Market Data Vendor Selection Checklist
The data vendor decision shapes every backtest and live signal downstream, and switching later is expensive. This checklist compares vendors on the dimensions that actually matter for quant work, not the marketing sheet.
Checklist Progress
Move item by item and keep your place
Progress saves locally, so you can work through the page over multiple sessions without resetting your checklist.
Checklist Sections
Work in focused batches instead of one long wall
Section 1
Phase 1: Coverage and resolution
Section 2
Phase 2: Data integrity
Section 3
Phase 3: True cost
Section 4
Phase 4: Access and licensing
Pro Tips
Small moves that make the checklist easier to finish
Try These Tools
Run the numbers next
Broker API Comparator
Alpaca vs IBKR vs Tradier vs Schwab vs Robinhood — compare auth, rate limits, order types, market data, MCP, and fees before wiring a line of code.
Finance MCP Directory
Security-graded catalog of finance MCP servers — Alpaca, Polygon, Databento, IBKR, Tradier, Tiingo, NautilusTrader. Scope, auth, idempotency, transport.
Order Book Replay Visualizer
Drop a Level-2 CSV and watch the book reconstruct tick by tick. Animated depth bars, best bid/ask, spread over time. Understand microstructure before.
Sources & References
- Advances in Financial Machine Learning — Marcos Lopez de Prado, Wiley (2018)
- Survivor Bias and Mutual Fund Performance — Edwin J. Elton, Martin J. Gruber, Christopher R. Blake, Review of Financial Studies (1996)
Related Content
Keep the topic connected
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Survivorship Bias
Survivorship bias in backtests: why dropped tickers, delisted funds, and dead share classes systematically inflate historical returns.
Look-Ahead Bias
Look-ahead bias: when a backtest accidentally uses data the strategy wouldn't have had at decision time. The most common variants and how to catch them.
Broker API Integration Checklist
Broker API integration checklist: verify auth and order types, handle rate limits and partial fills, reconcile positions, and add idempotency.