Whole-market snapshot feeds

W

_wd

Hi there,

Does anyone know of a service where you can receive whole-market view of (at least) last trade + cumulative daily volume on a periodic basis?

These two fields are sufficient to build most kinds of custom market scanner - which is what I'd like to do.

Even a snapshot every minute might be good enough. I know IQfeed have their 5 minute snapshot files, but that's too slow to capture what I'd like to capture.

I got a quote from Nanex for this and for now it's out of my league. Is there something between a whole market trade/quote feed and typical retail symbol-limited feeds like IQ?

Thx
 
_wd said:
Hi there,

Does anyone know of a service where you can receive whole-market view of (at least) last trade + cumulative daily volume on a periodic basis?

These two fields are sufficient to build most kinds of custom market scanner - which is what I'd like to do.

Even a snapshot every minute might be good enough. I know IQfeed have their 5 minute snapshot files, but that's too slow to capture what I'd like to capture.

I got a quote from Nanex for this and for now it's out of my league. Is there something between a whole market trade/quote feed and typical retail symbol-limited feeds like IQ?

Thx
More...

You can pull from IEX everything. They dont charge right now
 
This appears not to be the case.

This page suggests the only real time trades/quotes received come from IEX, even for paid plans NASDAQ/NYSE are delayed.

Additionally I tried using my free account to access the stream, it is not enabled.

That suggests I'd need their 'Scale' plan at $500/mo, and even with that it seems I still would not have real time last price + volume for all NYSE/NASDAQ symbols, only those where trades occurred on IEX
 
Then you can either try to scrape/collect the data export from Finviz Scanner (with paid subscription) - just export all the data without filtering, or filter the way you want.
Not sure if they won’t block you after too many exports, but once a minute should be ok.

Or try Polygon.io that streams all data like Nanex.
 
I didn't realize Polygon had whole-market feed! And looking more closely, they even have a market snapshot option.

Thanks for the pointer, this is probably what I want, assuming their latency isn't insane
 
_wd said:
I didn't realize Polygon had whole-market feed! And looking more closely, they even have a market snapshot option.

Thanks for the pointer, this is probably what I want, assuming their latency isn't insane
More...

We hope you find our latencies not 'insane' :) Our snapshot is updated in real-time down to the nanosecond timestamp. The average time from a trade executing in the exchange, to being available in snapshot is ~20ms.
 
Polygon.io said:
We hope you find our latencies not 'insane' :) Our snapshot is updated in real-time down to the nanosecond timestamp. The average time from a trade executing in the exchange, to being available in snapshot is ~20ms.
More...

From looking at https://polygon.io/polyfeed, it seems $200/mo. does not buy me real time NBBO / consolidated volume information, right? Only volume for a subset of minor exchanges

What I basically want is the full CTS+UTP feeds. I thought aggregate data licensing was one of the positive features of CTS/UTP, how come this is never passed through to the end user?
 
Polyfeed is for enterprise ( because of the extreme exchange fees for full SIP ). The $200/m is for end users and that includes full SIP ( CTA + UTP ) data, aggregates, trades and NBBO quotes in real-time.
 
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