Is there an API or APIs similar to the Yahoo! or Quandl APIs, that give the same access to pre and after market data? I know I can scrape the Nasdaq or Yahoo! Finance sites to get a pre/after market price and the yahoo api has a tag for "After Hours Change (Real-time)", but I am hoping for a API with more detail. Note : I am mainly interested in securities such as stocks and ETFs but open to other pre/after market data sources.
2 Answers
All this data is not provided free. Also if you try to crawl all this data from NASDAQ website the NASDAQ's web server will automate close the connection after 4~5 connections.
Xignite API is the answer to your problem but i also suggest to read this article (http://www.quantatrisk.com/2015/05/07/hacking-google-finance-in-pre-market-trading-python/).
it's not free, but works well..
http://www.xignite.com/product/XigniteSuperQuotes/api/GetQuote/