I need a level 2 API that allows me to use the information in some kind of programming language (don't care what language it is). Even the top 5 levels is enough. None of the retails feeds I've ever used has this, except Genesis. However, Genesis is a consolidated/merged feed where the add/removes happening on the underlying feed (say, ARCA) get merged together and flopped out to LASER. OpenTick was the closest, but they went out of business. I'd be willing to pay upto $1000/month for a short-term subscription to collect data, but I can't afford the 5k fees the NYSE wants to charge. Any suggestions?
I use MB Trading. They offer Level II at zero cost just for having an account for forex pairs. I don't think they charge anything for equity either. By default, they limit you to about 12 symbols until you give them a good reason to increase it. They don't have any rules. Just ask and explain why you need it. I find the Level II very high quality on forex pairs. And they offer it also for equities. I'm not aware they charge anything for it. You can ask them. By the way, tickzoom, already has software to collect and trade 5 levels of Level II data with every tick at extremely high speeds for collection, historical testing, plus real time, and automated trading. Again, tick level data with 5 parts of DOM is always present for all of that and has been tested on equities. I personally use that for several highly accurate predictive triggers and filters in my intraday trading. It's very eye opening when you collect for yourself for a while. I applaud your efforts. NOTE: It took months to work out how to get a highly reliable connection to MB Trading for this Level II data. It's because their tech support refuses to help with (due to the complexity) a 24/7 reliable connection that can reset, restart, etc. automatically during nightly resets and any temporary interruptions. That reliability is all included in TickZOOM. You sound like the type of user we're seeking for tickzoom--sophisticated who also needs flexible, customizable software with tick and DOM level performance. Sincerely, Wayne