How to record tick data from Google/Yahoo Finance data streams?

Question

Is there any way to record or piggyback with an app, code or excel Google finances' or Yahoo finance's data stream?

Ideally, I need tick by tick data, as in every price change of the day.

All the downloaders and codes I found can only get 1-minute intervals in the format of OHLC. I have not found any code snippet for tick by tick or every price change when denoting the interval change for downloading EOD data.

The closest thing I can come up with is: http://code.google.com/p/finansu/ and the idea of Live, streaming web import capabilities in Excel. However I am not sure whether this just queries Google in frequent time periods or whether it would reflect what you see with the real time ticker changes. In fact, going by tick change would give you different EOD results than if you queried every 1m or so.

For example, using an index price like the Dow if the price does not change for three minutes your query would return that figure three times leading you to believe it transacted more than it did at the end of the day.

Is is it possible to get tick data from these services?

Answer 1

You can use something like http://digitalpbk.com/stock/google-finance-get-stock-quote-realtime; lower the timer to 1 second and you have 1 second refreshes.

To get real-time quotes from Yahoo, see https://stackoverflow.com/questions/1763310/yahoo-finance-api.

Combine both API into observables:

Observable.Interval(TimeSpan.FromMilliseconds(500),DoPollingActionForStock("AAPL")).DistinctUntilChanged(OnNext));

Answer 2

You can save the entire yahoo webpage as a string with C#:

  string yahoosite = Encoding.UTF8.GetString(new WebClient().DownloadData("http://finance.yahoo.com/q?s=VOW.DE"));

Then you can periodically extract the price snippet from this string to generate the tick-by-tick data.

Answer 3

There is virtually no way to get tick data from yahoo/Google. You only can get up to 1-minute and is not real time. It's delayed by 20 min