Day Trading & Forex Forum

Silicon

As far as I know (please correct me), all commercial data feeds provide a limited number of simultaneous ticking items, e.g. up to 500 or 1000 symbols. In contrast, institutional traders often have access to data feeds which enable real time viewing/processing of tick data for every listed instrument on one or more exchanges, which has obvious advantages for system traders with programming skills. It may not be possible to use a 'complete' feed in combination with off-the-shelf trading software. E.g. NASDAQ, NYSE, and AMEX has approximately 8100 listed equities and to import the bid/ask/trade with volumes (48,600 ticking items) into an application such as TradeStation is probably not realistic.

Given a data feed which can provide all tick data for these three exchanges in real time while also retrieving historical tick data without bogging down a mid-range PC, would this be considered a good data offering or would it be largely meaningless because of being limited to traders who are also reasonably proficient at programming? I.e. would it be worth offering such a feed via an API, or is the market for such a specialized product simply too small?

NotQuiteRandom

I would buy it if the price was right and the technology was stable. My total data bill (including leased line) for US and non-US feeds was $68k in 2006 because I get every tick on a large number of exchanges including the largest (CBOE) by quantity.

Are you thinking web based or leased line?

Would there be a lot of demand? I guess that depends on the price, delivery method, format etc. Do you have a ticker plant capable of this?

Silicon

It is a web based offering, but in order to receive *all* data you will need a broadband connection (at least 512k). Our ticker plant is capable of it, but we need to decide on what to offer and at what price. Beta testing should tell us a lot but at this stage we are trying to get a preliminary idea of what the demand would be like. The question for us is whether there is sufficient demand for an API-only offering, i.e. without charting/trading software.

NotQuiteRandom

If you do decide to offer it please let me know. While I am in the process already of swapping one of my data vendors I am keen to keep up with who is offering what.

I have no interest in commercial charting software.

Thanks.

NQR

Silicon

I will post a notification to this list as soon as we open the public beta.

dcraig1

Here's a few suggestions:

1. Make the API open. Publish both the API source and the protocol specification, as do OpenTick : http://www.opentick.com

2. No local servers - and especially no local Windows servers that do caching etc. API should connect direct to the remote tick servers.

3. Platform independent. C, Java and whatever other languages you want to support.

Silicon

I am not in a position to make these decisions. The current situation is as follows:

1. We will provide sample projects which demonstrate use of the API in various languages (source code), but this source will be linked to a DLL for which we cannot provide the source. Also, the data will not be free.

2. The API connects directly to remote servers, but data caching may be enabled on client machines for reasons of efficiency (e.g. persistence across sessions). This mechanism is under control of the API user and can greatly reduce bandwidth usage (and speed) in many instances.

3. The API library (DLL) is implemented in .NET. It can be accessed from any .NET language and also runs on Linux and OS X via Mono.

dcraig1

Nobody will use Mono for this. For all practical purposes it is Windows only.