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eyalmolad

Registered: Aug 2009
Posts: 8

08-11-09 08:06 PM

Hi all,
I have a beginners question for this forum.
I am developing some strategy for automated trading system.
I would like to know what is the recommended platform/broker to do this. I need to get a market data (Level I & II, Time and Sales) for around 1000 NYSE/NSDQ pre-defined quotes.

I tried 2 platforms so far:
1) Genesis - they have a limitation for 3 quotes using their API over the internet. They require me to hire a server at their server center in order to be able to access more quotes.
2) Thinkpipes - dont have a time&sales information nor level II.

Thanks,
Eyal

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promagma

Registered: Aug 2004
Posts: 781

08-12-09 04:40 AM

The limit is on L2 data .... I don't think anybody is going give you L2 data for 1000 symbols over the internet.

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Bob111

Registered: May 2002
Posts: 6433

08-12-09 04:51 AM

Quote from promagma:

The limit is on L2 data .... I don't think anybody is going give you L2 data for 1000 symbols over the internet.

even if they do-how you are going to identify each piece and work with such huge amount of data? did you ever tried to receive real time streaming basic quotes for like 500 tickers?

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eyalmolad

Registered: Aug 2009
Posts: 8

08-12-09 06:19 AM

Hi, all.
I am currently working with the Thinkpipes API with about 1000 quotes. It works just fine with regular cable internet connection.
The problem is that I can not get time and sales information nor level 2 with the Thinkpipes.
The only thing that I recieve is the price change, without any time stamp.
The problem is that I can not build accurate candles stick chart with such data. I was able to do some workerounds, and filter some fake prices change notofications, but still, I when I compare the graphs, my grphic is around 80% true. This is not good enough for any serious strategy.

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eyalmolad

Registered: Aug 2009
Posts: 8

08-12-09 06:21 AM

Ok, so if I understand you correctly, I can get a time & sales for more than 3 stocks? Is the LevelII the only limitation?
Thanks,

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uexkuell

Registered: May 2006
Posts: 292

08-12-09 10:49 AM

Quote from eyalmolad:

2) Thinkpipes - dont have a time&sales information nor level II.

First:
Thank you for bringing attention to that site. Didn't know about it.

Second:
Even their DDE interface description (also Java and FIX) says they deliver last price, volume.
From that "time & sales" can be built. Where is a problem?

In case you are worried about ticks coming late:
Interactive Brokers does not deliver timestamps but normally you can be sure that they are never too much out of synch with the market. Hopefully for ToS same thing applies.

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