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What is the best/cheapest service to get real-time (as real-time as you can get) on stock options?

I'm looking for the fastest update on the ENTIRE market, with a few stocks prioritized, so I need the data to come in as fast as my internet connection will let it. The API can be in any language, although I would prefer C++.

Also, a trial service would be great.

Currently, I am looking at IQFeed which seems to be exactly what I am looking for. It is cheap, has a free trial, gives out 1ms ticks and has a C++ API.

Any other options like this one?

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Have you found anything else? My main issue with IQFeed is that it's Windows-only, from what I understand. – Arthur Jul 7 '12 at 15:01
Have not found anything else as complete. IQFeed does have a Java API, so I doubt it is windows only. Their support is also pretty good, just start a chat session with them and ask :). – David Menard Jul 9 '12 at 14:42
IQFeed runs fine under Wine on Linux. With newer versions you will need to maintain a connection to the real-time port at all times, to prevent a situation where IQFeed shuts itself down after a disconnect. "nc 5009 > /dev/null" does the trick. – Joseph Dunn Aug 8 '12 at 17:06
up vote 5 down vote accepted

Nanex NxCore will give you a full market view of the options market. The feed is full market, meaning you won't subscribe to specific options or stocks, so it may or may not fit your "prioritization" requirement. You can subscribe to events for specific symbols, however, once the data has reached your local NxCore application.

The data is not sampled so you get event by event and the API is C based, but they might have a C++ wrapper, I'm not sure. The code is quite clean and easy to use.

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Nanex is the best reasonably priced for listed options/equities, and the performance is really good with the advanced feed compression that they do. It can be accessed from C, C++, C#, Java, etc... they have several helpful starter examples on their site. – glyphard Aug 8 '12 at 19:51
I can't seem to find a price quote for Nanex, do you have a price range? thx :) – David Menard Aug 13 '12 at 15:38
Your best bet is to call them up and ask. – Louis Marascio Aug 13 '12 at 15:43
They seem to have a good API and a very efficient feed, but they are certainly not the cheapest. Starting @ 600$/month for only stock feeds from the NASDAQ. – David Menard Aug 13 '12 at 16:43

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