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I'm currently using IB's Java API and getting feeds through them. However the real-time feed is updated only every 250ms and the historical feed only every second.

I'm primarily looking for ES data and other index futures and ETFs. I'm not looking at FX since that data is the most subjective since there is no exchange.

I want a setup that allows me to get the most accurate real-time tick data and market depth. Tick by tick would be ideal, but probably prohibitively expensive.

What setup gives the most accurate data and depth?

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I called IB today and they told me that their historical data is close price only. Is this the case? I wanted to sign up at IB and use their historical and real-time data (equity/etf) with Ninja Trader. Does anyone know if this is possible? Thx –  skimobear Mar 26 '11 at 2:46
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7 Answers

up vote 14 down vote accepted

DTN's IQFeed is really good, if a little expensive. I believe it starts at 80 dollars/month and then you add your exchange fees on top. To get access to the developer API you need to pay 300 dollars for a year's worth of access.

Details:

  • Real-Time, TRUE Tick-by-Tick Data on US and Canadian Equities (NYSE, NASDAQ, AMEX, Canadian Stock Exchanges)
  • Delayed Futures Data (Real-Time Data Available for an additional fee)
  • Real-Time Equity/Index Options and Forex Data Available for an additional fee
  • Real Time Index quotes
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Do they have Java api? –  user40 Feb 1 '11 at 17:08
    
Yes; Java, .NET, VB, & C++. I wrote some of the .NET as their documentation on it was pretty sparse, but Java and C++ is well documented. –  wentz__ Feb 1 '11 at 17:57
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I spoke with the IQfeed people and they confirmed that yes, they do actual tick by tick (even if the ticks come every 1ms). I asked about price for ES and SPY realtime data; here's what they said: "IQFeed is \$83 per month plus \$20 for market depth plus \$30 for the CME emini exchange fee." They also said that most people using their feeds use either NinjaTrader or Investor RT. –  allen Feb 1 '11 at 19:41
    
They are quite cheap in the whole scheme of things and definitely when compared with many other people who provide the same thing. They usually wave the $300 fee if you tell them to. –  Steve Feb 14 '11 at 17:00
    
Anyone used Lime Brokerage here? they are ment to be the fastest out there... Any experience? –  user40 Feb 15 '11 at 7:49
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The T4 API is free to try for two weeks and it has really good documentation... if you contact their support they will usually extend your trial period as long as you want. Here are some of the features it has:

  1. Real-time market feed (ticks).
  2. Historical tick data (as well as second, minute, hour and day charts).
  3. VB/C#/C++ interface.
  4. Programming examples that demonstrate the full functionality of the API.

Unfortunately T4 doesn't have any equities, only futures and currencies.

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Any Java capable Apis out there (other than IB)? –  user40 Feb 1 '11 at 7:47
    
@user40, I don't know of any that are free and allow the granularity of IB or T4 (tick feed and tick historical data). IBM has a Java API, but it's pretty expensive (it starts at 1,850 USD for a 12 month license and goes up to 101,000 USD). –  Lirik Feb 1 '11 at 8:59
    
I contacted T4. They said their feed has a 100ms buffer. If true, though not 10-50ms, it's still a vast improvement over IB. I'm trying to verify. –  allen Feb 1 '11 at 15:39
    
@allen, it should be pretty easy to check if you download the T4 desktop and open up one of the sample projects from the installation directory. I think you will also need Visual Studio 2008 or later. –  Lirik Feb 1 '11 at 17:31
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http://ratedata.gaincapital.com/ has tick by tick historical data for Forex if that helps.

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I looked at that data, and it seems to give the inside bid/ask sometimes a few times a second, sometimes every 3-10 seconds. I'm looking for much higher resolution, on the order of 10-50ms or less. Also, see my comment above about forex generally. –  allen Feb 1 '11 at 15:32
    
Fair enough. GAIN capital (forex.com) says the data represents every bid/offer, but they might be wrong. –  barrycarter Feb 1 '11 at 16:46
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You can download data from 32 forex pairs from the Dukascopy's JForex platform, tick by tick since 2003. I think it is very accurate relative to its price (free).

You can download their different formats by starting here: (no registration required).

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I need absolute not relative quality... N the end of the day, expensive or not is relative thing. Right? –  user40 Feb 1 '11 at 17:07
    
The question says most accurate and cheaply, ergo I think relative quality may works. Financial data is usually very expensive and absolute quality is hard to find. –  Juan M. Almodóvar Feb 3 '11 at 14:48
    
I also use tickdata.com for futures, best quality I have found. –  Juan M. Almodóvar Feb 3 '11 at 14:56
    
Would be great to update the answer with a link to Dukascopy's JForex platform, for us that are unfamiliar. –  Scott Saad Feb 8 '11 at 19:52
    
Updated with link to download. :) –  Scott Saad Feb 8 '11 at 22:51
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A high quality and reliable solution:
http://www.nanex.net/

I found out that you can't afford it if you have to ask for the price.

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nanex.net is is a really good datafeed. it is the actual market tick data, and has all of the anomalies that are usually filtered out by the time ticks get to an enduser feed like IB. –  glyphard Feb 7 '11 at 22:13
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Around $600 per month for Nanex, and thats just for the feed (exchange fees are on top of that). It provides the entire US market in one datafeed, with no symbol limit. –  Contango May 23 '11 at 10:05
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Try the OEC API at http://www.openecry.com/services/api_highlights.cfm

It is a free .NET based API for Futures. Very easy to work with and can give you both current and historical tick data. Not sure of the frequency, however.

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Try http://www.activetick.com/activetick/contents/PersonalServicesDataAPIPricing.aspx this is very cheap 300 per month for unlimted symbols starts from $50 per month

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