Is there a DTN product with the following tick-by-tick historical data (or something close):


symbol | timestamp | trade size | price | total volume


If so, how much is it per month for all stocks listed on Nasdaq?

If not, does anyone know where I could get a product like this?




Also, how much would a DTN satellite feed be that would give me the above data for Nasdaq? (Price with and without L2 data if you know)

Our DTN.IQ/IQFeed service provides the information you are looking for in its historical tick data (example for MSFT below):

Date,Time,Price,Tick Vol,Bid,Ask,Volume,B Size,A Size,Info,Mkt Center
02/12/07,09:43:00,28.9200,200,28.9200,28.9300,5847319,,,Trade,
02/12/07,09:43:00,28.9200,200,28.9200,28.9300,5847119,,,Trade,
02/12/07,09:43:00,28.9200,400,28.9200,28.9300,5846919,,,Trade,
02/12/07,09:43:00,28.9200,100,28.9200,28.9300,5846519,,,Trade,
02/12/07,09:43:00,28.9200,150,28.9200,28.9300,5846419,,,Trade,
02/12/07,09:43:00,28.9200,650,28.9200,28.9300,5846269,,,Trade,
02/12/07,09:43:00,28.9200,300,28.9200,28.9300,5845619,,,Trade,

However, you wouldn't be able to access ALL stocks. There is a symbol limit of 500 with a basic IQFeed subscription, but you can increase this to 1800 with a DTN.IQ subscription and 500 additional symbol upgrade. If you are pulling that much tick data though, you must make the requests after-hours. You are better off reading the data off the feed.

The only option for the full Nasdaq would be our NxCore product. Here, you would have access to the full market, with historical tick data. Pricing starts at $1000 per month for NxCore.

The price for DTN Satellite with stocks only would be $129 per month plus exchange fees. However, there is no historical data (just the streaming data) nor does it carry Level II data. If you were going to write your own software to the satellite feed, you would need the SDK which is $400.

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Jay Froscheiser
DTN - Trading Markets

Do you need the $400 SDK to code your own apps for the IQFeed or DTN.IQ?

I couldn't find pricing info/details for the NxCore product anywhere... is there a link to current pricing online?


For the satellite... are you sure it isn't possible to carry L2 data on any of your satellite feeds? I could have sworn someone (I thought it was DTN or a DTN reseller) gave me a quote for a satellite-feed nasdaq feed including L2 for around $500/mo or something?



I don't suppose you (or anyone else reading) know about any example hardware requirements to be able to pull and store tick-by-tick data for all nasdaq stocks? (~3300 symbols correct?)




Thanks

The API for IQFeed/DTN.IQ is $300 per year. Information on the IQFeed API is available at www.iqfeed.net/dev.

We don't have a published price list for NxCore since a large portion of the fees can come from exchange fees depending upon how it is being used. It is best to email prosales@dtn.com with details about how you intend to use NxCore and we can get you a quote on the fees. As I mentioned in the previous post, pricing for NxCore starts at $1000 per month. There is no additional fee for the API for NxCore.

I am sure we don't carry Nasdaq Level II on satellite. We used to, but due to bandwidth constraints, we removed it along with equity options.

As for hardware, it is completely dependent upon your programming skills. We have customers who are processing, storing and analyzing the entire feed on a single mid-range PC. Others have trouble processing 1000 symbols on the highest end dual or quad processor machines. In any case, you won't have much luck storing tick by tick data in any standard relational database. Most people are using custom storage algorithms or in-memory databases.

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Jay Froscheiser
DTN - Trading Markets