Data provider for real time tick-by-tick data

Discussion in 'Data Sets and Feeds' started by Luke_4466, Aug 16, 2021.

  1. Polygon.io

    Polygon.io Sponsor

    We rebroadcast the data that is being sent by the US Security Information Processors, the entities to which every trading venue reports their activity. These feeds cover 100% of market volume. Here's an article that explains this in more detail.

    We are planning to support CSV streaming, but I do not have a concrete timeline to expect this at the moment.
     
    #41     Aug 26, 2021
    dholliday likes this.
  2. dholliday

    dholliday

    Should have said; IB goes through the effort of finding the best price for you.
     
    #42     Aug 27, 2021
  3. dholliday

    dholliday

    If I was choosing a data provider today, for what I do, Polygon.io and IQFeed would be the only two in the running. Test to see which one fits your unique needs and wants better. At some point, you just have to pick one and start using the API.
     
    #43     Aug 27, 2021
  4. @Polygon.io

    Based on my personal testing of Polygon data feed, there was an issue with wrong timestamps in the tick by tick data feed for NASDAQ. I tried to solve this through support without any luck.

    My personal testing was straightforward. Receiving real time ticks data from IB and Polygon at same time and comparing these data. Polygon would have some offset in timestamps, which meant that constructing 1s bars from Polygon data was different to IB. Only due to different timestamps, as far as i remember data were otherwise exactly same. Unlike Finage, who unfortunately had some missing data from some exchanges, but they told me they are working on that.

    I am not able to say who has right data, but IB has exactly same data with exactly same timestamps as TradingView. I verified that by constructing 1s bars from tick data from IB and they match almost exactly TW ( 95% match ). While bars constructed from Polygon almost never match IB nor TW ( due to slightly different timestamps, meaning some trades slip into next second etc)

    I am not able to claim that one is right and other is wrong as a fact, but that was my experience with testing and thats why i didnt end up going with Polygon unfortunately. Otherwise i preferred your way of delivering the data and pricing most.
     
    #44     Sep 5, 2021
  5. dholliday

    dholliday

    I have a low-end subscription to TradingView ("Pro" plan, not free). The intra-day data is dramatically incorrect, missing exchanges. If TradingView has a high-end subscription that is better then maybe that's ok.
    IB aggregates their data. If they use the time-stamp from early in the aggregation instead of the end... Anyway, just thinking out loud.
    Good luck.
     
    #45     Sep 6, 2021
  6. @dholliday

    Thanks. I cant speak on other data than 1s data on TW as thats only data i tested. That being said from my test 1s bars on TW match exactly with IB 1s bars constructed from real time ticks.

    I tested Polygon and Finage and those data dont match. Does not mean one or the other is right or wrong. That was just my observation and my knowledge on what trades and exchanges can/should be included is not complete.
    I talked to Finage today and they told me they are still working on improving the data.

    For now i have purchased quote boosters on IB, which means i am getting 11 symbols with real time ticks for $300. Not great, but for me thats best data i could find for my purposes.
     
    #46     Sep 6, 2021
  7. ZBZB

    ZBZB

    You could get www.nanex.net for $250.
     
    #47     Sep 6, 2021
  8. @ZBZB

    Thanks, i looked into Nanex, it looks good, but they unfortunately dont support Python nor Websocket (i am able to use only these solutions currently). The price was also quite higher than $250 for NASDAQ only, but still reasonable.
     
    #48     Sep 6, 2021

  9. you need true tick-by-tick provider...there are only two choices for retail trader - Activetick & Nanex. they get raw data from SIPs and can subscribe by venue. Activetick is not reliable but when it works its pretty good.

    Don't use IQFeed or Polygon. they send their own composite feed. In other words prices are filtered by their rules, not tick-by-tick.

    I am using pico which is approved extranet provider for CTA and UTP. very reliable but expensive.
     
    #49     Oct 5, 2021
    hanneswas likes this.
  10. hanneswas

    hanneswas

    What is the price for the Pico data feed? Looks promising indeed
     
    #50     Oct 6, 2021