IQFeed will work for 1s bars, definitely. So will most other "real time" sources - the aggregation is usually something like half a second or less. DXFeed seems to be a tick feed as well, not sure if it is available to individuals.
@greejan np. Well, i want to start with 1s bars and then construct other bars. Based on sims i did it seems that 1s are fine. @kmiklas Thanks a lot for detailed reply. I will have one more look at the 250ms snapshots. All i realy need is to construct 1s bars with ohlc and size. If it can be done with reqMktData, then i would use that, i will see if i did it wrong. I switched to tick by tick data and it worked fine, so i figured i am gonna use that, but then found out that you can have only 3 tickers by default. So i started looking into other data providers last week and found out its not that easy to find data provider unless you are willing to spend a lot of money. So yeah, if its possible to construct exactly same bars from reqMktData as from tickByTick, then that would be great, since that would pretty much eliminate any need for any data providers. You can also purchase up to 10 boosters for $30 i believe and each of these would give you additional 100 tickers ( so thats 1100 tickers in total ). With tickByTick, its 11 tickers :/
@ZBZB I dont know if there was something in user agreement to not share pricing, so i wont give specific number, but it was significantly more than my $300 budget for NASDAQ and NYSE.
$250 would be great. I just received email yestrday from them with pricing and thats what i figured, but i will try to talk to them more. I will update it here, if i would get any other pricing.
You can use dxfeed for Motivewave or Quantower. The costs are $29 per month. But dxfeed offers only data for Nasdaq and not for other exchanges.
I´m using Motivewave with IB´s datafeed for stocks and noticed sometimes tiny differences in the values of the 2 minute candles. Sometimes the high or low differ for 1 cent. I checked this on the charts of TOS and Tradingview. This might be because of the 250ms tick data. When using the TWS charting directly there is a correction every 5 second to deliver the right values. But i don´t know if MW offers this correction when using the IB datastream. In Sierrachart there was the option to enable this correction.
DXFeed also has full CTAUTP feed available (for more than $29). I am getting to know DXFeed intimately since I am implementing it in Medved Trader currently. And yes, the problem with DXFeed is you subscribe to it for a particular application, not in general. Once I fully implement it in MT and release, though, you'd be able to subscribe for it for MT, then use MT's internal streaming API to get all the incoming data for your own software. And that would also insulate you from the fairly quirky DXFeed API. One interesting thing with DXFeed. I asked them what the max # of simultaneous tickers was with the subscription. They said there is no max.