Discussion in 'Data Sets and Feeds' started by SeattleAlgo, Sep 6, 2012.
By the way, that's 990 for level 2. Level 1 costs 600.
Is this a real time feed with eod tick backfill similar to QuantQuote or strictly historical data?
you mean-all L2 changes\quotes from all exchanges\ecn's will be there?
to make the discussion more meaningful maybe you want to stick to clear and standard industry definitions:
Tick data are **uncompressed pricing data** and thus never can be combined with compressed bar data.
Compressed data are those where limited data points are used to describe the price action over a defined time frame, such as the open, high ,low, close over a 1-minute time frame.
Just pointing out because you seem to confuse the two.
Have you measured the latency you're getting with TickView?
Apparently, some data vendors (like CQG) will provide *uncompressed pricing data*, but only at the same resolution as their compressed bar data (60 seconds). So, they call it 'tick data', but I'm not sure if you can call it true tick data, since it doesn't capture every tick.
As far as B-pipe goes, they claim to offer 140 days of 'Intraday Tick Requests', though they don't offer any further details in the manual on the resolution of that data. Even though it is Bloomberg, I don't want to assume that is the actual tick-by-tick data, and that it is not arbitrarily delayed like CQG's 'tick data'.
It is L2 EOD historical tick data for all major US equities exchanges.
They will give you the data in bulk via FTP.
However, they also offer a real-time feed at a different price point. The client they use is called 'QuoteSpeed', and it can only be accessed either via DDE or through ip protocol (so you will need to do socket programming). I don't know about the pricing of their real-time data (I'd assume that its cheaper based on the pricing I've heard for tenfore data on other threads), so you will have to ask them.
I disagree re CQG. I am sure they also can provide pure tick data. Again tick data are only defined as those pricing data that capture each single price or quote update.
They may have 'tick data', but the resolution on their time-stamps is 60 seconds...
you are incorrect. Here is the link. They provide tick by tick time and sales.
And I can guarantee you that the resolution is not 60 seconds. By the way, even IQFeed, a solution about 1/10 the price of CQG provided tick data with 1 second resolutions and now switched to millisecond resolutions.
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