Level 2 tick data

Two options to get started :
1) go to tickdata.com. they should have a sample set of data which includes l2/full book that you can play with
2) use tradelink with a broker that supports l2 and record this data. because there are l2 brokers that offer free demos, you could record a small sample this way.
 
Try OEC's market replay plug-in. Let's you record level II for 5 instruments. You can play it back 1-100x speed, capture in excel, test out your strategies.

At minimum should allow you to capture the sample data you seek...
 
Quote from damballa:

(I do not know why my reply does not show up, so I will post it again)

Thanks for the pointers, but neither seems to be what I'm looking for.

It seems both Nanex and DTN are proprietary Windows data feeds that need Windows computer for the DLL interface. Neither of these sites even provide the pricing information. So I need an extra computer, Windows license, data provider subscription and a lot of time to develop the needed code to pull the data from the DLL-API. All this for is highly unnecessary for getting the raw data.
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Reality check: The prices for windows and another omputer (if you insist on not using virtualization) are nothing compared to the prices for the data.

Reality check: MOST feeds are windows only. Like 95% of them.

Reality check: you get into a problem programming wise anyway. This is a LOT of data - TONS more (10 times as much as a minimum) than level 1.

So, at the end this is not a "i need an a file to load into open office funny spreadsheet app", it is "I need serious processing power to make any sense out of it anyway".

I get the Nanex CME feed and I pay around 750 USD monthly for feed and data. This is - in their highly compressed format - between 1.2 and 1.8 gigabyte per day (some days it was 2.5, but those were the really busdy days). Tracking around 200.000 symbols, obfviosuly most of them options. This is not "10.000 dicks a day", it is "more than 500 million updates per day".
 
Quote from NetTecture:
So, at the end this is not a "i need an a file to load into open office funny spreadsheet app", it is "I need serious processing power to make any sense out of it anyway".
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I am disappointed that this trolling was necessary in your opinion. I have said nothing that would indicate I am incompetent. I just have to work with a student type of budget.

I repeat that I would need a sample to get me started. I expect I need 1-2 years more time to work before I can go trading. Why should I pay 1000 for a sample? I don't get it. The first month would probably be near the end before I get the API support to work, because most the data feed providers do not have SDKs available and no way to test the implementation.

I did not say I need 200000 symbols (I doubt my bandwidth would be enough), few symbols would get me started. It is incomprehensible that no such sample is available.
 
Quote from damballa:

I am disappointed that this trolling was necessary in your opinion. I have said nothing that would indicate I am incompetent. I just have to work with a student type of budget.

I repeat that I would need a sample to get me started. I expect I need 1-2 years more time to work before I can go trading. Why should I pay 1000 for a sample? I don't get it. The first month would probably be near the end before I get the API support to work, because most the data feed providers do not have SDKs available and no way to test the implementation.

I did not say I need 200000 symbols (I doubt my bandwidth would be enough), few symbols would get me started. It is incomprehensible that no such sample is available.
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I am not trolling.

You for example dont know what you talk. For example - bandwidth. The feed above taeks me about 2-3 megabit at peak times - RARE spikes higher (during the crash times we expected recently). THis is by no means high bandwidth. Not these days. My mobile phone can handle it.

Sadly, this stuff is expensive. And it is not 1000. It is a little less. PER MONTH. Makes it around 9000 USD - per year.

Contact the providers for a sample. It is easy. I had to call in 2-3 times, but at the end I got sample data and signed up after a week.
 
Quote from damballa:

(I do not know why my reply does not show up, so I will post it again)

Thanks for the pointers, but neither seems to be what I'm looking for.

It seems both Nanex and DTN are proprietary Windows data feeds that need Windows computer for the DLL interface. Neither of these sites even provide the pricing information. So I need an extra computer, Windows license, data provider subscription and a lot of time to develop the needed code to pull the data from the DLL-API. All this for is highly unnecessary for getting the raw data.
More...

DTN IQFeed runs perfectly under wine on Linux. There is a socket based "API" - in reality just a bunch of message formats - that is quite easy to code to with virtually any language on Linux.
 
Quote from dcraig:
DTN IQFeed runs perfectly under wine on Linux. There is a socket based "API" - in reality just a bunch of message formats - that is quite easy to code to with virtually any language on Linux.
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Thanks for the info. IQFeed asks $300 for api documentation. So I can only guess how it works. I guess it works by having some executable run in wine that opens local port and acts as a server? This would be ok for my case if you guys have not had problems communicating with the wine from native linux via tcp/ip.

Are nxcore feed and iqfeed the same? How much does IQfeed cost? From what I understand $300/year for api documentation and $63/month plus unknown exchange fees and unknown fee for level ii data ("also available as paid services..."). How much are you guys paying?
 
Quote from damballa:

I am looking for historical level 2 tick data (for index futures, stocks or commodities). I cannot find anything, not a single sample to get me started.

Note that I am just looking for a small amount of data (few days or even less) to get me started. I am not ready to blow up the bank to get it.
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Some good (low cost) advice was already given in this thread somewhere:

Connect to IB (Interactive Brokers) and save the data into files.

This will require some API programming.
There is no off the shelf solution.


What I would like to add:
It's not done with a few days.
If you really want to see patterns some months of data are needed.

Also keep in mind that what the various feeds deliver is quite different.
If patterns are found in Nxcore data you might not find them in IB's quotes and vice versa.
 
Quote from uexkuell:
Also keep in mind that what the various feeds deliver is quite different.
If patterns are found in Nxcore data you might not find them in IB's quotes and vice versa.
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What does this mean? Are you saying some ticks (a lot of ticks in this case) are missing from either one? Have you guys made any statistics of missing volume from order books for various data providers?

If I recall correctly IB required large deposit to open an account.

I know few days is not enough, but again it would get me started. Currently I have no level 2 data at all and none of you are willing to share if I have read you correctly.
 
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