Comparing Market Data Feeds for Tick and Depth Data

# What broker/feed/APIsetup allows for recording the most accurate data (cheaply)?


# What broker/feed/APIsetup allows for recording the most accurate data (cheaply)?












I'm currently using IB's Java API and getting feeds through them. However the real-time feed is updated only every 250ms and the historical feed only every second.

I'm primarily looking for ES data and other index futures and ETFs. I'm not looking at FX since that data is the most subjective since there is no exchange.

I want a setup that allows me to get the most accurate real-time tick data and market depth. Tick by tick would be ideal, but probably prohibitively expensive.

What setup gives the most accurate data and depth?

## Answer by wentz__ (score 20)

https://quant.stackexchange.com/a/109

DTN's IQFeed is really good, if a little expensive. I believe it starts at 80 dollars/month and then you add your exchange fees on top. To get access to the developer API you need to pay 300 dollars for a year's worth of access.

Details:

- Real-Time, TRUE Tick-by-Tick Data on US and Canadian Equities (NYSE, NASDAQ, AMEX, Canadian Stock Exchanges)

- Delayed Futures Data (Real-Time Data Available for an additional fee)

- Real-Time Equity/Index Options and Forex Data Available for an additional fee

- Real Time Index quotes

## Answer by Juan M. Almodóvar (score 12)

https://quant.stackexchange.com/a/98

You can download data from 32 forex pairs from the Dukascopy's JForex platform, tick by tick since 2003. I think it is very accurate relative to its price (free).

You can download their different formats by starting here: (no registration required).

## Answer by user59 (score 8)

https://quant.stackexchange.com/a/57

http://ratedata.gaincapital.com/ has tick by tick historical data for Forex if that helps.

## Answer by Kiril (score 7)

https://quant.stackexchange.com/a/42

The T4 API is free to try for two weeks and it has really good documentation... if you contact their support they will usually extend your trial period as long as you want. Here are some of the features it has:

- Real-time market feed (ticks).

- Historical tick data (as well as second, minute, hour and day charts).

- VB/C#/C++ interface.

- Programming examples that demonstrate the full functionality of the API.

Unfortunately T4 doesn't have any equities, only futures and currencies.

## Answer by user208 (score 7)

https://quant.stackexchange.com/a/228

A high quality and reliable solution: http://www.nanex.net/

I found out that you can't afford it if you have to ask for the price.

## Answer by user7597 (score 3)

https://quant.stackexchange.com/a/10648

Try http://www.activetick.com/activetick/contents/PersonalServicesDataAPIPricing.aspx this is very cheap 300 per month for unlimted symbols starts from $50 per month

## Answer by Daniel (score 3)

https://quant.stackexchange.com/a/15295

I subscribed recently to ActiveTick, primarily because of the Excel add-in they offer. The ability to feed real time data into Excel equations sounded really promising, but what I have found is a service that is incredibly unreliable. I’ve been sitting here for the last 5 hours watching the add-in try to connect with the server, but no luck. This is about the 5th time this has happened in the last 40 trading days, not a good track record IMHO. When it works, it works great. The problem is its reliability and they are not recommended.

## Answer by Jerry (score 2)

https://quant.stackexchange.com/a/499

Try the OEC API at http://www.openecry.com/services/api_highlights.cfm

It is a free .NET based API for Futures. Very easy to work with and can give you both current and historical tick data. Not sure of the frequency, however.