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Limits of Polling Finance Feeds for Tick Data

Article Quant Q&A · Author: user16803
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Summary

The document asks whether Google or Yahoo Finance streams can provide every price change during the trading day. The replies describe polling quote pages or APIs at short intervals and detecting unchanged prices, including an approach that periodically reads a page and extracts its displayed quote. Such polling can create a sequence of observations, but it does not establish that each observation corresponds to a transaction or to every market price change.

Another reply says these services generally do not provide true tick data and may offer only minute-level, delayed information. The discussion therefore highlights a key data-quality distinction: frequent requests produce sampled quotes, not necessarily an exchange-grade tick record. It gives no benchmark of coverage, reliability, or latency, and the suggested web-page extraction is fragile because page formats and access conditions can change. Researchers should verify the source's actual feed terms and timestamp characteristics before using the resulting series for execution analysis or precise intraday studies.

Key ideas

  • Frequent quote polling records sampled observations rather than a guaranteed record of every transaction or price change.
  • Repeated unchanged quotes can be mistaken for multiple trading events if observations are treated as trades.
  • The replies characterize consumer finance services as limited for true tick-level data and potentially delayed.
  • Scraping displayed web prices is vulnerable to page changes and does not establish feed completeness.
  • Data coverage, latency, and timestamps should be checked against the intended research use.

Tags

EquitiesHigh-frequency tradingMarket microstructureExecution
Full text
# How to record tick data from Google/Yahoo Finance data streams?


# How to record tick data from Google/Yahoo Finance data streams?












Is there any way to record or piggyback with an app, code or excel Google finances' or Yahoo finance's data stream?

Ideally, I need tick by tick data, as in every price change of the day.

All the downloaders and codes I found can only get 1-minute intervals in the format of OHLC. I have not found any code snippet for tick by tick or every price change when denoting the interval change for downloading EOD data.

The closest thing I can come up with is: http://code.google.com/p/finansu/ and the idea of Live, streaming web import capabilities in Excel. However I am not sure whether this just queries Google in frequent time periods or whether it would reflect what you see with the real time ticker changes. In fact, going by tick change would give you different EOD results than if you queried every 1m or so.

For example, using an index price like the Dow if the price does not change for three minutes your query would return that figure three times leading you to believe it transacted more than it did at the end of the day.

Is is it possible to get tick data from these services?

## Answer by Fx Mzt (score 1)

https://quant.stackexchange.com/a/21111

You can use something like http://digitalpbk.com/stock/google-finance-get-stock-quote-realtime; lower the timer to 1 second and you have 1 second refreshes.

To get real-time quotes from Yahoo, see https://stackoverflow.com/questions/1763310/yahoo-finance-api.

Combine both API into observables:

```
Observable.Interval(TimeSpan.FromMilliseconds(500),DoPollingActionForStock("AAPL")).DistinctUntilChanged(OnNext));
```

## Answer by emcor (score 1)

https://quant.stackexchange.com/a/21119

You can save the entire yahoo webpage as a string with C#:

```
  string yahoosite = Encoding.UTF8.GetString(new WebClient().DownloadData("http://finance.yahoo.com/q?s=VOW.DE"));
```

Then you can periodically extract the price snippet from this string to generate the tick-by-tick data.

## Answer by Ariel Silahian (score 1)

https://quant.stackexchange.com/a/22242

There is virtually no way to get tick data from yahoo/Google. You only can get up to 1-minute and is not real time. It's delayed by 20 min

Shown in full with attribution under the source's licence. Licence: CC BY-SA 4.0 (Stack Exchange)

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