FIX really isn't that difficult -- I ported all my connectivity to FIX in a couple of afternoons, and I'd never used FIX before, although I did have some background in sockets/distributed systems. In any event, I've found FIX far better designed, more stable, and more versatile than platform API's. Quickfix is an open-source FIX engine available for free download, although many commercial systems claim higher throughput, etc. But as you say, FIX is highly broker dependent. Many "retail" or "semi-pro" broker implementations of FIX look pretty shabby to me.
You may want to take a look at the FuturePrice Data API. We provide real-time and historical tick data and summary statistics for all stocks listed on the NYSE, NASDAQ, and AMEX. Requesting a full-market streaming feed (trades and/or quotes for all listed stocks, thousands of updates per second) is a single line of code: Code: DataApi.SetDataStream(StreamType.Trade); Similarly you can request live (or historical) tick or series data, e.g. spot updates for AAPL trade price: Code: DataApi.AddSpotRequest(new DataId(Exchange.NASDAQ, "AAPL", Periodicity.Tick, Field.Trade)); another example, 15-minute trade medians for AAPL since 2012 (this could also be tick data, going back to Oct 27 2011) Code: DataApi.AddSeriesRequest(new DataId(Exchange.NASDAQ, "AAPL", Periodicity.Minutes15, Field.Trade, Statistic.Median), new DateTime(2012, 1, 1)); Once you have made data requests, you simply process incoming data in the callback you supply. There is a "pre-fab" Visual Studio solution which provides samples of many common tasks on our website: http://www.futureprice.com Any feedback is welcome.
Looks solid - really like the idiot-proof documentation...perfect for programming hacks like myself...also a big plus to have the console as a backup or for quick queries. Couple questions: - Any idea what your pricing / packages will look like yet? - AT offers full quote/trade tick data going back to Jan 2010 - any plans on increasing the amount of available tick data?
It's pretty solid. Most of our users connect before market open and disconnect after market close. Always a pleasure dealing with hacks although we are aiming to provide an API accessible to programmers of (pretty much) all skill levels. For people like yourself it does offer advanced features, but getting the basics running should be straightforward for any programmer. Pricing will be announced in the next few months. Unfortunately I cannot be any more specific other than saying that it will be aggressively priced. We don't currently have plans to extend our data prior to the current starting date (Oct 27, 2011). On a different note, would you (or some of your fellow traders) have an interest in our API being provided for Linux & Mac? If there is sufficient demand we will look into it.
IQ feed is not $50 per month. After you add in Exchange Fees and any packages at all beyond the very basic, you are looking at ~$200 per month or more. Still, at that price, it is probably the best retail-level feed.
Some of us are ex Deutsche Bank (algorithmic trading), but FuturePrice itself is a privately funded company. I am looking into it. I will keep you posted.
This solution is Windows only? Even worse, A Visual Studio solution? No thank you. I'd rather use Java on Unix than anything bound by MSVS.
We have a Linux version running in the lab - we will release it in the next week. The reference system I am currently testing on is Ubuntu 11.10 and Mono 2.5, but it should work on most modern distro's and Mono versions.
I'm sorry, at the expense of being rude, this solution is much much worse than using MSVS. Using C# is something I will never do. Using C# on Linux for mission critical financial software? Sounds like you guys were trying to take a shortcut and develop something very quickly because your developers only understand .NET and wanted to make a quick port. Utterly disgraceful. Even worse are the geniuses who decide to be the beta testers.