Collect tick data

E

enews123

Hi all,

1. What is a good way to collect US equity tick data either live or after hours? I am planning to collect as many symbols as possible.

2. Do you know any data source provide historic tick data?

www.tickdata.com is one of them but $60 per year per symbol is not cheap.

Thanks in advance,

Ed
 
I bought the NQ emini data since its inception from tickdata.com and it lets me have one continious contract which is nice.
 
You can always just download if from your quote provider. What format do you want it in? Text?

Those quote vendors who do not provide you with software capable of exporting tick data in some way but which do have an API you can use will allow you to simply download all the data on their servers using your own program. If you are using RealTick, you can go to toolkit.taltrade.com, get a program for downloading data off of their servers (source code, not executable, so you need to compile it.)

Or you can use the excel feed (if it allows downloading of historic data, I haven't tried it yet.)

voodoo
 
As mentioned, through the API one can download tick data from Townsend (Realtick) but there isn't much history there to download...only something like the last 10 days.

If you want 15 minute candles it moves out to something like 40 days, hour candles even farther I believe.

If someone has decent programming skills, Herulean determination and enough desire to deal with the worst service company I've ever encountered, you can download a hell of a lot of historical data from Qcharts.

Through those sorts of efforts, I was able to download and clean several billion (yes, with a 'B') one minute candles for system backtesting purposes.

I have no idea how far back Qcharts has tick data.

JB
 
The nyse is the ultimate source for all the data. I was looking at Nasdaqtrader.com but they don't seem to have similiar data service.

You are right about the drawback though. Waiting for another month to receive data from two months ago in a stack of CDROM doesn't sound too efficient in this age.

With only DSL at 600k/s download speed, I am not sure the
pipe is big enough to download tick data from many symbols.

Ideally, if I can find a data service that supports historic tick data and API (by definition, even if you download the tick data the same night, it is already history), I can write something to poll as many symbols as possible at night without worrying about dropping data(and hopefully the data is cleaner...) and hogging
server. Does it exist?

Realtick sounds flexible enough with API but the min. entry is $150.. a bit steep for historic data.. considering I need to do all the work also.

I also heard Qcharts has the best multiday historic data archive in the industry. Most data vendors only keep 10 days tick data for obvious reasons.
 
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