Level 2 tick data

[dcraig]

Quote from damballa:

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.

That's correct. The messages are composed of a bunch of comma delimited fields. It's quite easy to deal with. I just used the diagnostics utility - Diasnostics.exe - to start the local IQFeed process and log on. You could probably automate this but it's not worth the bother.

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?

No they are not the same product. nxcore is much more expensive. Basic IQFeed gives you 500 symbols and a for a fee you can increase in increments of 500 to a limit of, I think, 1800. For $63 + $20 you get US stocks. Can't remember cost for various futures but it's reasonable. IQFeed is probably the cheapest way for you to get started and do some experimenting. I have read on the DTN message board that nxcore also works with wine, but I cannot confirm that.

As others here have pointed out, dealing with L2 data for a lot of symbols is non-trivial because of the huge amount of data. Best to start small with a few symbols, with the least expensive setup - possibly IQFeed. If after experimenting, you think it worthwhile, entirely rethink how you will deal with a large number of symbols.

 

[damballa]

Quote from dcraig:
I just used the diagnostics utility - Diasnostics.exe - to start the local IQFeed process and log on.
...
Basic IQFeed gives you 500 symbols and a for a fee ... For $63 + $20 you get US stocks.

Thanks a lot dcraig. IQFeed seems to be exactly what I am looking for.

Quote from dcraig:
...dealing with L2 data for a lot of symbols is non-trivial because of the huge amount of data. Best to start small with a few symbols, with the least expensive setup - possibly IQFeed. If after experimenting, you think it worthwhile, entirely rethink how you will deal with a large number of symbols.

All I need to implement for starters is the communication between wine + diagnostics.exe and recording + compression for the feed on linux side. Once that is running then there is no hurry to work on the data.

 

[Tcl]

You may also want to check Activetick, they support linux
Their prices starts with 50 USD per month for 500 symbols

I never used them, and in another thread I requested reviews from anyone who used them , but got no replies so their are probably not very popular, which would make me personally skeptical about their quality

 

[damballa]

Quote from Tcl:
You may also want to check Activetick, they support linux
Their prices starts with 50 USD per month for 500 symbols

Activetick appears to offer level 1 only, so it is not for me. Linux support is nice, although no sources for the shared library binaries are provided.

One more question to dcraig or someone who knows IQFeed: can you explain what is the catch in IQFeed compared to the more expensive data providers (1000/month) if we are happy with less than 500 symbols, level 2 (at least 5 levels of depth for ask and bid) tick data and we are interested in the major exchanges only? "uexkuell" effectively claimed some of them are missing ticks, but I want to see proof of that.

 

[NetTecture]

Quote from damballa:

Activetick appears to offer level 1 only, so it is not for me. Linux support is nice, although no sources for the shared library binaries are provided.

One more question to dcraig or someone who knows IQFeed: can you explain what is the catch in IQFeed compared to the more expensive data providers (1000/month) if we are happy with less than 500 symbols, level 2 (at least 5 levels of depth for ask and bid) tick data and we are interested in the major exchanges only? "uexkuell" effectively claimed some of them are missing ticks, but I want to see proof of that.

Well, here is what nxCore gives me:

* Full feeds, no symbol selection. This is fine if you do futures only - the moment you go into options having all of them available is a plus.
* Tapes. They store data in "tape files" and make sure those are COMPLETE. As in: I can replay every tape when I want, and if my internet goes down - tapes get reloaded.
* Metadata. At least some - symbol only is not good enough to build a database, I also have trading times every day (session start / end, SOME DAYS BEFORE - which can be good for automatic trading systems to start / stop automatically on short days), symbol events (halted etc.), last trading day, first delivery day for futures, dividends for stocks. Prices without these data is worthless (because a divident changes the opening price next day, so you need to atke them into account).

The last can be important. my nxCore feed was down a week last week for RAM failure in the data center (really need to find a solution for that). As there is no trading for other reasons at the moment (mosstly: me being working on a large contract not having time for anything else) I just let it run. Yesterday I replaced the RAM, today I saw the missing tapes having been downloaded.