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http://www.nasdaq.com/symbol/adi/historical Looks like you can add up to 25 symbols. Should be able to hack up with your favorite scripting language to grab the data.

http://www.nasdaqtrader.com/files/crosses/CrossStats20140102.txt Data usually available the next day and is available historically by changing the date in the URL.

Thanks, unfortunately going through a broker isn't an option for the data.

Anyone know where I can get opening/closing auction volume for individual securities on the NYSE? It's freely available from NASDAQ but I believe you have to pay for the NYSE data but for whatever reason I'm struggling to find a link. TIA.

By consolidated I mean the CTA & UTP equity feeds as opposed to processing exchange feeds directly.

Nice thread. Do you feel it is still possible to make money using the consolidated feeds (assuming colo, etc). Or do you feel the latency of those feeds takes you out of the game.

where do you send IO close orders for listed symbols? NYSE? From what I can tell INET supports listed but I don't see any volume in listed when I pull up their NOII.

If I submit a LIMIT order to INET before the OA cutoff with the session tags set to both pre-open & core, will this order participate in the OA? I know how to participate in the OA, what I am looking for is an order that I can submit pre-open and if not filled during the OA turns into a...

I write perl scripts (although it could be in Python, Java, etc) that basically act like web browsers and download web pages with the data I care about. After the I fetch the page I parse it looking for fields I need. Sometimes it's easy, sometimes it's a PITA. For example, I have a...

Well, I know if I don't do it this way I get an email first thing AM from our compliance dept. But here is an excerpt from the Reg SHO FAQ at http://www.sec.gov/divisions/marketreg/mrfaqregsho1204.htm (NEW! 08/28/09) Question 2.4: How should a broker-dealer mark an order where the seller...

LONG 100, want to sell 300. I know I have to split this into two orders, SELL 100, SELL_SHORT 200. If I then decide I only want to SELL 200, can I just cancel the SELL 100 order? Or do I have to cancel both and then send SELL 100, SELL_SHORT 100? Can't find anything that covers this, my...

Thanks for the response. Turns out all you need is TIF = GTC on a LIMIT order. Successfully sent orders to NYSE & INET before the close and received several fills from INET that I believe were from from the closing auction (gonna dig through the FIX logs later tonight). From what I...

Looking for some info, request is out to broker but I'm still waiting on their response. I know for NYSE you need to have your order in by 2:45 with the appropriate tags. My question is can I have an open LIMIT order that I am working right up to the 4pm EST close that gets rolled into...

Thanks for the reply. That was my first guess as well but the liquidity flag indicates it removed liquidity and did not get routed.

Still waiting on response from broker, figured I'd throw this one out there and see what you guys think. 100 lot posted bid @ ARCA. 5 seconds later receive partial fill that provides liquidity, a few seconds later receive another fill that takes liquidity for the remaining shares. Order...

I'm looking for historical EOD data on equities (say top 1500 by mktcap) going back 10 years. I also need corporate action data (split/dividend/symbol change/etc.) over that time period. I already use Yahoo/Activ/Google/etc. but I'm looking for something that can help me build an appropriate...

Thanks for the reply. If you're using Perl, you can bypass the screen-scraping and use the Finance::YahooQuote package. It has been working well for me for almost 2 yrs now, but as of late the mktcap field has been showing up with "N/A" for a large number of the stocks I track. I'll have...

I currently fetch my mktcap, sector, etc. info nightly using perl script(s) against Yahoo finance (using Finance::YahooQuote & scraping). Recently their mktcap data has been questionable causing me a bit of work. I tried the same techniques on Google but they seem to discourage scraping and...

Just saw the message that OTC symbols A-J are unavailable. Which explains why some of my orders made it through.

GS is telling me it's a street-wide problem. Anyone else experiencing the same thing?