Has anyone else noticed that Ameritrade streaming quote data is sometimes inconsistent? Here's what I've noticed frequently: - Inside bid/ask on level 2 doesn't match level 1 - Last sale streamer doesn't seem to report all trades. For example, there are many times when my own order is filled, but I never see it appear on the last sale panel.. - Level 2 sometimes doesn't update for long periods of time. For example, I've entered my own order at the inside price and sometimes I won't see this on level 2 for a couple of minutes. Or more commonly, I'll see trades going through on the last sale panel, and won't see this reflected in level 2 for about a minute. Since I've only ever used Ameritrade/Datek, I'm wondering if this is a problem endemic to rt streamers in general, or if this is Ameritrade-specific. If it is Ameritrade-specific, can someone recommend a better source for streaming data, preferably with an API? Thanks. -vidphreak
I know that Ameritrade has had a few issues with their streamer recently, but their data has been OK. BTW, keep in mind that their datafeed is NOT tick by tick. You would be far better bypassing their Java applets and just using QuoteTracker to access their datafeed and for integrated trading with Ameritrade/DATEK. You get far more features and much better reliability Jerry Medved http://www.quotetracker.com
Do you mean that the Ameritrade streamer only sends updated data after a particular interval or something? Is there a good source for tick-by-tick data that you could recommend? Perhaps I'm noticing more problems since I tend to trade lower volume, illiquid stocks.. so I really do notice when there are any discrepancies.
Their regular quotes do not update more than once every second or so per symbol (might be a bit faster if you are only watching a couple of symbols). Their "Last Sale" window might be faster, but cannot say for sure. As for RT data feeds that provide tick data: eSignal IQFeed MarketFeed Money.net Those are the subscription ones that are decent. There are also a number of brokers that have that, such as: CyberTrader MB Trading XoomTrade
vidphreak, I do have simillar issues, but I believe that since this broker is not a direct access broker that it is not the worst case. I practically never see my own order on their level 2 as well. Again, this is a discount broker... The performance/price is quite good. As Jerry recommended you should take subscription for something more reliable. Rgs