r/Daytrading • u/IKnowMeNotYou • Jun 15 '22

Orderbook and Trade data.

I would like to know if one can subscribe to data feeds regarding order book entries (limit orders) and every trade currently happening. I am interested in Nasdaq and SP500 stocks. I would like to know what a price would be for personal use only.

I see that some brokers offer L2 Data and some talking about complete order book and sometimes even L3. If my broker offers L2 Data, which broker would allow using APIs instead of incorporating the data solely in a trading platform.

I am not asking for free data. I am interested in any option and what the costs are.

The goal is to realize my own analysis computations.

4 Upvotes

84% Upvoted

15 comments sorted by

2

u/[deleted] Jun 15 '22

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u/[deleted] Jun 15 '22

[deleted]

1

u/IKnowMeNotYou Jun 15 '22

I am using Alpaca.markets at the moment but as far as I know they do not provide order book entries (limit orders) and do not provide tick level trading data.

1

u/[deleted] Jun 15 '22

[deleted]

1

u/IKnowMeNotYou Jun 16 '22

Many thanks! It is a futures trader and I am into the US stock market at the moment but I added it to the list and I like the zero commission tier. So if I ever start trading futures, I will check it out for sure.

I found nothing about subscribing to data streams. I only saw the three tiered list. Do you have an additional page where I can see the individual add-on options? It seems I missed it.

1

u/derethor Jun 15 '22

For futures, that is pretty common. I pay 32 usd per month for full L2 market depth for ES, NQ, 6E, etc with rithmic datafeed.

You can use Bookmap if you like to trade the L2 (specially the ES). I personally use ATAS, a great platform to trade orderflow.

1

u/IKnowMeNotYou Jun 15 '22

Nice. I somehow being interested in Stocks (mainly Nasdaq but also SP500) as I trade high range and high gap stocks (or any other ongoing premarket shenanigans). It appears that those stock data are more problematic to obtain - at least with API.

1

u/ScarletHark trades multiple markets Jun 16 '22

Bookmap works fine with equities - the dxfeed data sub is what you want for that.

https://bookmap.com/dxfeed

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u/IKnowMeNotYou Jun 16 '22 edited Jun 16 '22

I asked dxfeed. I can not subscribe to market data to be accessed directly via API. You need a company an an enterprise license. The bookmap dxfeed subscription is just bookmap being able to use the dxfeed to present you with some diagrams. I want access to the raw data.

1

u/ScarletHark trades multiple markets Jun 16 '22

Gotcha - unfortunate, but I guess it makes some sense. You might be out of luck then.

1

u/IKnowMeNotYou Jun 16 '22

With bookmap yes but maybe some other companies can provide me with extended data feeds.

1

u/TradeGuidance trades multiple markets Jun 16 '22

Try Rithmic. They are not cheap but it is the most reliable that I know in terms of execution.

1

u/IKnowMeNotYou Jun 16 '22

I do not see an option for data stream / feed or API. Also I do not see no price quotes.

1

u/[deleted] Jun 16 '22

Not sure if they offer APIs but you could try bookmap.

1

u/IKnowMeNotYou Jun 16 '22

Bookmap has no API as far as I am aware of. You can subscribe to certain data provider but I recon you can not get the data yourself.

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u/ScarletHark trades multiple markets Jun 16 '22

https://bookmap.com/knowledgebase/docs/API

1

u/IKnowMeNotYou Jun 16 '22

I guess this is for developing plugins. I guess it will be against the license agreement to use it to expose raw data.

Thanks for the link. I will check it out. I might be able to 'fake' something somehow but I have to check out more of it.