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I am looking for a service that is able to provide real-time tick data (time&sales) for the contracts traded in the Italian Stock Market (Borsa Italiana). The service should provide data through an API that I can integrate in my own code.

This is what I have tried so far:

eSignal

Real-time tick data is shown in the software but is not available through the eSignal Formula Script (EFS). EFS only deals with bars. I also used eSignal QLink, that it is claimed to be an enhanced DDE add-on service that makes it quick and simple to download real-time, streaming data into your Excel worksheets (http://www.esignal.com/development-tools/esignal_sdk_tools/qlink.aspx). I combined QLink with my own VBA script to intercept excel cell changes and dump ticks to a database. I found that many close-in-time ticks correctly shown in the eSignal time&sales window are not detected by QLink.

Interactive Brokers

In order to evaluate the goodness of the data received via reqTopMktData() (https://www.interactivebrokers.com/en/software/api/apiguide/c/reqmktdata.htm) I wrote a simple JAVA class that fires a reqTopMktData() and handles generated events via callbacks tickPrice() and tickSize(). Callbacks simply write received data to file.

I let the class run for a day and then checked harvested ticks against the TWS time & sales window. Surprisingly, I found that many ticks that are properly shown in the time & sales window are missing from the harvested data. It looks like not all the ticks are forwarded to tickPrice() and tickSize().

So basically I am still unable to find a good, reliable, service provider of real-time tick by tick data for the Italian stock market.

PS: I can provide VBA and JAVA classes upon request.

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  • $\begingroup$ This is the Interactive Brokers customer service reply to my enquiry: > "Unfortunately streaming Time & Sales via API is only showing up to 4 updates a second (standard 250ms snapshot). While historical Time & Sales in the TWS will show every change. Historical Time & Sales is exclusive to TWS, not available through the API." $\endgroup$ – simonemainardi Apr 13 '16 at 12:14
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I am not an expert on the subject, actually I'm looking around for more knowledge. If you can open a trading account with Fineco, they provide the so-called PowerCell (https://help.fineco.it/it/600/2421.html), a data-exchange platform that gives you the ability to grab real-time data directly from their trading platform (PowerDesk). It's not a free service, though.

To be honest I've never tried it, I only played with PowerDesk some time ago to get my feet wet.

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    $\begingroup$ I have just talked directly with Fineco customer support. They said PowerCell shows 'real-time' data in excel, but there is no way to have time&sales there. I asked them the definition of 'real-time' but they have no idea of what it means. They just said 'you see data that changes as if you were looking at the order book in the web page'. So I went on and asked ‘what happens if there are 10 ticks in a second? Of course the web page doesn’t refresh 10 times every second. Do I see the excel cells that refresh 10 times in a second?’. Again, they have no idea. $\endgroup$ – simonemainardi Apr 13 '16 at 17:11
  • $\begingroup$ @simonemainardi definitely an encouraging reply from the "market leader for the Borsa Italiana since 2004" (source: fineco.it/en/public/trading). Thanks for sharing your experience anyway! $\endgroup$ – Ignorant Apr 15 '16 at 12:40
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IB will provide you with tick data only if you have an account with them. min deposit 3k if age <25 otherwise 5k so i'm guessing that's not an option if you only plan to do a study.

Other options are the free quant tick downloader but which is very good but you only have major currencies and indexes -> here is link

It also depends on what kind of contracts you are looking for. If you just want currencies then FXCM has API with free currency tick data and a free demo account which you can find here

Alternatively you can try find an Italian broker which integrates with MetaTrader4 and can provide historical data. Some joke brokers have min deposits as low as 10-100$ + probably some monthly data fee. MT4 will provide API integration for u. - this is only forex btw.

For other types of securities i'd say your best bet is an italian broker with low fees and deposit requirements.

For easy strategy testing and API integration in fast C++ check Zorro

also check this post here

that's as good as it gets for free. good luck

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  • $\begingroup$ Thanks for your time. However, as I said in the question, IB does not provide streaming tick data via the API. Also, the other links you reported do not offer data for the Italian Stock Market. The quant tick downloader provides access to Dukascopy which is FOREX only. Same for fxcm. As specified in the subject of the query, I am looking for realtime tick data of the Italian Stock Market. Finally, also strategy testing falls outside the scope of the question. $\endgroup$ – simonemainardi Apr 13 '16 at 12:23
  • $\begingroup$ IB provides live data via API. I am using Tradestation and planning to do the switch to IB for that exact reason. $\endgroup$ – Alex Bădoi Apr 13 '16 at 12:27
  • $\begingroup$ straight from the IB documentation: "Tick-by-tick data is not relayed back through any API technology" source: interactivebrokers.com/en/software/api/apiguide/tables/… $\endgroup$ – simonemainardi Apr 13 '16 at 12:53
  • $\begingroup$ Apologizes, i was talking about minute data $\endgroup$ – Alex Bădoi Apr 13 '16 at 13:06
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You can use Bloomberg API as well.

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  • $\begingroup$ I am not sure I can have access to bloomberg data since I wouldn't be a professional/enterprise customer. $\endgroup$ – simonemainardi Apr 14 '16 at 7:39
  • $\begingroup$ Not sure, check Reuters as well or IDC Vantage point...usually tick size data is best at Bloomberg only. $\endgroup$ – Atul Agarawal Apr 14 '16 at 7:42
  • $\begingroup$ bloomberg issue is the same for TR: they look for enterprise customers. IDC vantage is a web app: no API. $\endgroup$ – simonemainardi Apr 14 '16 at 16:08

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