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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]

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  • $\begingroup$ describe what exactly you are looking for $\endgroup$ – baerrus Feb 9 '15 at 15:31
  • $\begingroup$ "Hey server, could send me bid and ask prices for options, more than 700 a second?" "Sure buddy - Here you go!. [{'UPL150220C00015000': {'bid': 5, 'ask': 6}...] $\endgroup$ – Turtles Are Cute Feb 9 '15 at 15:33
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IQFeed's API does indeed work with custom app developments. After all, the 3rd-party programs that you see connected to IQFeed just took the API and integrated it in their program. That's also what I did when I developed my IQFeed-Matlab connector (IQML).

There's a separate fee (~$300/year for the developer, not the end-used) that allows the developer access to the API, and then you can access all of the IQFeed data for which you are subscribed. You also need separate data subscriptions, but you only pay for the data that you need.

In case you happen to use Matlab, you can develop your trading program by either directly connecting to IQFeed using their API (in which case you'd need to develop the connector), or you could use IQML and just focus on the program's algorithmic aspects. In any case, you can certainly develop custom programs that use IQFeed (I've created several such programs in the past few years).

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Here is a list of vendors connected to OPRA directly who can supply such data. http://www.opradata.com/related_info/vendor_list.jsp

Like yourself I looked at Xignite. They have a nice REST API, though not streaming. But pricing is such that it is clear they only want to cater to institutions. Btw, with a $30K budget you can probably become a Tier1 quote data provider yourself. But you will be a good one, charging the rest of us reasonable prices ;)

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  • $\begingroup$ Thanks. It looks like ActiveTick from that liist has unlimited streaming option data for $300/month. Going to see if they'll do a free trial, and if there are any better/cheaper options. $\endgroup$ – Turtles Are Cute Feb 15 '15 at 10:49

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