Looking for recommendations on places to get market data for options. I'm looking at NYSE and NASDAQ only.
My current solution is my broker, Tradeking. I can request realtime data for 700 option symbols every second, in discrete requests. I have something like 70,000 options to sort through - all strikes, but only the nearest expiration. It's been taking me about 6 minutes each cycle to download and process this data, in chunks.
I also have an Interactive Brokers account. Their data is (I suspect) higher quality, and more powerful. Their data is streaming, and I can monitor up to 100 symbols, (stocks or options) at a time. By paying IB, I can increase this to up to 1000. If I can cycle the streams, or take fast snapshots, this might be better than my current solution. Still not really what I'm looking for.
I've looked at xIgnite, which is stupid expensive (i was quoted around $30,000 a year) for data that's even more limited than Tradeking's. I got a trial with Barchart's service. They're much cheaper than xignite, and have a similarly-streamlined API. There's no symbol limit, but the more symbols you request, the longer the pull takes. Overall speed is comparable to TradeKing's. (incidentally, TK takes about the same time to pull data for 1 symbol as 700).
Iqfeed seems to be what I'm looking for, but they don't have a public API; it seems intended to use with third party-software, not for custom app development. [/quote]