real-time data feed that includes full level 2

Discussion in 'Data Sets and Feeds' started by jj12, Jan 24, 2013.

  1. jj12


    I would like to buy real time data feed that has the level 2 data for NYSE, NASDAQ, ARCA, BATS, Direct Edge. My purpose is to use it in an automated trading system. So far it seem the data is very difficult to obtain with several trading platforms offering it in the front-end but not providing API functions to get the data.

    I currently have access to Sterling and IB. Sterling gives me level 2 in the GUI, but it is unavailable in the API. Interactive brokers doesn't have level 2 data for bats and direct edge.

    For my needs snapshot data would be just fine.

    Anyone have idea where the data can be obtained?

  2. Unless you are colocated, you're going to have to pay a ton of money for that. I don't think there are data providers that will send you that over the internet, they will require you to run a dedicated line to your server which will cost major $$
  3. hoppla


    If Sterling's feed is not encrypted (which I dont know) then you could just use the Wireshark API to scrape it off the network card.
  4. Occam


    NxCore sells a full feed for the top of book for all exchanges plus level 2 for Nasdaq. (FYI, "Level 2" is a Nasdaq product, and is not the same as "full book", which is available from Nasdaq as "TotalView". Level 2 is not a full-book product.) NxCore is certainly available via the Internet and an API. Not sure what your budget is, but I think it will cost you a fair bit more than most retail "desktop" solutions.

    Activ has top-10-of-book ("BBO10") for the major exchanges and I think can also be received via a straight Internet connection to their API. It probably ain't cheap, and I don't think getting it via Internet is the "normal" way to receive their data, although I think it is possible.

    SmartQuant/OpenQuant may have something along these lines as well.
  5. hft_boy


    Trading Physics offers this kind of stuff. It's hard to find on their website but if you contact them they can probably set you up.