looking for good *programmatic* real-time options data feed

Discussion in 'Data Sets and Feeds' started by tiltstern, Sep 8, 2005.

  1. tiltstern


    Hi all,

    I am a programmer starting a new project which requires a real-time options data feed which I can use programmatically. I would be extremely grateful to get a good recommendation for a feed which meets the requirements I list below. Please note: I am *not* looking for a feed which puts market data up on the screen; I need one for programmatic access only.

    Here's what I need:

    Technical requirements:
    - Java or .NET APIs preferred.
    - Push-style (streaming) feed
    - Enterprise-level performance and reliability
    - Good documentation

    Feature requirements:
    - Real-time quotes
    - Full listing of US options across all US option exchanges
    - Quotes for all optionable equities

    Business requirements:
    - The cheaper the better, but I would pay more for good reason (and please tell me what those reasons might be)
    - Easy to work with the provider. Hopefully not a ton of hoops and contracts to deal with.
    - Project will start with a development phase followed by institutional rollout. I'd like to keeps costs/hassles to a minimum during the development phase. Also, it would be nice if there was a smooth migration path from one phase to the other.

    These requirements are ideal, and perhaps I'd be able to back off some of them so long as the basics are there. If you recommend some feeds that you know don't exactly match, however, I'd be most appreciative if you could be explicit about where they fall short.

    Advice or stories about what to do and what not to do, or who to work with and who not to, are very welcome as well.

    Thanks in advance!
  2. Choad


  3. tiltstern


    Thanks, Choad!

    Looked at the IB APIs, and they seem to be a pull-style for very specific quotes, rather than a push style where we can get streaming full-market data (and changes). So this really isn't suitable for our purposes.

    The QuoteTracker feeds have a different problem: most of these limit us to only seeing so many symbols at a time. We need to get quotes over the whole market.

    Please correct me if this is an improper prejudice, but perhaps retail-oriented feeds won't be up to the task at hand. We're building an enterprise-scale institutional product which needs to "drink from the fire hose" of the full options market, rather than pulling small pieces at a time. If we need to pull pieces, there's no way we'll get the performance we need.

    Follow-on question: has anyone had experience contracting with OPRA directly to get a feed?
  4. tiltstern


    Also, does anyone know of a more appropriate forum (perhaps not part of ET) to post these questions to?
  5. Choad


    With IB it should be fairly straight forward to setup 100 (max) option symbols. The market data would then be streamed to your interface. This is not tick-by-tick, but sent at the IB cycle rate. I haven't tested it, but I have heard it is plenty fast enough for most apps. There are other feeds that will stream up to 500 symbols.

    Sounds like, though, your requirements are WAY above the typical retail API needs. I can't even imagine the thoughput needed to stream out the option chains on more than 3000 symbols on a continuous basis.

    You might try emailing the tech or data dept of several of the bigger brokers.

    And Jerry Medved of QuoteTracker is very responsive to questions and has been in the datafeed biz for a LONG time. He should have some ideas.


  6. www.iqfeed.net: 500 symbols
    www.dtniq.com: uses iqfeed api but supplies 1300 symbols
    They'll charge you a few hundred dollars for access to the api.

    I'd like to hear if anyone has used tenfore: www.tenfore.co.uk

    eSignal has some form of api, I hear, but they'll charge you by the month for it, in addition to more money for high symbol counts. Don't know about the reliability or capability of the service.
  7. iqfeed

    iqfeed DTN


    It sounds like you need a full broadcast of the entire options feed. Of course you could contract directly with OPRA, but you are looking at a DS3 line to them (considerably money) just to get the feed. There are also vendor fees that you would need to pay. I assume you are looking for something over the Internet? Since you are requesting an institutional level feed, you won't want to look at the various retail or broker feeds out there. They (including ours) will all limit the number of symbols you can reliably watch at a time, which is a problem when processing options. We do have an Internet delivered, full options feed available called NxCore. It will definately be more expensive than the retail feeds, but if you are looking for an easy API (most of our customers are up and processing data the same day they get access) with a full broadcast, you can contact our commercial sales group at prosales@dtn.com or 800-652-2291. We will be able to outline all of the costs (from us as well as the exchanges) to receive such a feed.

    Good luck.

  8. RedSkyRep1

    RedSkyRep1 Red Sky Securities


    RedSky offers a multicast price feed of OPRA data as well as a proprietary c++ or FIX order entry api. Of course, in order to handle this much data, a client will either need a very large pipe into us or need to house a server in our data center.

  9. Are there any progress update or further input from anyone? TIA.
  10. Gustaf


    Iam scanning options chains from IB API, limitation of 100 is not so bad because you are only interested in the options with a strike quite close to the underlying price.
    #10     Jul 29, 2006