Trying to get a snapshot of realtime pricing of 600+ equities

Discussion in 'Programming' started by HotTip, Jan 31, 2013.

  1. You just did 100 per second or more. I never even wanted to try that because the data feed itself would not be reliable. The most i tried is 5 per second. Also, the IB docs don't say there is a time limit, but there you found it - it's 100 per second apparently. Good job. Now try it at a lower rate and see how it works.
     
    #11     Jan 31, 2013
  2. Would this IB snapshot approach be appropriate if you wanted to model a sheet of the Russell 1000 by market cap, but didn't need the quotes on each one to stream? I've had trouble building something like this using all the easy tools due to the 100/200 limits. I'm a non-programmer.
     
    #12     Jan 31, 2013
  3. Bob111

    Bob111

    what's the point? to get 100 tickers in 1 second? did you read my previous post? i can get 1000 in same time(and i've done that) using yahoo real time

    like i said before-you will be stuck either on limit per second per request or messages per second,when you getting your data. end of story
     
    #13     Jan 31, 2013
  4. I read your post but the OP wanted to know if it can be done with IB, and it's probably a good solution for him. I wouldn't trust yahoo real time for reliability anyway, plus you get the bid and ask with IB (don't know about yahoo, assume not), plus if you need 1000 quotes in a second it's probably time to pay up and get a proper data feed that is designed for it.
     
    #14     Jan 31, 2013
  5. Bob111

    Bob111

    i did run few tests on yahoo data in the past and it's pretty accurate(last price,volume) and cost about 15$
    but i agree on last sentence and like i said earlier-IQ feed would be his next stop, if Op want 1000 per sec :)
    but definitely not IB
     
    #15     Jan 31, 2013
  6. HotTip

    HotTip

    Even though I've done some VB programming on Excel, I'm still very much a non-programmer. Unfortunately OHLC + Vol is a necessity, so I think Bob is right and I should just stick with Yahoo. I was just hoping there was something out there that would save me a few steps since I'm rushing to gather data and submit orders right before the close.

    Thanks to all responders.
     
    #16     Jan 31, 2013
  7. Hold on a second, i'm not sure i understand this. You can get OHLC data (daily) via Yahoo query or only last & volume?

    If OHLC, ok Bob has a point, and i didn't know that so it would be good to confirm.
     
    #17     Feb 1, 2013
  8. Bob111

    Bob111

    http://www.gummy-stuff.org/Yahoo-data.htm

    you download whatever(see fields on link above),but you can't rely on their bid\ask data.cause each exchange\ecn require separate PAID subscription(arca for example)
    yahoo's bid ask comes from free sources(bats)

    you can use straight url request(like on link above),excel's web querry, YQL(yahoo sql service).this list is endless and they all really easy to use

    i think using YQL you can get more than 200 tickers at once. i don't remember,but i'm pretty sure that when i tried-i got >400 in one shoot
     
    #18     Feb 1, 2013
  9. Oh... ok that's interesting. I might pull the data for a few months then just to see if it's any good. It's incredibly complicated to get daily OHLC data very quickly with a lot of the data providers, even the expensive ones, so this might be useful if nothing else as an alternative data check / data source. Thanks.

    Edit: note that the historical data i tested a while ago showed quite a few differences when compared to some paid sources (IB included). It's often very hard to say which one is correct, or properly cleaned though.
     
    #19     Feb 1, 2013
  10. dholliday

    dholliday

    Actually IQ Feed has an 1800 symbol limit, you just pay more.
    I have my limit at 1300 symbols and I regularly watch 1000.
    If you need more than 1800 they have another (more expensive) product.

    -David
     
    #20     Feb 1, 2013