Historical time & sales / tick data

[jubdk]

I need historical American stock Time & Sales / tick data dating back at least a year.

Anybody knows how far back in time Realtick's time & sales data goes? eSignal is 10 calender days, IQFeed is 8.

NYSE offers they TAQ DVD's, but they're 800$ per month which is a bit too much for me at this point. I'll probably begin collecting data myself from IQFeed if I'm not able to find something better.

Anybody here with experience with the SDK's/API's for either Realtick, IQFeed or eSignal? Strengths/weaknesses?

The following is a list of historical Time & Sales providers that I would like to evaluate
Realtick: $200/month, 14 days free trial, free API
eSignal: $115/month, 30 days freel trial, 10 days tick data, API free (?) for individuals
IQFeed: $50/month, 7 days free trial, 8 days tick data, API costs $300
NYSE TAQ DVD's: $800/month of intraday data

Any comments and advice would be appreciated.

Best regards,
Jub

 

[jmreeve]

www.tickdata.com has TAQ data going back years for most US stocks.

www.tickplusdata.com has some NASDAQ TAQ data.

 

[jubdk]

I looked at Tickdata but considered it to be too expensive.

I would like a year's worth of data for maybe up to 1000 stocks, which would cost me around $10K from Tickdata, about the same as buying a 12 disk set of NYSE TAQ DVD's which (among others) contain all NYSE, Amex, Nasdaq stocks.

 

[jmreeve]

TAQ data on 1000 stocks is a lot of data.
About 5 billion ticks for a years worth.

Have you considered how you will store/process all that data?

 

[jubdk]

Yes I have considered what to do with the data. This is really the interesting part which I cannot wait to finish implementing (but I really do need the data).

Btw.: Peeked at tickplus. Looks like a good alternative, except that the time period for the US Stocks that they do have is not that great yet.

 

[jmreeve]

kx systems do a TAQ loader for their database but all of the software for handling this type
of data is aimed at financial institutions and so comes with a big price tag.

Are you looking at program trading by any chance?

 

[jubdk]

I just found the answer to how many days worth of time and sales data are available: Realtick has 7 days worth of historical T & S. ( see http://www.realtick.com/v2_getpage.asp?subnav=true&page=supp_help_ques&qid=QA1617&word=time+and+sale )

Would still love to hear about experiences with Realtick, IQFeed or eSignals SDK's / API's or good alternatives, especially regarding time & sales data / full level 1.

Does Quote offer a better backfill on intraday data? Anyone with experiences with using their SDK (QDP)?

For now, I believe I'll start with IQFeed + SDK, and maybe TAQ at some later point.

Jub

 

[jubdk]

Yes, kx systems looks really sweet but the pricing keeps me away for now. At the moment I'm wrapping compressed data in an SQL database.

Good guess. Yep, I'm implementing a proprietary statistical model.

Jub

 

[jmreeve]

You can scratch esignal from your list.
The history download API is just not industrial enough to cope with what you would like to do.

I would be suprised if any of the others will have the capabillity to dowlnload large amounts of historical timesales data but would be interested to hear if you find anything.

 

[jubdk]

Seems like the QCharts service from Quote offers over 2 years of Time & Sales history.

Hmm... People don't seem to happy with their feeds though, but I don't need realtime for now so it could be okay. Might be worth a try. It's $95/month for the feed. Their SDK (QDP) is $175/month + onetime fee $300 -- or maybe use QCollector instead of the SDK.

Jub

 

[jubdk]

Thanks for the info on the eSignal API. I've heard similar stories so I'll probably stay away from that for now unless they make significant progress ( http://www.elitetrader.com/vb/showthread.php?threadid=37564 ). I also downloaded eSignal's documentation, and I must say it looks less robust that e.g. TAL/Realtick's.

IQFeed sounds interesting as well for the price, but it's not possible to get your hands on the API documentation without coughing up the fee for using the API. However, they do have an accessible online forum which indicates that the API could be interesting -- seem's like there are some issues (missing seconds in the time field for example) but they are working actively to fix these (which you can't say for QCharts it seems).

Jub

 

[theknifemac]

Thanks for the info on the eSignal API. I've heard similar stories so I'll probably stay away from that for now unless they make significant progress ( http://www.elitetrader.com/vb/showthread.php?threadid=37564 ). I also downloaded eSignal's documentation, and I must say it looks less robust that e.g. TAL/Realtick's.

IQFeed sounds interesting as well for the price, but it's not possible to get your hands on the API documentation without coughing up the fee for using the API. However, they do have an accessible online forum which indicates that the API could be interesting -- seem's like there are some issues (missing seconds in the time field for example) but they are working actively to fix these (which you can't say for QCharts it seems).

Jub

Hi Jub

What info did you manage to find on the TAL/Realtick, have never been able to find that much on their site about the API rather than the Realtick platform. Any info you have gratefully received, am currently using the MyTrack feed for one minute bars.

Cheers

Stew

 

[jubdk]

Hi Stew,

Take a look at http://toolkit.taltrade.com . Loads of info about the API, and you can even download it, too. You need to register, but you can do this without being a subscriber and have the password mailed to you right away.

Then there is the knowledge base at their help center http://www.realtick.com/v2_getpage.asp?subnav=true&page=supp_help . Here, I managed to find info about their 7 days limit on trade and sales data.

Hope this helps.

Best regards,
Thomas

 

[theknifemac]

Hi Stew,

Take a look at http://toolkit.taltrade.com . Loads of info about the API, and you can even download it, too. You need to register, but you can do this without being a subscriber and have the password mailed to you right away.

Then there is the knowledge base at their help center http://www.realtick.com/v2_getpage.asp?subnav=true&page=supp_help . Here, I managed to find info about their 7 days limit on trade and sales data.

Hope this helps.

Best regards,
Thomas

Thomas thanks for that, will have a look at it later.

Cheers

Stew

 

[Klonimous]

I'm looking for "basic" historical (open, close, high low, divvys) for australian stocks - anyone know a good source?

 

[rajivxxx]

hi
i just save “Dukascopy” Eur/Usd data in CVS file and after highly compressed
upload it on a FileFactory! ,,so if further any one need data from “Dukascopy” no need again &

again download it from dukascopy and then convert in to CVS file . get it from those links


1) Download all 4 files ,it makes 637 MB ,one file does not work need all 4 zip files, at

extraction time.

2) It creates 5.6 GB of all 4-5 years at extraction time

else u can download directly 5.6 GB data from “Dukascopy” but its takes too much time.

main link for 4 links.
FileFactory Folder view - duckscopy data
:clap::clap: