Full-book Feeds for Automated Trading

Discussion in 'Data Sets and Feeds' started by clearinghouse, Apr 21, 2012.

  1. I was reading this thread and didn't manage to find an answer:


    The author is correct in that the feeds he is using do not have full book quotes, and I find myself in the same predicament. Is there any way to get this data without binding myself to a broker? Like a stand-alone feed with an API?

    I'd like to see the level-1 quotes per exchange, so for example, the inside quote on DirectEdge X and the inside quote on NSX, etc. Not just NASDAQ Level 2.
  2. Have you spoken to DTN about their NxCore product?

    I believe that Activ will also give you what you need.

    These feeds are not cheap and are also quite large. Assume 3-5GB/day for a basic feed and if you want the full opera feed you'll be looking at closer to 30gb/day.
  3. I don't want to spend $700/month just to be able to see the NasdaqBX inside quote. At that point it makes just as much sense to just use my broker API, however awkward an API it may be.