If you log in at Tradestation during the day, do they have all tick by tick data from the beginning of that day? Hans
Currently you have access to 30 days of tick data. They are planning on increasing this to 6 months of tick data, but I don't know when this will happen.
You just pay standard exchange fees. These are given on this page... http://www.tradestation.com/fees/platform_fees.shtm
I don't trade stocks so I don't know about ECN books but I thought these fees were all exchange fees i.e. nothing to do with the broker. TS prices (per month) are Nasdaq Level 1 - $1 Nasdaq Level 2 - $9 ECN Books - $20 IB prices are Nasdaq Level 1 - $10 Nasdaq Level 2 - $20 They both come to $30 per month so I assume it's just different ways of charging the same thing. If you can explain otherwise then I'm happy to complain to TS. They shouldn't be misrepresenting their charges as exchange fees.
Regarding the real time intraday data, can this be stored on your computer ? Is there a limit to how much data they allow you to store or can you build up a database of prices for as long as you like ?
With minute and above data it all just comes from the TS network. There's no need to store anything. Though you can download all their data and save it to ASCII files if you want. With tick data it's stored in a local cache on your PC and you can build it up as long as you want. Several people seem to do this. The biggest problem is that the data is held in one big file so if it gets corrupted at any point you're stuffed.
...almost right. All data is cached on your PC (minute as well as tick, and EOD) as it is accessed, this obviously makes eventual accesses much faster. You can easily test this by powering up your PC, and not connecting to the internet. TS can still work offline and accesses what is cached on your PC. Occasionally data corruption occurs, and you have to flush the cache - thus it pays to regularly back it up. FYI - Note the following two facts about TS data: A). Historical Bid-Ask data is not provided, only what comes in at real time - shown in the T&S window, this is neither cached nor downloadable later on. B). Tick level data, although accessed in FIFO order, and arriving as quickly as the TS servers and network latency allows in real time, has a timestamp granularity of 1 minute! That is how it is stored on TS's servers, and in your data cache. Tick and Volume bars are still formed correctly, but the data is stamped down to the minute level. I believe IQFeed/DTN-IQ do the same, so if you need this data and want a low-cost solution these two vendors are out. TS is my secondary data feed. For the price it is hard to beat. Also, there is no single data+platform provider that meets all my requirements. Thats just how it is.
This is a future plan that has not been activated yet. Today its still 50 round turns, and get the platform for free.
...almost right. TS actually stamps its data down to 1 second. But the client applications currently only handle time down to 1 minute.