Micro Futures Intraday API Data

Discussion in 'Data Sets and Feeds' started by bergstyle, Feb 11, 2020.

  1. bergstyle


    Anybody know of a source for intraday micro futures price data? Doesn't have to be tick level (1min or 5min) would be acceptable. Budget is < $200/mo. Didn't see anything on Quandl or Intrinio. Other providers like IEX and Polygon don't seem to provide futures data yet.

    I know it's possible to connect to a broker feed like IB for this but would really like to avoid having to run a legacy desktop Java app in order to access data. A know a lot of folks use IQFeed but that also comes with having to run a legacy Windows app (from what I understand) looking for a more cloud friendly solution that doesn't involve a lot of hacking together docker containers to run these legacy apps.
  2. Take the hit and hack together the docker container.
  3. bergstyle


    Appreciate the reality check! Seems like the only way to go at this price point...
  4. traider


    Use the ib gateway it's lightweight
    Connect some other gui to it.
  5. This is what I have: I have a futures broker (AMP) that supports CQG trading services. Plus I use Sierra Chart. My broker provides Sierra for free. Futures historical data is included. So pull up a chart (mini, micro or whatever), and all past data will be saved in a .scid file.

    Details about the data

    Here's some java code to read .scid files. I have never used this code. I just know it exists

    At this point you have all data till this moment. If periodic export is all you want, you are done. If you want streaming data, there may be something out there. If not, Sierra has pretty well documented API that can access data as it comes in (including full depth of book and all updates) and you can write a bit of code in C to open a socket connection to whatever.

    Cost (with a funded account of course): $15 / month. You can't beat that. And this is 100% good data (or at least as good as retail data gets). No snapshot data BS that IB gives you
    Axon likes this.
  6. 2rosy


    why do you need to hack anything? IB's app is java. Windows comes with a jre installed and if you don't have one you can download it free