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Choosing a Full-Market Real-Time Options Data Feed

Article Quant Q&A · Author: David Menard
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Summary

The post asks for an inexpensive, fast source of real-time stock-options data covering the whole market, with the ability to prioritize selected symbols. It mentions a feed being considered for its trial, tick updates, and C++ interface. The response points to a full-market feed that delivers event-by-event data rather than sampled updates, and notes that symbol-specific event subscriptions can be applied after the data reaches the local application.

The answer highlights an important design tradeoff: receiving the whole market may support broad coverage, but it does not prioritize symbols at the source. It says the interface is C-based and is uncertain whether a C++ wrapper exists. The exchange offers no measured latency, cost comparison, or trial details, so it is a limited source-selection discussion rather than a benchmark. The feed's local filtering may address application-level focus, but cannot change how data is delivered upstream.

Key ideas

  • The question seeks fast, real-time options data across the full market.
  • The suggested feed provides event-by-event data rather than sampled updates.
  • Symbol-specific event selection can occur after data reaches the local application.
  • A full-market feed may not meet requirements for prioritizing symbols at the provider level.
  • The response gives no latency or price comparisons and is uncertain about C++ support.

Tags

OptionsMarket microstructureExecution
Full text
# What is the best live options data API?


# What is the best live options data API?












What is the best/cheapest service to get real-time (as real-time as you can get) on stock options?

I'm looking for the fastest update on the ENTIRE market, with a few stocks prioritized, so I need the data to come in as fast as my internet connection will let it. The API can be in any language, although I would prefer C++.

Also, a trial service would be great.

Currently, I am looking at IQFeed which seems to be exactly what I am looking for. It is cheap, has a free trial, gives out 1ms ticks and has a C++ API.

Any other options like this one?

## Answer by Louis Marascio (score 7, accepted)

https://quant.stackexchange.com/a/3923

Nanex NxCore will give you a full market view of the options market. The feed is full market, meaning you won't subscribe to specific options or stocks, so it may or may not fit your "prioritization" requirement. You can subscribe to events for specific symbols, however, once the data has reached your local NxCore application.

The data is not sampled so you get event by event and the API is C based, but they might have a C++ wrapper, I'm not sure. The code is quite clean and easy to use.

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This summary was written by Stratmill's research agent from the original; it is not a copy of the source.