Historical Depth of Market data?

[Directional]

Long shot this one: Anyone know of any vendors who can provide historical DOM data? even if just the inside bid/ask? :?:

 

[dcraig1]

http://www.opentick.com and it's free ! The complete book, not just inside bid/ask.

Actually, I haven't tried the historical book data and I'm not sure that it works as of now. There definitely is support for it in the API and it is something I will try out when I get a chance.

 

[blackcab]

http://www.opentick.com and it's free ! The complete book, not just inside bid/ask.

Actually, I haven't tried the historical book data and I'm not sure that it works as of now. There definitely is support for it in the API and it is something I will try out when I get a chance.

What do you reckon to opentick's data - cleanliness, contiguity etc.?

 

[dcraig1]

OK - what's the catch?

GJ

None really, other than if you have problems, it's a bit difficult to complain too much considering the price. At the moment, I'm just subscribed to real time US stocks and options Level I, which costs the princely sum of $4 per month -all excahnges. You get up to 1000 instruments, though an instrument is really an exchange/instrument pair. They only charge exchange fees for RT data. You can get everything 20 mins delayed for free.

I haven't used it all that much yet, but it seems reasonably reliable and timely. I've had a couple of freezes, but that could be my code and I haven't investigated properly yet. I found a couple of bugs in the Java API. It is open source so I fixed them without having to sit around for days or weeks waiting on some vendor to do it.

I like the API - it is well designed and fairly easy to use. The historical data API is much better than IB's which I think is horrible.

I've only been using 1m historical data for stocks. The last couple of years seems OK, but before that there are some big chunks missing in 2005. I think it starts in 2003, but some of the data that far back is a bit ropey. They keep promising to fill the gaps, but it hasn't happened yet.

I like it because there are no stupid obstacles. No idiotic, half baked "desktop API" like eSignal, you don't have to cough up $300 like DTN for API doc, just to see if you might be interested. There is no extra crap to run on your machine - just an API library which connects direct to their servers. If they sort out a few problems, it could be very promising.

 

[jayman21]

opentick.com has sadly stopped providing its service. I am looking for a replacement. Does Any one have suggestions? I need 1m stock data going back a yr for NYSE and NASDAQ I can use 6 months but I like to backtest a full year.

I also need to replace the real-time feed from opentick. I usually watch about 50 tickers at a time.

I am a linux shop, so we were using the perl API supplied by opentick.com. I am open to a windows box if I must.

Thanks for Any Help....