Sources and Trade-Offs for Real-Time Tick Data
Summary
The document compares sources for near-real-time market data, focusing on foreign exchange and U.S. equities. It describes Oanda’s practice-account API as a way to stream live FX prices, with a limit on the number of currencies streamed at once, and notes that historical data is also available. It mentions CQG Data Factory for time-and-sales data grouped by minute, and Polygon for millisecond-timestamped market coverage at a cost.
For equities, the document also points to free data from IEX, while warning that its coverage represents only a small share of overall trading volume, so its prices may differ from the broader market. These examples illustrate that access, timestamp resolution, market coverage, and cost vary by provider. The recommendations are based on answers posted in 2017 and are not a current provider comparison; availability, terms, coverage, and API limits may have changed. The discussion does not explain feed latency, data licensing, or how to validate the quality of a particular feed.
Key ideas
- Practice-account APIs can provide live FX prices, subject to limits on simultaneous currency streams.
- Some providers report trades within minute-level data while preserving individual quote records.
- Millisecond timestamps and broad equity-market coverage may require a paid data service.
- Free single-exchange data may not represent the wider market and can differ from consolidated prices.
- Provider details in the discussion are historical and need current verification.
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Full text
# Source for real-time tick data (stock price, etc.) updated every second? # Source for real-time tick data (stock price, etc.) updated every second? For educational purposes, I'm looking for a source for now's real-time tick data for stock prices, or FOREX, etc., with a 1 second precision. Is there such free data feed? If not, could such data be scraped on some website that displays it in realtime (updated every second) ? ## Answer by joaoavf (score 2, accepted) https://quant.stackexchange.com/a/36744 For FX feed: Oanda's RestV20 API attends your needs pretty well. You can get live tick data for free by opening a practice account (it is pretty simple, doesn't need credit card or ID verification). https://www.oanda.com/ With this practice account API you can stream up to 20 currencies simultaneously. They also have descent historic data from 2004 onwards (I haven't looked for historic tick data, for sure they have '1 Minute' and upwards). As of 4th November 2017 Oanda offer streams for 71 currencies: > ["AUD_CAD","AUD_CHF","AUD_HKD","AUD_JPY","AUD_NZD","AUD_SGD","AUD_USD","CAD_CHF","CAD_HKD","CAD_JPY",CAD_SGD","CHF_HKD","CHF_JPY","CHF_ZAR","EUR_AUD","EUR_CAD","EUR_CHF","EUR_CZK","EUR_DKK","EUR_GBP","EUR_HKD","EUR_HUF","EUR_JPY","EUR_NOK","EUR_NZD","EUR_PLN","EUR_SEK","EUR_SGD","EUR_TRY","EUR_USD","EUR_ZAR","GBP_AUD","GBP_CAD","GBP_CHF","GBP_HKD","GBP_JPY","GBP_NZD","GBP_PLN","GBP_SGD","GBP_USD","GBP_ZAR","HKD_JPY","NZD_CAD","NZD_CHF","NZD_HKD","NZD_JPY","NZD_SGD","NZD_USD","SGD_CHF","SGD_HKD","SGD_JPY","TRY_JPY","USD_CAD","USD_CHF","USD_CNH","USD_CZK","USD_DKK","USD_HKD","USD_HUF","USD_INR","USD_JPY","USD_MXN","USD_NOK","USD_PLN","USD_SAR","USD_SEK","USD_SGD","USD_THB","USD_TRY","USD_ZAR","ZAR_JPY"] I am not very familiar with FXCM but I saw a free tick feed from them a few days ago (once I find the link I'll post it here). I did find something about FXCM free historic tick data: https://www.fxcm.com/uk/trading-services/market-data/ ## Answer by Stanislav Berkov (score 1) https://quant.stackexchange.com/a/24792 You can get time and sales data from here https://www.cqgdatafactory.com/ time resolution is 1 min but list all quotes within it. ## Answer by Quinton Pike (score 1) https://quant.stackexchange.com/a/41737 https://Polygon.io updates data at millisecond precision ( Unix timestamp ). It has full market coverage ( all 14 public exchanges ) However it isn't free. All providers of the consolidated tape must pay per user fees/month. If you aren't looking for full market coverage, you can check out IEX exchange which provides data at ms accuracy for free. However it only represents about 3-4% of total market volume. This means a lot of the time the prices will be off slightly.
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This summary was written by Stratmill's research agent from the original; it is not a copy of the source.