Bloomberg. They are not cheap (to say the least), but you can't beat them in terms of quality and support. However, even they don't have everything - I do buy some data (historical) piece-meal from a couple vendors (CQG and tickdata.com).
I've looked in to CQG... not cheap either. Any thoughts on which has the best real-time equities feed? (Bloomberg or CQG)
I have been trying to contact ActiveTick for weeks now. I have sent them at least 5 emails, and now I am on hold with their customer support phone number for over an hour. Are they still in business? I have never had such problems contacting anyone in my life.
Well, they are still charging my credit card every month and I am still able to access both their historical and real-time feeds, so they must be in business. Given the price they're charging I wouldn't expect much if any support though.
Yes, a lot of these companies have terrible service and are nearly impossible to get through to. I have sent inquiries to Tickdata and ActiveTick and neither has responded, just completely ignored my inquiry. Do they want my money or not? I guess my money isn't good enough for them. Bloomberg and Thomson Reuters respond quickly, but they are priced way out of my range. Thus, my live feed and historical data are now both from QuantQuote. On average, their email response time is 2-3 hours, even on weekends. Phone contact is more spotty though, I'd give them a 50% chance of picking up when you call.
I kinda-off wish someone would actually maintain a matrix with all providers that would include comparison of market data providers feature by feature. Also, I am surprised that someone out there has not undertaken a project to write a "data-splicer" interface - something that would allow merging both real-time and historical data from various commercial and free sources (feeds and web scrapes) for display and analysis. Sounds to me like that would be a product that would be fairly popular for semi-retail audience.
Comparison Matrix: AGREED "data-splicer": This is a great idea. I would certainly use it. The closest solution I can think of is XLQ, as it pulls data from multiple sources, EOD and RT, free/paid, but I don't think it's really set up for the comparison/analysis step, that part you still have to do yourself in Excel.
Which vendors provide OPRA T&S data (trades AND quotes)? I keep hearing that individual traders can't handle the volume of quote data, but realistically does one need quote data on every option? I just need the quote data for maybe 100 option/days per week, which of course I can easily store. I know there are services that offer *full* OPRA T&S data for $3k/month. In my case that's like hammering in a thumbtack with a sledgehammer. I need a service that just offers quote data that can be downloaded option by option, where I can pay by download. Bloomberg: Offers this at $2k/month...and you have specific download limits on T&S data. TickData.com: Offers full data only. Market Data Express: Offers full data only. TradingPhysics.com: I think they offer it but I haven't had much luck connecting with them. DTN/IQ, CQG, EssexRadez.com: Do not offer quote data. LiveVol.com: Probably my best option, but it's not by API...I need to send them an email list and they will provide a zip file to be downloaded. It's perfect as far as pay as you go and availability of data, but I don't want to have to send email lists each week. In addition they have a minimum order of $500 so i have to store up my interesting cases for a few months between each order. I currently use DTN/IQ and IB for intraday and Delta Neutral for the daily option OHLC records. Any information/recommendations are much appreciated.
You're looking for OPRA TAQ data (Trades AND Quotes), for 100 options/week. Are you looking for a different list of options for each day, or the same 100 all 5 days of the week? Do you have to collect once a week, or could you collect the data at the end of each day? Or in real-time? Are you looking to build your historical database (i.e. requesting options from, say, 6 months ago), or just purchase per week going forward? LiveVol does have a pretty good Excel API, with historical NBBO for options... would that work? http://www.livevol.com/options-excel.html If Excel isn't your final location for the data, then you could use VB to port the data from excel to whatever database you're using. Likely the entire process could be automated without too much effort. Also one more for your list: http://www.nyxdata.com/page/1070
A. Is it a hundred options or a hundred underlying stocks (second one is not as small as you think)? For a small set of options, why can't you capture the markets yourself from your RT feed? B. Why would anyone who is not trying to do AMM in options care about actual ticks? even for my strategies we've found that 1 min bars is plenty for back testing and that is pretty cheap and accessible from tickdata. You should be aware that in options, as a client, you almost always going to have some execution short-fall so you can't really back-test on tick-level data properly.