Hi, I'm interested in augmenting my IB data with another provider. I like the look of the Datascope REST API (from github docs), does anyone have experience of this service and what kind of cost is it positioned at? I'm on a low budget so any other providers you can recommend are gratefully received.
yeah i guess context would be helpful eh? Datascope provide intraday and daily data for all asset classes. The REST API is pretty decent e.g. you can schedule 'extraction jobs' for large number of symbols.
Does Polygon support real time time & sale for stocks & options? I am interested in a service that provides streaming data for US equities - stocks & options.
We currently provide both trades & NBBO quotes for stocks in real-time and historical back to 2004 ( tick by tick ). We will soon be offering the same for options ( real-time ). Sourcing a good provider for historical data is proving difficult.
I've used Datascope. The pricing varies with your service configuration - the length of your contract, your history of business with Refinitiv, asset class selection, number of tickers, and so on. For a similar configuration, they were the same order of magnitude as Activ, Bloomberg and QuantHouse - all of which I've used before as well. So expect 5 digits over the entire duration of a standard 15 month entry level contract with 3 month free trial. All 4 have very different ways to packaging their contracts, so it's unfair to state numbers publicly, but PM me if you want exact figures. For equities, the base package is usually something like 1,000+ equity tickers. I say '+' because they will throw in a few tickers from a couple of other asset classes in the package if you asked nicely. There's a few good parts about their product: (i) The metadata is bundled in - the RIC symbology, ISIN/CUSIP/SEDOL mappings, exchange holiday calendars, and so on. These can cost you a few grand elsewhere. I consider the RICs easier to use than BBG IDs, and if you're trying to build a multi-asset class operation, it's usually worth paying for so you don't have to roll out your own symbology. (ii) I also cannot think of a vendor with longer history than Refinitiv for microsecond resolution timestamps or better. (iii) For US and European equities, they do decouple the consolidated quotes from the market source and show both lit and unlit. i.e. Chi-X will be separated from LSE; we also used it for data from MTFs like Sigma X. This is usually a main differentiator between vendors that cost 10x cheaper and Refinitiv and its contemporaries. The primary weaknesses I saw at the time were (i) the timestamping methodology, (ii) the speed of the extraction jobs, (iii) the way the symbols count towards your RIC limit can be somewhat opaque, so you may end up overspending much sooner than you anticipated. For example, AAPL (SIP), AAPL.N (NYSE), AAPL.Z (BZX), 0#AAPL.NYO (OpenBook) count separately towards to your allotted tickers.
Does DataScope also offer historical tick data for expired options contracts? For example, amzn options tick history from 5 years ago? Most places aren’t carrying intraday history for expired options.