Recommended API

JoshuaCA · Aug 12, 2009

Have a look at DTN and their IQFeed.

I switched to them after using eSignal for many years and I'm very satisfied so far.

http://www.iqfeed.net/

The API is pretty well designed and supports different languages - you can pick what you're comfortable with.

Not too expensive either. Let me know how it goes.

Bob111 · Aug 12, 2009

Quote from JoshuaCA:

Have a look at DTN and their IQFeed.

I switched to them after using eSignal for many years and I'm very satisfied so far.

http://www.iqfeed.net/

The API is pretty well designed and supports different languages - you can pick what you're comfortable with.

Not too expensive either. Let me know how it goes.

as far as i remember they also have limited L2 and it's kinda sucks(at least it was couple years ago)
in L2 they did not display all sizes from all participants, just biggest one. so if you have @ bid 2 separate orders on ARCA-one to buy 100 shares @ 5 and another-buy 500 @ 5-they will show only last one. they did not provide time,when order was submitted.
the best of all i've seen is probably MB trading SDK, but they also limit stocks to 100 tickers and L2 for like 3-5(use to be for 100)

eyalmolad · Aug 12, 2009

Ok, Thanks a lot for all the answers.
I will try the IGFeed.
Eyal

eyalmolad · Aug 12, 2009

Hi,
I wanted to ask if there are any limitations on IB trading station?
I would like to get about 1000 quotes with times & sales or build 5 minutes bars.
Is this possible?
Thanks
Eyal

dcraig · Aug 12, 2009

Quote from eyalmolad:

Hi,
I wanted to ask if there are any limitations on IB trading station?
I would like to get about 1000 quotes with times & sales or build 5 minutes bars.
Is this possible?
Thanks
Eyal

100 symbols is the limit.

uexkuell · Aug 12, 2009

Quote from dcraig:
100 symbols is the limit.

Not completely true.

The limit is 100 symbols for one normal account.

But: You can set up a paper trading account (for free) which gives you another 100 symbols.
Then you can set up any number (say X) of sub-accounts which give you extra X * 100 symbols.
Don't know if for any extra sub-account you can get also an extra paper trading account.

Bob111 · Aug 12, 2009

but still-L2 is limited to 3 or 5 tickers, plus IB data is a snapshot, not really live + they have issues with sizes on bid\ask and volume. see "IB true size " thread
bottom line-ok for retail trading,useless for serious real time volume\size\price analysis

NetTecture · Aug 13, 2009

SO go and pay for a high end feed. NxCore has options that offer what you want. You just have to pay for them.

uexkuell · Aug 13, 2009

Quote from Bob111:
but still-L2 is limited to 3 or 5 tickers,

3 tickers / real account. Paper-trading accounts not counting in this case (papertrading accts give bad L2 data, L1 data is absolutely ok though).

Quote from Bob111:
IB data is a snapshot, not really live

True, but you cannot have both: 1000 tickers and "really live" (assuming you mean: delivering every single tick) won't be possible with todays internet and processor bandwidth.
Simple mathematical calculations will show it.
Even for futures data already at the exchanges some data compression is done on their side and they are not delivering every single tick.

Quote from Bob111:
bottom line-ok for retail trading,useless for serious real time volume\size\price analysis

Depends on what exactly the goal is.
If really many tickers are to be watched it is to be considered because the feeds that deliver every single tick will lag for sure.
IB also sometimes lags but perhaps for 1 sec or so.
Anyway I guess we are not really talking about high-frequency trading here?

NetTecture · Aug 13, 2009

True, but you cannot have both: 1000 tickers and "really live" (assuming you mean: delivering every single tick) won't be possible with todays internet and processor bandwidth.
Simple mathematical calculations will show it.

Learn maths. NxCore does it. THere is nothing against it.

Assume:
1000 symbols
100 updates per second

That is an astonishing 100.000 updates. A lot?

Hm, bandwitch on a 6mbit link is around 600.000 bytes per second - and 6Mbit are not exactly a lot by todays standard.

This is 6 bytes per update. I have encoded ticks in a LOT less.

Plus, with all respect, 100 updates per second will not happen on all 1000 symbols. You most likely use less than 1mbit even during active hours.

Basic math.

Processor wise - how do you assume that 100.000 packets decoded and passing through will even stress one processor core? Hint: They do not