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Well, i dont agree with this statement, but if it works for you, then thats all that matters i think.

Interesting, i will have a look. Do you think this might be related only to longer bars, like 1-min? There is nothing like this when it comes down to real time tick data, you just get every trade from all exchanges. I think it might be that with longer term bars they exclude some trades based on...

You can see in the data example i posted at first post, that the trades include what exchange it is from. But these real time tick data are not, i am assuming, all the data from exchange, but rather reported trades from the exchange. I honestly dont know what type of trades are in that...

I am processing real time tick data myself from IB and constructing bars that are same as 1s candles. I have said this several times already in this thread. I am assuming you are talking about other levels of data? I am not using those, all i know is that when you subscribe to real time tick...

@FreeGoldRush @qlai If i understand your question correctly, there is no complexity how to construct bars. If you get real time tick data, its straightforward to create identical bars to InteractiveBrokers and TradingView. But of course you can look at other charting provider and they might...

I have finally chosen Data provider after several months. In the end, Finage updated their data based on the feedback i provided and i am able to now construct bars i need. So just to wrap up this thread at least from my side, for Real time tick data for US stocks via websocket, Finage is...

I am currently testing data feed from Finage for real time tick data ( stock NASDAQ and NYSE, Price, Size and Timestamp, realtime feed ). Since they updated their data feed, it is now providing more data than before, which is a good thing. They actually provide more data than Interactive...

heh, thats slightly out of my budget right now :) But thanks for letting me know the pricing. I am currently testing dxFeed, its about 10 times cheaper, but i first have to see what the real time data are like. Will post update once i look into it.

Thanks for reply. Good to hear there are solutions which provide actual tick data. I would be also interested to hear what is the pricing on Pico data.

@ZBZB Thanks, i looked into Nanex, it looks good, but they unfortunately dont support Python nor Websocket (i am able to use only these solutions currently). The price was also quite higher than $250 for NASDAQ only, but still reasonable.

@dholliday Thanks. I cant speak on other data than 1s data on TW as thats only data i tested. That being said from my test 1s bars on TW match exactly with IB 1s bars constructed from real time ticks. I tested Polygon and Finage and those data dont match. Does not mean one or the other is...

@Polygon.io Based on my personal testing of Polygon data feed, there was an issue with wrong timestamps in the tick by tick data feed for NASDAQ. I tried to solve this through support without any luck. My personal testing was straightforward. Receiving real time ticks data from IB and...

Btw i have still not found data provider i can use. Polygon and Finage both provide websocket connection and are easy to use, within somewhat reasonable price range, but their data are different from IB. They are different in sense that when getting real time tick by tick data, IB will have more...

Thanks, i will check IQFeed.

I think the wording i used was most clear. You get 100 lines per on quote booster, which is $30. You can purchase up to 10 boosters, which would be $300, that would give you 1100 lines (tickers)

Thanks, i sent them an email.

$250 would be great. I just received email yestrday from them with pricing and thats what i figured, but i will try to talk to them more. I will update it here, if i would get any other pricing.

@ZBZB I dont know if there was something in user agreement to not share pricing, so i wont give specific number, but it was significantly more than my $300 budget for NASDAQ and NYSE.

@greejan np. Well, i want to start with 1s bars and then construct other bars. Based on sims i did it seems that 1s are fine. @kmiklas Thanks a lot for detailed reply. I will have one more look at the 250ms snapshots. All i realy need is to construct 1s bars with ohlc and size. If it can be...

All i need is correct 1s bars, IB does not provide unfortunately 1s bars, only 5s bars. reqMktData provides 250ms snapshots, but when you construct 1s bars from those, they are wrong. So only thing i was able to do with IB data was to construct 1s bars from tickByTick data, which has limit of 3...