Data provider for real time tick-by-tick data

Discussion in 'Data Sets and Feeds' started by Luke_4466, Aug 16, 2021.

  1. Hi,

    i am new here, i have looked through a lot of topics here as it seems there is a lot of information on data providers, which is great. That being said, i have looked through resources here, read bunch of stuff, looked up bunch of providers, contacted some of them and i still cant find provider that i am looking for.

    What i am looking for
    -real time tick-by-tick data as i want to build 1s bars on my own
    -unlimited or at least 100 tickers at one time
    -NASDAQ and NYSE
    -Python api
    -Monthly price max $300
    -Something reasonable up to date with normal support ( ie there is a lot of high end data providers or providers, who didnt bother to even update their website in last 10 years )

    What i have tried
    -IB and Polygon.io
    -Interactive Brokers real time tick-by-tick data are working well, i can construct 1s bars without issues, i am able to get exact same bars as TradingView. That for me at validates that the data are somewhat correct. The issue is of course limitation on amount of tickers ( 3 by default, hard limit on 11 tickers i believe costing some $300 )
    -Polygon seemed as good choice, but after testing it out, i found out i am not able to replicate same data, ie bars i was constructing were different from IB and TW.

    I have seen recommended IQFeed a lot, but i was quite put off by the registration process, one year fee ( no monthly fee ) and i cant even find information whether they support Python.

    I would very much appreciate any recommendation.
     
  2. ZBZB

    ZBZB

  3. Nanex looks great, i contacted them, but its way out of my budget currently.
     
  4. DaveV

    DaveV

    My understanding is that neither IB nor IQFeed sends actual tick-by-tick data. They send tick summaries.

    I have also tried NxCore, IB, IQFeed and Polygon. Polygon is good and can easily handle 100 simultaneous symbols, but starts to lag badly after more than 1,000 symbols. If you can afford it NxCore is really good at keeping up, no matter how many symbols you are monitoring.
     
    Last edited: Aug 16, 2021
  5. Thanks for reply. It does seem that NxCore is good, but i dont want to go over $300 per month for now.
    For IB, you can get tick-by-tick data with "reqTickByTickData", with reqMarketData you do get some kind of aggregates. The problem is mainly the very low limit on amount of tickers you can get.
     
  6. greejan

    greejan

  7. All i need is correct 1s bars, IB does not provide unfortunately 1s bars, only 5s bars. reqMktData provides 250ms snapshots, but when you construct 1s bars from those, they are wrong. So only thing i was able to do with IB data was to construct 1s bars from tickByTick data, which has limit of 3 tickers. If you pay $300, you get 11 tickers and thats max you can get.
    All i am essentially looking for is reliable 1s real time bars or tick by tick data from which i can construct those bars myself ( preferable ). Polygon provides those data for $200 per month, but it seems they have incorrect timestamps on tick data, at least compared to IB and TradingView
     
  8. QuantConnect fournis des barres de second.
     
  9. greejan

    greejan

    Oh, sorry. I understood 1-minute bars. Are you sure you can be profitable on 1-second bars?

    My understanding is people needing that level of granularity normally use IQFeed. They offer a free trial, or better, just give them a call and explain what you need.
     
    Leob likes this.
  10. kmiklas

    kmiklas

    Whoa... why are they "wrong?" Are you sure you're calculating them properly? As you say, IB data U.S. equity data runs at 250ms tick times: 4 per second, and this price point is a Volume-Weighted Average Price (VWAP) of the previous 250 price points. IB streams accurate 250ms VWAP price points. You can't just compute a simple average across the four points in a second. Perhaps this is why your calculated bars were wrong? You must also receive total volume for each 250ms time, and calculate another VWAP of these four VWAP'd data points for a proper 1s bar.
    By "aggregate snapshots" they mean a VWAP of that 250ms.

    https://interactivebrokers.github.io/tws-api/md_request.html
    https://interactivebrokers.github.io/tws-api/top_data.html

    2. You're doing 1s bars, which is very slow in the algo world, so I don't think you need tick-by-tick data, and can save a buck with standard IB stuff:
    For the above this pricing guide lists USD10/month (for U.S. Equities). Data for options, futures, etc. is available for an upcharge:
    https://www.interactivebrokers.com/en/index.php?f=14193

    3. Nasdaq and NYSE run at 1ms tick times: 1000/s. If you do, say, price and volume for 50 tickers, this is 2*50*1000 = 100,000 data points per second--starting to be a pretty heavy data flow, where you might need to order a private line. What kind of MD/Internet connection do you have? You'll get some latency if you're just streaming over a standard cable connection, especially if your neighbor starts playing Fortnite/Warzone (and complaining about their ping time), or even watching pr0n, while you're trying to trade.

    4. You are a "non-professional" trader, I assume? Because if you identify as a "professional" you'll be subjected to higher prices and much more regulatory requirements, and perhaps non-display fees. These can get a bit heavy! You are on the fringe of hedge fund turf, my friend. See the fee schedule for NYSE below. :D
    https://www.nyse.com/publicdocs/nyse/data/NYSE_Market_Data_Fee_Schedule.pdf

    5. iqfeed: Finally, to answer your question, this video seems to have enough info to get you going. I think you need to start a Java client, and then you can interact via the iqfeed Python library. You need to set the correct port to obtain live streaming data:



    --Keith
     
    Last edited: Aug 16, 2021
    #10     Aug 16, 2021
    wooderson likes this.