Does anyone know a data provider that can provide quotes on every listed stock say every 5 minutes? So say at 8:30 pull down the price of every US listed stock.. then at 8:35 do it again.. etc.. The strategies I want to implement I need to be able to have all of that data.... at places such as interactive brokers you can only be pulling quotes on 500 stocks at a time.. I do not need a constant stream of quotes for all us listed stocks, just a snapshot every 5 min.. i suppose I could make 500 requests with IB then cancel... adn do the next 500.. etc.. but there has to be a better way?? I thought about paying for real time quotes at a place such as yahoo finance... and just extracting the info from the page...however it would look specious with greater than 10,000 page requests every 5 min..... I'm sure they wouldnt like that very much... Ideas?
you might check out this parallel thread from a couple of days ago which deals with similiar requirements http://www.elitetrader.com/vb/showthread.php?s=&threadid=139195
That's easy - Yahoo realtime quotes, $14 a month: http://billing.finance.yahoo.com/realtime_quotes/signup?.src=quote&.refer=qb Use URL like this: http://download.finance.yahoo.com/d/quotes.csv?s=MSFT+QQQQ+GOOG&f=sl1d1t1c1ohgv&e=.csv You can combine up to 200 symbols at a time. More details: http://www.gummy-stuff.org/Yahoo-data.htm
the yahoo download.finance api is rate limited, you can only call it so many times in like a 5 minute period... so you're going to have a hard time pulling the whole market down that way.
Many commercial software programs use yahoo EOD data. I have not noticed any limits when they are downloading data. Curious if anyone has any 'real' evidence of this?
yahoo EOD data is not the same source as the api we spoke about above. yahoo EOD (for yearly charts with daily bars and that)... this uses ichart.finance.yahoo.com. I am not sure if this has throttling or not, but yeah lots of people use this so it may not. I just know that the 'less documented' download.finance.yahoo.com which we spoke about earlier... two weeks ago this was rate limiting queries I sent to it. So far as I understand, this download.finance server/cluster is for internal yahoo applications and they sort of let people use it on the DL. but yeah it's seperate from the charts.
Do you have a rough estimate of how much they allow to download, in queries / minute or kbytes/second ?