Data feed
A data feed is the connection that delivers market data to a charting platform: executed trades, resting depth, and sometimes historical records, each of which is a separate entitlement from the provider. The feed, not the chart, decides what a footprint, DOM or heatmap can show.
Senzoukria · Glossary · Updated September 2026
Three things a feed may or may not carry
Order flow software needs more than a price stream. Live executions with an aggressor side build the footprint and delta. Resting depth builds the DOM and the liquidity heatmap. Historical trades and historical depth let you replay or backtest. Each of these is entitled on its own by the broker, vendor or exchange, and a working login proves none of them in particular.
The same platform can therefore look different on two connections: a footprint on one, only OHLC bars on another, depth to five levels here and to the full book there. Empty rows below the top of the book are a coverage fact about the feed, not a display setting.
| Display | Required input |
|---|---|
| Footprint, delta, CVD | Executions with price, size and aggressor side |
| DOM, liquidity heatmap | Resting depth, aggregated by price or order by order |
| Replay, backtest | Recorded trades; recorded depth for a historical heatmap |
Questions to settle before comparing software
- Which provider issues the credentials, and which application and connection method does it permit?
- Does the feed publish the aggressor side, or will sides be estimated with a tick rule?
- How many depth levels per side arrive, and is depth aggregated or order by order?
- Does history exist for trades only, or for depth as well, and for which dates?
- What does the data cost per month, separately from the software licence?
In Senzoukria
Feeds are configured on the Account page under Broker Connections, where each card is typed as Direct, Bridge, Broker or Prop firm. The Chart data source selector chooses which one a chart reads: Rithmic (broker connection, no bridge needed), a local NinjaTrader or Quantower bridge, Binance Spot or Binance USD-M Perp public feeds, or Databento Live on your own API key. Free demonstrations on the website are not feeds; the real Binance stream runs on the /live page and in the app.
The connection badge reports CONNECTED only when prices are actually streaming, not when a profile is merely saved. The heatmap's depth panel states how many levels the feed publishes on each side and the age of the last book received, because on screen a quiet feed and a dead feed look the same. Market data on every source is billed by that provider; the software subscription does not include it.
Common mistakes
- Inferring depth entitlement from a footprint that works, or trading permission from a chart that loads.
- Judging coverage from a screenshot taken in a quiet pre-open instead of a fast session.
- Comparing platforms on different feeds and attributing the difference to the software.
- Budgeting the licence and forgetting exchange fees, vendor connections and add-ons.
Related
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Frequently asked questions
- Does a software subscription include the market data?
- Usually not, and not in Senzoukria. Exchange entitlements, broker data packages and vendor licences are contracted and billed by those providers. Add the software price, the required data and any add-ons before comparing total monthly cost between platforms.
- How can I tell whether my feed sends the aggressor side?
- Check the provider's documentation for a buy/sell or maker/taker field on trade messages, then confirm on a live session that delta populates rather than staying empty. A bridge that receives bars instead of ticks loses the side before it reaches the chart, which is why tick-by-tick settings matter on NinjaTrader and Quantower.
- Can historical depth be rebuilt from historical trades?
- No. Trades record what executed; depth records what rested and was often cancelled without trading. A historical heatmap needs recorded book updates for the period. Where none exist, the software leaves the period empty rather than drawing a reconstruction.