I need to download futures and futures options intraday (1-min) historical prices for equity indices, commodities, currencies, and preferably also bonds and IR swaps. I need the data downloaded as text (CSV) files, to be loaded into a stats analysis application. I need at least 2 years' worth of data. For IQFeed according to http://www.iqfeed.net/calculator/calculator.cfm, and for Kinetick according to https://www.kinetick.com/purchase, I will be able to get the data I need for roughly $140-$160 a month. eSignal is more expensive since it requires a Premier Plus subscription for options data. My problem is that I require only delayed data, so for the above providers I'll probably be also paying for real-time feeds which I do not need. Does anyone know of a cost-effective data provider which fits my requirements?
For anyone who's watching this thread, I did a bit of searching on ET and found this useful post by biba4: http://www.elitetrader.com/vb/showthread.php?s=&threadid=181633&perpage=6&pagenumber=4
Kinetick, CQG, Kibot and Pi Trading apparently offer only historical prices for futures, but not for options on futures. IQFeed has real-time feeds for futures options according to their websites. I've mailed them to confirm whether historical intra-day data is available as well. Haven't contacted eSignal yet, regarding availability of futures options prices. Hopefully a representative will see this thread and send a reply. Still looking for a data provider for Futures Options...
And so I've confirmed that IQFeed provides historical intra-day futures options data (for unexpired options only) with a $68 monthly subscription to their basic service, excluding the startup fee and exchange fees for COMEX and NYMEX. Happy times.
FWIW, I've used IQFeed for many years. Futures. It is my primary RT feed used with 3rd party platform. I run concurrently with brokers feed and platform. Very few problems with IQF over the years. Software upgrades can sometimes cause glitches, but minor and temporary, at least for me. IQFeed has saved my ass many times!! $68 bucks and you'll get all the delayed and historics you need. Fee wise exchange fees are exchange fees. Only pay for what you need/want for RT. Trade On!
Thanks for sharing your experience tiddlywinks. Which client are you using to access the IQFeed data? I'm presently considering the following options, which allow me to download feed data to text files for import into my R scripts: $112/mth for the DTN.IQ client, or $68/mth for the basic service with a one time $127 QCollector license. QCollector seems to have received nothing but positive reviews on these forums, so I'm leaning towards it. A 3rd option is the $300/year API connection to IQFeed's servers, but I'm not sure I need that level of access just to collect historical data.
Hi Dazz... I have been using SierraChart for the last couple of years. In the past with IQF I have used Ensign (which I DO like), InvestorRT, Ninja(which sucks) and others. I have not used QCollector so I can't speak for that, although In perusing their website, I don't see anything as to why I would need to use it! As for programming, In a previous life I was a professional programmer. That said, R is not one of my languages. C/C++/C#, VB/VBA/VBS/VB.Net, ASP.NET, Python and good ol Bat files are my niches. I'd say you should look at Sierrachart. Alot of my work uses MP, and Sierra has a complete and accurate MP implementation. I have no idea what is important to you from a technical analysis sense. Here's a link to the Sierra programming interface, based in C++. http://www.sierrachart.com/index.php?l=doc/doc_CreatingDLLs.html Everything Sierra offers is on their site. Including an active and maintained user support forum. Trade on!
After spending a few more minutes on the QCollector site, SierraCharts is a much more cost effective solution. Both intraday and historical data can be exported to and imported from Text/CSV ie. ASCII IMHO, unless I missed something of great significance, based on what I see regarding QCollector purpose and features, I would say QCollector will NOT be around much longer. Trade On!