Where are data feeds?

Hello,
I am a beginner in the trading field.
I am a programmer and want to make my own trading application for fun and in order to learn trading. But the problem is that I don't know where to get the market data. Can you tell me that? How other trading applications get them?

Thanks in advance.

From a provider. I am sure your google foo will find quite some. Oh, they cost Unless you trade with a broker providing them for free (limited), like IB or Mirus Futures... you can expect to PAY. I got an offer from nwfeed for around 400 USD per month, real time, and from NxCore for about 1000 or so - CME+CBOT in the end.

For "free" you can get:
* IB (Interactive Brokers)
* Zen-Fire from Mirus Futures. Note that they have limited metarata (symbol list), no corrections, nothing historical etc - not even a 5 minute buffer in case you must reset the system.
* Ameritrade has supposedly an API for customers.

Google does the rest.

Have fun.

Thank you I will Google informations you provided. As I guess it's best to pay to get good data feeds but I'm not too rich at this time.

Are there market data feeds providers best suited for day trading?

FREE End of Day Stock Quote Data and Historical Stock Prices

the EOD is a bit misleading, as you can get intra-day data as well.

Well, you ahve no choice. Data feeds cost money - quite a lot contrary to end of day download. For real time, the exchanges want to be paid, too

I would go with a broker API for starts. I do the same. Signed up for EodData.com, now integrating ZenFire. When that works out, I may upgrade to IqFeed or NxCore, but first I will try using ZenFire

I just signed up with IQFeed and am experiencing a 1 second lag because they don't have servers in Europe. Do you actually have access to the Zen-Fire API? I am looking to switch to Zen-Fire if they have it.

Well, if YOU are in europe you will always experience lag from the US - even if you connect to a local server, if the exchange is in the us... the lag will be behing the server.

THat said, 1 second is not critical for me - even 5 would not be. No scalping here.

I have access to the Zen-Fire API - Pat sent me the files and is generally helpfull. Just contact them through the zen-fire website. The API is a C++ / Managed C++ set of dll's, with external certificates to load (sadly, could have been embedded).

The design is not exactly perfect (for example not giving PROPER exceptions on error cases, just throwing "System.Exception", making error handling hard), but it is a proper API in that there is no UI involved, no setup, you can handle all yourself.

Sorry, I didn't mention that the exchange (Eurex) is also in Europe. So the exchange and me is in Europe, just the data provider is in the US...