Etymotic ER-4P versus Shure SE530

I really do recommend finding experimenting with different tips, even third party tips. It took me a damn whole year before I realized that my SE530's did not indeed suck, but weren't sealing enough. I tried a pair of Atrio MG7 biflange tips and let me tell you there is a world of difference.

So I recommend you keep searching for tips that do seal well before giving up.

Isn't SE530 comes with a tri-flanges eartips just feel just like that of Etymotic?

I don't know the Shure but I do own the ER4P. Given that, I can't comment on sonic differences, however since fit seems to be a concern with the Shure I can highly recommend the custom fit tips for the ER4. They are comfortable, form a perfect seal and don't come loose in your ear. They cost $100 but I feel they're well worth it.

SE530:  Very mid-centric IEM but has nice deep bass providing a very fun and full sound.  Quite musical but rolled off highs are bothersome to many.

ER4P:  Very treble oriented IEM.  Overall sound is flat and somewhat cold/clinical.  Bass is much leaner by comparison.  As a single driver BA it struggles a bit with complex music pasages.  Amping helps a little bit.

have you tried the comply t or s series tips with your se530? it definitly sounds like you arent getting good seal and its influencing your opinion on the iems, or maybe even after you get a good seal you might still not like them, but its worth a try.

the comply p or s series are supposed to be pretty good on sealing.

imo the se530 are fun and given the clinical/flat sound of the ety, i find flat and clinical very boring.

even when comparing the se535ltd to the se420 the 420 are so flat you cant get into the music, i find the ety to be somewhat the same. i just really cant stand flat and boring.

My experience with Shure is limited to the older E3C, and I really struggled with a good seal on it, but that was nearly 4 years ago and I didn't know nearly as much about swappable tips as I do now. 

I've had ER-4P for more than a year now, and consistently use the grayish 3-flange tips that go deep into the ear canal, giving a nearly absolute seal.  I can say that with decent power, either from a strong DAP or an amp, is good for them, esp if you are wanting to warm it up in the lower frequencies.  It responds very well to EQ'ing and my Cowon J3 + some BBE settings can make my ER-4P as bassy as I want, still maintaining the myriads of details the ER-4P is famous for.

According to the Comply size chart, Ety tips should fit the Shure SE530.

Well, I know this is not a very popular choice around here at all, but I highly recommend that you give Ultimate Ears 600 a try. I've been a fan of the SE530 for a long time and I found UE600 to be almost as good as SE530 in most ways for a whole lot less money. I really can't think of anything significant that you might loose by moving from SE530 to UE600, except perhaps for somewhat higher levels of distortion at high volumes, which shouldn't be noticeable in actual listening anyway. In fact, I believe that UE600 is the better choice because it sounds perfectly coherent, thanks to the single driver design, while SE530 does not, especially if you don't get a good fit. With the Shures, the bass can sound detached from the mids and highs with an odd mid bass hump if the fit is not right, among other issues, like odd grain/lack of clarity in the sound that shouldn't be there. I found such odd "artefacts" if you will with almost all, if not all multi driver IEMs. UE600 is completely free of these issues while maintaining a level of sound quality that is, at least to my ears, remarkably close to that of the SE530 and other triple drivers I tried, especially considering its price.

Regarding Etymotic ER4: They used to be my favorite IEMs once actually, but not for long. In the end, I learned to accept that their bass response is really rather weak to be considered neutral and accurate, the highs in the P version are noticeably grainy and harsh (S version has very good treble though) and the soundstage and dynamic range are quite limited. Perhaps, with good amplification which I didn't have at the time, my experience of the Etys would've been different, as people say they can improve significantly with better amps and sources and I believe them. The mids on the ER4 were really nice though - natural, even and very detailed. Still, I preferred the SE530 among other IEMs like JVC FX700 and Hifiman RE0, RE262 and RE272 over the ER4 by quite a margin. Now with the UE600, I feel that balanced armature technology has advanced far enough to allow a single driver BA IEM to perform in the ballpark of 2 or even 3+ driver IEMs, at least unamped (but UE600 does improve with better sources and amps sounding noticeably better out of my HM-601 and Fiio E11 than, say, straight out of my Sansa Clip or Sony Walkman.)