Information wants to be free, but market data costs money.
Tick data is the intra-day data stream that records each market transaction (buy or sell) in the market. At a minimum a tick data stream is composed of the the transaction price and a time stamp. The current bid/ask may also be included in some tick data streams.
Many of the cheaper tick data vendors only support Windows (.NET) APIs. This is a list of the vendors that I've found who support an API that is compatible with Java, the language I use to develop trading software.
QuantFEEDHANDLER is QuantHouse feedhandler software allowing sub-millisecond market data decoding time. It is ideally designed for clients who want to leverage their own Direct Market Access and infrastructures.
QuantFEED: QuantHouse unique end-to-end ultra low latency market data feed. Fully managed solution with a global Service Level Agreement including hardware, software and telecommunication components. It is ideally designed for clients who want to leverage the QuantHouse ultra low latency solution.
QuantAPI is available in C++, C #, Java and FIX Protocol. QuantHouse APIs gives you an unified access to all available market data sources. All with high-level, Object-Oriented, well-designed interfaces.
Digital Data Feed offers a product that is similar to Quant House. They have a Java API. Quant House is about $5,800/month. Digital Data feed seems to be about half that cost.
OpenTick seems to be out of business since they web site is no more. I don't know why they went out of business, but I think that they may have run afoul of the market data rules regarding data redistribution. They were markedly cheaper than their competitors and this might have been because they were not paying the full price to the markets for redistribution. I previously wrote:
Unfortunately the OpenTick Corporation is not accepting new customers as they upgrade their network infrastructure. This interruption in accepting new customers has been going on for at least a few months, since I've been checking their site. This is really too bad, since at least on paper OpenTick is a very attractive platform. They provide an open source software interface, including Java, to their tick stream. They provide direct access to the exchange streams and the prices seem pretty reasonable: the NASDAQ level II feed is $50/month and the NYSE feed is $127.25/month. They also provide free historical data.
Like its subsidiary company, OpenTick, XASAX Corporation seems to be out of business as well. I previously wrote:
This is the parent company of OpenTick. They look pretty interesting. They not only provide data but order execution as well.
Essex Radez provides low latency data feeds. They also provide order routing services. The Essex Radez data feed product is called V-Tick. Their API is currently only C++, although they claim that Java is "on their development road map". They used the ACE library to implement the data feed API. There may be a Java version of this API around so if they provide source code it might be possible to rewrite the API in Java.
ACTIV Financial Systems explicitly supports Linux. Unfortunately, API is only in C++. But given the problems of finding a data provider that even supports Linux, this may be a reasonable alternative. They do have an interface into Kx, which is good for the long term.
Skyler is yet another feed handler vendor (we can throw Wombat into this category was well). It's not clear at all that they provide more than the feed handler. Skyler has what they call Tick Analytics. According to the web page this is a high performance feed handler, than include a Java interface.
I would like to find a data provider that at a very minimum can support a trading model that is hosted on Linux. Ideally I'd like to have a provider that supports a Java connection, either through an API or through a TCP/IP socket connection. Also, the company should be reliable and stable enough to provide a quality data feed and any necessary support. The providers in this section are those that I investigated and didn't fulfill these criteria.
DTNiq is seems to do a big business with small traders. To connect with their system a piece of Windows code must be run. This code can then be connected to via Windows COM or a TCP socket. They don't support any platform except windows. On Windows they can support Java since they provide the TCP socket interface.
Their data feed is Windows based.
This company turns out to be a penny stock company. "Tiffany" in sales didn't answer the phone and there is no telephone level support (only support via email).
Olsen Data AG seems to be a data vendor arm of Olsen which does market research and at one time ran a fund. The first login account is € 50, the second account is € 30. Each account pays for data as well. The second account pays for data at a rate of 50% of the first account. Connections are via ssh (e.g., encrypted TCP/IP).
As it turns out, Olsen only sells Foreign Exchange (FX) data, both historical and real time.
Tick Data provides historical tick data for a variety of instruments. They are a division of Nexa Technologies which provides market trading software. In response to an email query about data cost and size I got the following:
- The cost for tick data (quotes & trades) on all available US equities for
six (6) months would be a one-time fee of $7200 USD. If you prefer to
receive trades only (no quotes), the cost would be a one-time fee of $4320
USD. There will be additional shipping fees and a refundable hard drive fee
of $250 (return the drive, and we'll refund you 100% of the $250).
- Attached is a white paper on storage requirements for the various data
sets Tick Data offers. I won't know exactly until we actually extract the
data for your order, but I would estimate that quotes & trades would be ~240
GB and trades only would be ~19 GB. Again, we won't know for sure until you
actually place the order and we extract the data.
CQG Data Factory allows on-line orders of "time and sales" tick data for selected stocks. From a price point of view, they provide an attractive alternative to Tick Data (above) for a small basket of stocks. Data if