Whole-market snapshot feeds

Discussion in 'Data Sets and Feeds' started by _wd, Aug 27, 2020.

  1. _wd

    _wd

    Hi there,

    Does anyone know of a service where you can receive whole-market view of (at least) last trade + cumulative daily volume on a periodic basis?

    These two fields are sufficient to build most kinds of custom market scanner - which is what I'd like to do.

    Even a snapshot every minute might be good enough. I know IQfeed have their 5 minute snapshot files, but that's too slow to capture what I'd like to capture.

    I got a quote from Nanex for this and for now it's out of my league. Is there something between a whole market trade/quote feed and typical retail symbol-limited feeds like IQ?

    Thx
     
  2. guru

    guru

    For your own use, or for creating tools and/or redistributing?
    Redistribution licensing can be expensive.
     
  3. traider

    traider

    You can pull from IEX everything. They dont charge right now
     
  4. _wd

    _wd

    This appears not to be the case.

    This page suggests the only real time trades/quotes received come from IEX, even for paid plans NASDAQ/NYSE are delayed.

    Additionally I tried using my free account to access the stream, it is not enabled.

    That suggests I'd need their 'Scale' plan at $500/mo, and even with that it seems I still would not have real time last price + volume for all NYSE/NASDAQ symbols, only those where trades occurred on IEX
     
  5. _wd

    _wd

    For my own use
     
  6. guru

    guru

    Then you can either try to scrape/collect the data export from Finviz Scanner (with paid subscription) - just export all the data without filtering, or filter the way you want.
    Not sure if they won’t block you after too many exports, but once a minute should be ok.

    Or try Polygon.io that streams all data like Nanex.
     
  7. _wd

    _wd

    I didn't realize Polygon had whole-market feed! And looking more closely, they even have a market snapshot option.

    Thanks for the pointer, this is probably what I want, assuming their latency isn't insane
     
    guru likes this.
  8. Polygon.io

    Polygon.io Sponsor

    We hope you find our latencies not 'insane' :) Our snapshot is updated in real-time down to the nanosecond timestamp. The average time from a trade executing in the exchange, to being available in snapshot is ~20ms.
     
  9. _wd

    _wd

    From looking at https://polygon.io/polyfeed, it seems $200/mo. does not buy me real time NBBO / consolidated volume information, right? Only volume for a subset of minor exchanges

    What I basically want is the full CTS+UTP feeds. I thought aggregate data licensing was one of the positive features of CTS/UTP, how come this is never passed through to the end user?
     
  10. Polygon.io

    Polygon.io Sponsor

    Polyfeed is for enterprise ( because of the extreme exchange fees for full SIP ). The $200/m is for end users and that includes full SIP ( CTA + UTP ) data, aggregates, trades and NBBO quotes in real-time.
     
    #10     Aug 28, 2020
    _wd likes this.