Data provider for real time tick-by-tick data

ramigokberk · Aug 17, 2021

You can also check for Finage. Their prices could be over a bit on your budget but you might find something that works for you.

antares66 · Aug 17, 2021

terr said:
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.
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I didn´t know that dxfeed can be implemented in MT. Can MT´s internal streaming API be used in Motivewave?

terr · Aug 17, 2021

antares66 said:
I didn´t know that dxfeed can be implemented in MT. Can MT´s internal streaming API be used in Motivewave?
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I am working on the dxfeed implementation in MT. Should be released to our users fairly shortly. As for MT streaming API being used in Motivewave - it can be used by anyone who can do Websockets with JSON or XML. It allows you to connect to any of the data sources from MT and subscribe/unsubscribe to market data from them, as well as connect to any of the supported brokerages and trade/monitor your accounts.

Full MT functionality, but available to 3rd party software. The API connects to MT locally on your computer (MT can be reduced to just a hidden Dashboard window), and provides a simple interface hiding all the complexity of the dozens of APIs that are used to connect to various sources and brokerages.

Send me a PM here if you want the API doc.

Luke_4466 · Aug 17, 2021

antares66 said:
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.
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Thanks, i sent them an email.

hanneswas · Aug 17, 2021

I use MT5/MT4 as the data provider.
Python calls the EA via zeroMQ and the EA responds with json formated data.

Free and works perfectly

trend2009 · Aug 18, 2021

Luke_4466 said:
@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 :/
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are you sure with reqmktdata you can stream 1100 ticker at only 30 dollar per month with IB tws?

trend2009 · Aug 18, 2021

DaveV said:
My understanding is that neither IB nor IQFeed sends actual tick-by-tick data. They send tick summaries.

I have also tried NxCore, IB, IQFeed and Polygon. Polygon is good and can easily handle 100 simultaneous symbols, but starts to lag badly after more than 1,000 symbols. If you can afford it NxCore is really good at keeping up, no matter how many symbols you are monitoring.
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I heard polygon has whole market stream. If you use whole market stream, is it faster instead you specify the 1000 symbols

DaveV · Aug 18, 2021

trend2009 said:
I heard polygon has whole market stream. If you use whole market stream, is it faster instead you specify the 1000 symbols
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My Polygon experience was more than 2 years ago so I am not familiar with the "whole market stream". I also could find the documentation on it, but I do notice that they now have one-second Aggregate quotes, which should satisfy many users.

hanneswas · Aug 18, 2021

Who is interested to buy a software (custom development with source) which gives you real time tick from Forex and CFD (everything you metatrader broker provides) with no fees?

You would be able to get all data streams with up to 100ms delay via mqtt.

I can provide one but there should be at least several interests so it's worth the time.

dholliday · Aug 21, 2021

Luke_4466 said:
Hi,

i am new here, i have looked through a lot of topics here as it seems there is a lot of information on data providers, which is great. That being said, i have looked through resources here, read bunch of stuff, looked up bunch of providers, contacted some of them and i still cant find provider that i am looking for.

What i am looking for
-real time tick-by-tick data as i want to build 1s bars on my own
-unlimited or at least 100 tickers at one time
-NASDAQ and NYSE
-Python api
-Monthly price max $300
-Something reasonable up to date with normal support ( ie there is a lot of high end data providers or providers, who didnt bother to even update their website in last 10 years )

What i have tried
-IB and Polygon.io
-Interactive Brokers real time tick-by-tick data are working well, i can construct 1s bars without issues, i am able to get exact same bars as TradingView. That for me at validates that the data are somewhat correct. The issue is of course limitation on amount of tickers ( 3 by default, hard limit on 11 tickers i believe costing some $300 )
-Polygon seemed as good choice, but after testing it out, i found out i am not able to replicate same data, ie bars i was constructing were different from IB and TW.

I have seen recommended IQFeed a lot, but i was quite put off by the registration process, one year fee ( no monthly fee ) and i cant even find information whether they support Python.

I would very much appreciate any recommendation.
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IQFeed and Polygon.io should have the best data. IB is OK. TradingView is not for trading, From what I have seen, and I have TradingView, TradingView is only a small part of the market data.
I use IQFeed but Polygon.io looks to be similar. Try them both and see which one you like best.