify as non-professional for data fees?
Non-professional status requires (1) trading as an individual without business affiliation, (2) not providing investment advice for compensation, (3) not trading firm capital as your own. Most retail prop firm traders qualify as non-professional even when trading prop-firm-funded accounts because the simulated capital is not yours and you trade as an individual. Always verify with the data provider or your firm during account setup.