BTW, here is a discussion about Polygon.io: https://www.elitetrader.com/et/threads/iqfeed-vs-polygon-io.320799/ They are fairly new and also had lots of issues to solve, but I may consider them now too. Though no one can really beat the downloadable Nanex tapes with highly compressed data allowing you to re-scan, re-process, simulate and backtest through years worth of data.
No, they’re fully re-processed data with full tick info including the exchanges (listed and traded), price accuracy estimation (based on related bid/ask), all in highly compressed format where each value is usually packed in a few bytes next to each other and later accessed via memory pointers. I believe they’ve spent years developing this, so this is not just a quick network data capture. Their files are quite small, so they can even squeeze options ticks into very efficient data transfer. It’s like a compact database or super-compact Json, though nowadays possibly compressing an actual Json could also work, or some form of compressed binary serialization. There is also information about company/trading statuses like halt/resume/bankrupt, corporate actions, some fundamental info, daily OHLC summary, etc. And the file is time stamped in such way that you can replay the market locally. You get the same data in real-time, so can use the same code.
Well dividends and splits started on 1/31/19 but dividends paid in foreign currency are no longer converted to US $. Fortunately I collect foreign currency futures contracts. I was happy to spend 6 hours identifying them, accessing the Canadian dollar futures contract to obtain a conversion factor and applying it. More coding will be necessary to support other currencies as they surface. Symbol changes are still not reported. The switch to QUODD has been nothing but a big headache and a black mark for NxCore’s provider Nanex.
fbell50: Sorry it has been a headache for you. It was also for me at the end of 2018 but it has been working very well for the last 2/3 months for the functionality I currently require. I'm still waiting for the full OPRA feed to be added. Hopefully soon. good luck