SeattleAlgo, does ActiveTick provide historical/real time data for CME ? If so, what kind of data do they provide for CME ? Just the best bid/ask or is it the full book ?
I managed to reach them via their online chat. Apparently they fixed the volume issues I had had in the past. I will probably try them again soon then. How are those latency issues? Still a second off?
Yes, the average varies between 300 to 600 ms depending on individual exchange and trade / quote tick type. StdDev is typically 500-800 ms. At the same time iqfeed anounced the upcoming introduction of the millisecond timestamp field. May be worth another look when that actually happens.
SeattleAlgo, thank you for your initial post, helpful, short and clear. If this has been asked already on this thread, please excuse me, I tried to look if anyone had addressed this to no avail (this thread is very long, so I could have missed it). I started using AT and I did a quick comparison of the daily history bars against yahoo and google just for fun. I did notice quite a lot of variation on the volume, do you (or anyone else) have comments regarding that?
SeattleAlgo, thank you for your initial post, helpful, short and clear. If this has been asked already on this thread, please excuse me, I see if anyone had commented on this to no avail (this thread is very long so I could have missed it). I started using AT and I did a quick comparison of the daily history bars against yahoo and google just for fun. I did notice quite a lot of variation on the volume, do you (or anyone else) have comments regarding that?
I pay $500/month (including market data fees, I'm considered pro user now, its much cheaper if you are non-pro) for 3000 symbols. It's a bit pricey, but since they also provide all of the backfills at the end of the day, I see it also as a really cheap way to get historical tick data. Buying the tick data elsewhere usually runs over $500/month by itself, its almost like getting the feed for free Edit (clarification): This is in reference to the QuantQuote tickview pricing question above.
Reuters Elektron is the real-time low-latency tick data + historical data feed product. Out of curiosity, how much are they charging anyway? Their historical millisecond tick data-only product is called 'Datascope'. Does anyone have a price quote for that? *'Datastream', is their economic data product. Also, Morningstar offers the DDE-only QuoteSpeed data feed that supposedly has access to 7 years of 1-second time stamped resolution tick data from various exchanges around the world. CQG, unfortunately does not offer even 1-second data, let alone millisecond data. Their time stamp resolution only goes as deep as 1 minute. SIX Financial is another large data vendor, but, I believe they only offer institutional solutions. Rithmic also has access to ARCA and BATS for equities data, but they offer no further details. As far as the basic Bloomberg professional subscription goes, according to this link, it is limited to 140 days of tick data at 1-minute tick bar resolution: http://www.openbloomberg.com/files/2012/03/blpapi-developers-guide.pdf Maybe, 'B-Pipe' is different. For the basic Reuters subscription, it is 30,000 ticks according to this document regarding the 3000xtra: https://customers.reuters.com/d/IVO_object.pdf Eikon is probably the same. Spryware maintains a historical tick database. According to this site, Quanthouse does not, but perhaps the information is outdated: http://www.bearcave.com/software/market_trading/resources_and_notes/Market Tick Data.html Barchart claims to have 3 years of historical tick data. Here's a fun fact. The renowned 'TickData' is actually a subsidiary of Nexa Technologies, which in turn is a subsidiary of Penson.
Morningstar Quotes, apparently now offers sub-millisecond timestamp resolution tick data for all us equities exchanges for $990 a month. The historical data goes back to 2003. For all non-us equities exchanges, including futures exchanges it will be $990 a month for each exchange. However, not all exchanges will offer sub-millisecond timestamp resolutions. Some will have it at millisecond or second resolution. They also offer an fx feed for $990 a month. I am not sure about the quality of it, though. The data is offered in bulk end-of-day downloads via ftp.