I'm not sure about the IqFeed question. As far as constructing bars without those conditions, they would be quite far off.
Are there download speed/concurrent connections or some other sort of limitations per api key? Looking at the restApi,it seems the transmission format is not very efficient. Are you planning for a more efficient api using lower level protocols like TCP/UDP also?
There are not any hard limits for API calls, however the load balancers will attempt to give everyone QoS. We have considered doing gRPC for the req/res endpoints. The way the backend is structured this would be relatively straightforward, we just have to prioritize and add it to our roadmap.
So, regarding IQFeed, do they consider an Options ticker a symbol for streaming data? For example, TSLA200821C01500000, is considered a symbol? If so, the 500 symbols limit won't give me all options data for TSLA. What are other alternatives to retrieve all US based stocks & options "time & sale" data real time?
Yes, this counts as a single symbol. I think I get 1500 symbol limit with extra fee. Getting all ~1 million options streamed in real time may require very high speed connection, storage, and processing capacity. Though it may depend whether you’re processing all quotes or just trades. What’s your infrastructure and budget? I suspect that you may get this for about $2k/month from some providers. First check CBOE data at https://www.livevol.com/apis/#explore Btw, I do get all TSLA and other options on some symbols from IQFeed every few minutes. Just not all streamed at the same time.
I started with a local machine, but am in the process of moving to AWS and use kinesis infrastructure. I will be fine using all options for about 500 US based companies (Daily time & sale data of about 10 million entries per my calculation, I don't really need quote prices as long as time&sale covers bxa, last, size, timestamp, IV etc). TSLA alone gives me about 3000 options symbols considering all strikes calls and puts. So, even at 1500 symbols, I will be limited. If I get a bit delayed data (20 mins delayed is fine) for a cheaper price, I would be ok with it. Does IQFeed have a non-realtime data feed that is cheaper enough to pull all options for about 500 companies? Thanks
Though actually they started offering "Market Snapshot" last year, which I haven't used yet and don't know in detail how it may work: http://forums.iqfeed.net/index.cfm?page=topic&topicID=5649
There is some speed limitation in the api IMO. Using single threaded restApi i got ~200-300kb/s max speed on the 50k max limit of historical data tick requests . With many more client threads the speed rised to ~2MB/s but not linearly. Its true. Below is comparison of polygon bar data(constructed by you) vs bid/ask data constructed from nbbo tick. While constructing i didnot go by those rules earlyer mentioned. Later might do chart comparison to compare if i get same result as your constructed data if constructing using the rules. But in my comparisions i saw some strange data and since i am no expert on valid stock data i have many questions(with images to explain). The symbol for comparison is AAPL , 10 minute bars rendered to both synchronized charts. (left is "aggregate bars" constructed by polygon, right is constructed from "nbbo tick" of polygon(without going by guidelines)) Why some bars have just 1 tick? This is 2 charts on top of eachother.(white below is left chart) Are these premarket gaps in as high volume stock as AAPL(is it premarket)? 2 What causes that upward spike is there(on left chart)? 5 What causes those 0 priced bid bars in first bars of many days? 8 9 10- looks similar Seems like the bid bar is higher than highest bid tick in tick data. 12-Strange split AAPL was first symbol checked and didnot take long to spot strange differences. It seems complex to me why stock prices of same provider dont match and need special conversion methods etc.