Whole-market snapshot feeds

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

  1. _wd

    _wd

    :O Verrry nice <3

    Can I buy you a beer on top of the subscription fee? :p Hopefully will sign up real soon, thanks
     
    #11     Aug 28, 2020
  2. Polygon.io

    Polygon.io Sponsor

    Haha thank you! We built Polygon.io because of the same struggles you're facing now. We just wanted simple and documented access to a quality data stream.
     
    #12     Aug 28, 2020
    PlatformFX likes this.
  3. _wd

    _wd

    One last question for you, and I'm sure you get a lot.. how come no OPRA? I get the impression from elsewhere there may be something special about their licensing. Alternatively perhaps it is just the sheer volume of data involved?

    Thanks again
     
    #13     Aug 28, 2020
  4. Polygon.io

    Polygon.io Sponsor

    We plan to offer OPRA in the near future. We have been approved for licensing, we are just working on handling the amount of data and how we will store/serve it. It's quite a technical challenge.
     
    #14     Aug 28, 2020
    guru likes this.
  5. _wd

    _wd

    OOOOOOOOOOMGGGGGG. I think I just peed myself

    Do you sell I <3 POLYGON t-shirts? I want to wear one while buying that beer..
     
    #15     Aug 28, 2020
  6. _wd

    _wd

    So after cleaning up the pee, I signed up for your trial, and I must say at present I simply wouldn't be happy spending $200/mo. on what I've found.

    Your documentation is /sorely/ lacking:

    - Fields are only described as far as 3 words, and if I cannot find some equivalent field in the CTS/UTP spec, such as in the case of the string 'Trade ID' field, I really don't even know what I'm paying for. What is a Trade ID?

    - Field types completely, and dangerously, incorrect. Price documented as an integer (much like it would be sent in CTS) but in the JSON it is a float. Why the change? Floats have precision issues

    - Fields marked mandatory that apparently are optional, such as 'y'/'f', while fields marked optional ('t') that are apparently always present

    I can muddle ahead and assume this is just a minor docs issue, or I can play cautious and assume if the docs for the very first endpoint I tried have these errors, what am I going to find when I begin to investigate the data? Will those investigations occur before or after a trading error?

    There is also insufficient information on the behaviour of the web socket. For example, looking at all AAPL trades, there were 685,420 on Friday. Each JSON object comes out around 110 bytes encoded, or around 75 MB data just for the AAPL symbol. This number obviously multiplies fast for whole-market view.

    It's not hard to see there may be capacity issues during peak hours when observing the whole market. The FAQ lists average messaging rates, but these aren't useful to design for worst-case behaviour. Do I need a machine with a gigabit connection to handle peak? Will the feed inexplicably get laggy in the middle of the trading day? I assume so because the information required to ensure this wouldn't happen is missing from the docs.
     
    #16     Aug 29, 2020
  7. qlai

    qlai

    Lol, you have pretty big expectations. I doubt you can find anything better for the price, but let us know if you do.
     
    #17     Aug 29, 2020
  8. _wd

    _wd

    $200/mo for floating point price is /far/ from big expectations. It's the difference between a car with or without wheels attached
     
    #18     Aug 29, 2020
  9. Go with choice 2. Polygon is not even a decent retail feed. What you have observed so far is just the tip of the iceberg. Problems are legion. When one is fixed another two pop up. It's not worth $200/month, probably not worth even $20 a month. Trust me on this.
     
    #19     Aug 29, 2020
    jharmon and eternaldelight like this.
  10. qlai

    qlai

    Nanex? He said the quote is out of his price range. He is trying to subscribe to ALL equities trades+quotes. For scanner, not market making or even trading. Floating point up to SIX decimal points should be the least of his concerns!
     
    #20     Aug 29, 2020