Sorry if this sort of thing has been asked and answered before, I used the search function and came up blank.
I'm a computer scientist in real life and I'm trying to leverage my own expertise in machine learning to make my trading more intelligent. So I'm trying to find a retail broker that has a strong historical data offering and actually lets me use it in my own applications. This would be my first time using a broker where I have to pay for a data feed, so there are some aspects I'm not clear on. I'd prefer to not have to purchase a separate data feed (like IQfeed) from the broker's own, but if I can replace the broker's and not have to pay for the broker's, that's fine too. I don't need level 2 data, level 1 is fine for my purposes.
I took a look at the offerings on the IB website and while the API itself is quite usable, with the historical data download limitations they are simply a non-starter. Maybe there is another way I can use them though and not have to go through their API (like with a third-party feed)?
I called Tradestation to ask them about their offering (it's something they tout on their website) but they weren't able to tell me if I could actually export en mass their historical data (years of minute bars or months of ticks) for symbols into a CSV or Excel file. I don't want to try to implement a set of machine learning algorithms in EasyLanguage, I want to take the data and put it into things I've already developed! Similarly I called Lightspeed and asked the same question and they said I might be able to do it with RealTick, but I'm not willing to buy in on a "might" and I can't find any information on their website about historical data. Also the monthly cost of RealTick with them is a tough pill to swallow when I won't even be using most of its features, but if that's what it takes so be it. If any of these platforms had demos WITH DATA so I could test I'd be happy to do so and open an account, but that seems to be a tall order.
Has anyone else been in the same boat I am? It's been difficult to wrap my head around some of the offerings out there and the sales reps you hit by the phone lines seem to be mostly clueless about this sort of thing because it doesn't seem to be a common request. At least they admit they're clueless about it. Anyone else look for a similar offering and find something?
edit: Just to be clear, I'm interested in equities/options data, and data for futures on indices like SPX.
I'm a computer scientist in real life and I'm trying to leverage my own expertise in machine learning to make my trading more intelligent. So I'm trying to find a retail broker that has a strong historical data offering and actually lets me use it in my own applications. This would be my first time using a broker where I have to pay for a data feed, so there are some aspects I'm not clear on. I'd prefer to not have to purchase a separate data feed (like IQfeed) from the broker's own, but if I can replace the broker's and not have to pay for the broker's, that's fine too. I don't need level 2 data, level 1 is fine for my purposes.
I took a look at the offerings on the IB website and while the API itself is quite usable, with the historical data download limitations they are simply a non-starter. Maybe there is another way I can use them though and not have to go through their API (like with a third-party feed)?
I called Tradestation to ask them about their offering (it's something they tout on their website) but they weren't able to tell me if I could actually export en mass their historical data (years of minute bars or months of ticks) for symbols into a CSV or Excel file. I don't want to try to implement a set of machine learning algorithms in EasyLanguage, I want to take the data and put it into things I've already developed! Similarly I called Lightspeed and asked the same question and they said I might be able to do it with RealTick, but I'm not willing to buy in on a "might" and I can't find any information on their website about historical data. Also the monthly cost of RealTick with them is a tough pill to swallow when I won't even be using most of its features, but if that's what it takes so be it. If any of these platforms had demos WITH DATA so I could test I'd be happy to do so and open an account, but that seems to be a tall order.
Has anyone else been in the same boat I am? It's been difficult to wrap my head around some of the offerings out there and the sales reps you hit by the phone lines seem to be mostly clueless about this sort of thing because it doesn't seem to be a common request. At least they admit they're clueless about it. Anyone else look for a similar offering and find something?
edit: Just to be clear, I'm interested in equities/options data, and data for futures on indices like SPX.
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