Here are my needs: 1) historic tick data, at least a day 2) T&S bid/ask quotes 3) Market Depth 4) Futures data I've tried esignal desktop and it has too many problems. The commercial version is many thousands of dollars and you have to jump through a bunch of hoops. Any suggestions? Thanks for your comments.
I would also like to know of one. Unfortunately, I think you're screwed. I tried finding one and failed. I think CQG does it, but it will cost you $600/month + data fees. Esignal charges $3000 for the API that allows MD access. The only other options I found are X_Trader and J-Trader. I don't have any info on X_Trader, but J-Trader wants $1000 for the API (if my memory is correct...) and no monthly fee. You can accomplish this with the standard J-Trader, but you need X_Trader Pro, which is something like $1600 per month.
hanseng, Here's what I've found: Esignal Desktop API just plain sucks Esignal commercial I wouldn't mind paying for but I have found repeatedly significant errors in t&s data J-Trader feed doesn't send all the data, it's in packets, I need tick by tick I just found www.iqfeed.net . API is $300 per year and uses a Sockets connection instead of ActiveX like Esig Desktop. Any comments on this feed? I"m building a proprietary piece of tape reading software that uses tick data and market depth. What do you suppose the big boys are using for these kind of applications?
When I talked to them a few months ago, they told me they offered "market depth", but not for futures. They said Level 2 data was available through the API, but not futures market depth data. I was looking to make some sort of software similar to what you want to do, but finding a feed that offered futures market depth data through an API was tough. If DTI does in fact offer market depth data through their API then I would gladly subscribe. The response I got was they offered the inside bid/ask price and size but nothing outside of that.
I am using a feed with API from one of the dealer room data providers. It costs me about $400 per month right now, but I got it in a non-standard way. Now they want to increase the fee I pay, to somewhere around $1000 per month, which I wouldn't be able to afford. The sales guy tells me they normally sell this to dealer rooms for about 10K a month. It has C, Java, and ActiveX APIs. The APIs themselves are documented in a usable manner, but the feed content is not. The feed content and structure actually varies depending on what "provider" is being used (eg. historical, realtime, etc.), even from the same exchanges. Its a bit of trial-and-error development. The feed is pretty reliable, but nothing is perfect. This is a dealer room product, so I believe it doesn't get much better than this, apart from direct to exchange connections. Also, you can get just about any exchange you want, including from the most obscure countries. I am permissioned for equity and futures exchanges, but their main business is fixed-income, and they also have for-ex. I believe to add these would make it quite expensive. At least, the fixed income would. So we come to the reason I am holding back on who they are... I may be able to develop a proxy application, that was able to service the feed needs of more than one user, while maintaining just that single account. They are able to handle thousands of symbols at once, so throughput would not be a problem, except from the network connection standpoint. Would anyone be interested in using such an application? Q
CQG does not release access to an API. This is not something they will change in the near future. It is a part of their business plan, apparently.
SmartQuant's guys like OpenTick's API, so that's an endorsement from some heavy .NET programmers. You might want to ask "amibroker" too.
Take a look at what Townsend Analytics has to offer: goto: https://secure.toolkit.taltrade.com/ Once you register for free, you can access the api literature. To subscribe to the datafeed, goto: http://www.realtick.com It will cost just over $300 a month to provide all the tick data you need. You need to have their toolkit api software installed, along with Realtick. If your broker uses Realtick, then your application can autotrade through it. The other benefit is having your fees waived if you trade frequently (depending on what the broker offers.)
RealTick might be an option. However, when I pull up Time&Sales charts or Bid&Ask charts, it only gives me about 4 hours of historical data. It has several days of historical data for intraday bar charts. I wasn't sure what you meant by 1), so I'm not sure RealTick qualifies.
Have you looked at S&P Comstock? Institutional pricing but may have the capabilities as they supply data for linking in to in house systems. One caveat, eSignal uses their data and some of it is problematic - S&P itself rather than eSiganal further processing/servers may be the source of the errors.