API feed for Level 2 and Time & Sales

T

timothylee

Is there an API feed for Level 2 (best bid, best ask, best bid volume, best ask volume for each exchange) and Time & Sales for US stocks? I'm currently able to work with delayed data, but I will eventually need real-time data. The API feed should preferably provide a little bit of historical data as well (e.g. past 30 days). Symbol limit is not a concern, because I only need data for about 30 tickers at a time.

I was looking at DTN IQFeed and Poligon.io. Do these data vendors have the data I am looking for? For DTN IQFeed, is their API any good for Level 2 and Times & Sales data? Is their Level 2 data "ready-made", or do they only provide raw trade and quote data, such that I will need to process the data on my own to get Level 2?

Are there other data vendors you would recommend?
 
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timothylee said:
Is there an API feed for Level 2 (best bid, best ask, best bid volume, best ask volume for each exchange) and Time & Sales for US stocks? I'm currently able to work with delayed data, but I will eventually need real-time data. The API feed should preferably provide a little bit of historical data as well (e.g. past 30 days). Symbol limit is not a concern, because I only need data for about 30 tickers at a time.

I was looking at DTN IQFeed and Poligon.io. Do these data vendors have the data I am looking for? For DTN IQFeed, is their API any good for Level 2 and Times & Sales data? Is their Level 2 data "ready-made", or do they only provide raw trade and quote data, such that I will need to process the data on my own to get Level 2?

Are there other data vendors you would recommend?
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It is possible to use IB's API and program this yourself. But I'm not sure whether you would consider IB a suitable data vendor.
 
trend2009 said:
no level 2 on polygon. IQFeed’ level 2 has no exchange info, only nasdaq
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Polygon's API for stocks (https://polygon.io/stocks) has websocket endpoints for real-time quotes and trades (see: https://polygon.io/sockets). Does Polygon's "real-time trades" websocket channel correspond to the "Time and Sales" that is commonly available on GUI trading platforms? Does Polygon's "real-time quotes" websocket channel provide sufficient data to construct a Level 2 table (as commonly available on trading platforms)?
 
timothylee said:
Polygon's API for stocks (https://polygon.io/stocks) has websocket endpoints for real-time quotes and trades (see: https://polygon.io/sockets). Does Polygon's "real-time trades" websocket channel correspond to the "Time and Sales" that is commonly available on GUI trading platforms? Does Polygon's "real-time quotes" websocket channel provide sufficient data to construct a Level 2 table (as commonly available on trading platforms)?
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only nbbo
 
Did you check out Polygon as suggested. How about algoseek?
 
calvinp239 said:
Have you found anything yet? I think AlgoSeek's full depth data feed is worth checking out
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Yes, they have some of the most comprehensive and detailed datasets in the industry.
 
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