A raw-IP/HTTP source for real-time option quotes?

February 10, 2006 1:57 PM

I'm looking for a free or paid service that will allow me to connect to a TCP/IP port and request real-time option and stock quotes.

If this exists it is likely in the form of a web-page, and in fact my prototype code is HTML-scraping the 15 minute delayed data off of finance.yahoo.com .

I'm aware of several sites that offer real-time stock quotes over HTTP, but none that offer option quotes that way.

Background: Right now I use custom code written for Tradestation to do this, but I'd really like to get rid of my Windows box and this is the only thing stopping me. Ideally the final code will run on Unix.

It really would be easiest to get the raw data myself, but I'm open to suggestions. One thing I've considered is reverse engineering thinkorswim's Java code and inserting my own indicators -- if anyone has gone down that route, I'd be interested in hearing about it.

posted by tkolar to technology (11 comments total)

Realtime data is going to be molto-molto expensivo. I worked in an investment bank, processing market data, and the difference between the 15-minute delay feed, and the realtime feed was huge. That means that any service that provides it is going to want a ton of cash, and will probably impose strict limits as to how it's used.

We (as in the investment bank) got our feeds for Personal Wealth Management from Reuters. Part of the service agreement was that we had to prominently display their logo on all pages that contained their data, and we also had to display approved text that explicitly stated that the data was on a 15-minute delay. There was also a prohibition on caching their data.

If you're scraping market quotes from Yahoo, and you get noticed, you're in for a world of trouble. Basically, you're stealing. Yahoo will screw you, and anybody that makes use of that data could hold you legally liable for their portfolio tanking. To give you an idea as to how seriously the liability is taken, the budget for the European EULA that users had to agree to before using the WAP service that we rolled out, was $100,000.

Not trying to be a scare-monger, just giving you a heads-up.
posted by mad judge pickles at 2:11 PM on February 10, 2006 [1 favorite]

Hmm, interesting.

Do you really think it's stealing to scrape market quotes from Yahoo for my own use? This doesn't seem like a moral problem for me given that the choices are:

a) Look at the data and do the math in my head
b) Screen-scrape the data and have the computer do the math for me.

I'm certainly not turning around and selling the data to someone else.
posted by tkolar at 2:17 PM on February 10, 2006

Well, if it's just for your own personal use, I can't see that there'd be much of a problem. I thought that you meant that you were providing your own service with the Yahoo data.

The only thing wrong with your personal use scraper is the number of hits to Yahoo's site. A lot of services price at number of quotes served. If you're eyeballing the Yahoo page and doing the math in your head, you're probably going to be a lot less of a drain on the Yahoo resource. As soon as you automate the process, the bill that Yahoo picks up becomes more significant, both in terms of bandwidth (which in this case, admittedly, would be negligible) and in terms of cost of raw data.

Take a look at the cost of Yahoo's realtime streaming service. It's $10.95 a month, at its cheapest. That means that it has real value for them. If you're going to be using their system anything other than casually, they want you to pay for it.

Also, notice their disclaimer at the bottom of the finance page. It's a doozy.
posted by mad judge pickles at 2:31 PM on February 10, 2006

If you need real time data, just open an account with interactive brokers. They have every tradable product under the sun, and you can pick and choose which data fees you want. If you trade, your commissions are subtracted from the data access feeds. If you don't trade, you will have to spend a little every month, in addition to keeping enough cash in your account to keep your acocunt open.

The best thing about IB is their cross platform API. You can download the API and code against the demo quote feed, all for free. Of course, the demo feed is delayed, but you can develop your own code for free against the demo feed, until you are ready to fund an account.

Full disclosure: I am a customer, and their service blows away just about any other retail broker.
posted by b1tr0t at 2:44 PM on February 10, 2006 [1 favorite]

If you trade, your commissions are subtracted from the data access fees
posted by b1tr0t at 2:47 PM on February 10, 2006

At my last place of employment, this (fetching realtime quote data over TCP/IP) was done with extranet arrangement with ILX. It's expensive -- not only the service, but the infrastructure to use it.

A bit of googling around reveals The Kansas City Board of Trade appears to have a list of realtime quote vendors, including contact information for ILX, but the list as a whole is looking a bit out of date. You might want to call up a few of those vendors, but bear in mind that the price of access to raw quote data in real time is mindbogglingly costly. You should have tens of thousands of dollars on hand to spend on the service before approaching these folks.
posted by majick at 2:48 PM on February 10, 2006

Thanks.

I have no objection to paying for the access, and in fact right now I do exactly that for the use of Tradestation's feed.

Unfortunately Yahoo's real-time service requires a custom client instead of a web-browser, much like all of the other real-time services I've found. I wonder that's part of the deal with whoever they're getting their data from -- that they'll make it difficult to get at the raw data.

And yeah, the disclaimers on these services are outrageous. Tradestation not only warns about the underlying data, but also disavows any instability problems with their own software -- which has a new bug-fix release out about once a month.
posted by tkolar at 2:49 PM on February 10, 2006

whups, I really should preview. That last post was addressed to mad judge pickles.
posted by tkolar at 2:50 PM on February 10, 2006

b1tr0t:

Thanks, that's what I've been looking for. I'm reading the API manual now, but it appears to provide about the same level of access as Tradestation to the data.
posted by tkolar at 3:01 PM on February 10, 2006

You may want to browse around n00btrader and the IB Forums as well.
posted by b1tr0t at 3:08 PM on February 10, 2006

Also, the API docs are very sparse. You will definitely want to take a close look at the example code and play extensively with the demo code. Once you have a real account, make sure to setup a paper trading account (live data, but you aren't trading real money), and test against that, before you put any real money on the line. There is also a free API webinar coming up.
posted by b1tr0t at 3:12 PM on February 10, 2006