I use Tradestation, Ameritrade, and MBTrading, but I can't seem to find the data feed that I need to do what I want. In all cases, I get a time & sales window, but I would like to be able to filter that data stream and extract the time & sales data for only particular exchanges or market makers. How can that be done? It must be possible, and it would be simple if I could get a hook into the data feed for the time and sales, but I can't figure out a way to do that.

yeti 

I use Tradestation, Ameritrade, and MBTrading, but I can't seem to find the data feed that I need to do what I want. In all cases, I get a time & sales window, but I would like to be able to filter that data stream and extract the time & sales data for only particular exchanges or market makers. How can that be done? It must be possible, and it would be simple if I could get a hook into the data feed for the time and sales, but I can't figure out a way to do that.

Switch to NinjaTrader and there are several user provided add-ons for Time and Sales in our download section.

Mike

Hi,
At this point, I really hate to change platforms since I have so much time invested in them, and it gets complicated in other ways. Plus, I am not sure that an application that someone else wrote would really fit my particular needs.
Does Ninja Trader have its own data feed? If so, is it just a continuous csv stream, or something like that, that can be manipulated in C, Python, VB, Excel, or whatever?
Thanks,
Ed

Hey Yeti, look into DTN IQFeed. I use the Java TCP raw socket interface, and I'm sure they have a Windows COM object (C++, possibly python with extensions) and DDE so you can get the stream in Excel. It is trivial to get this feed dumping into a format of your choice for more detailed crunching. I'm a Sierra user, so someone else would need to chime in to whether this works with Ninja, etc.

If I recall, you may downoad historical data from Ouanda

I used it few years ago. You select the pair, the scale and the historical starting / ending date.


Also, Multichart plateform use the same coding language as TradeStation. Advantage: you select your broker and data provider. For myself. I'm having IB as my broker and data. Sure the data delivery is not oprimal, but I don't have to pay more if I don't need more

Martin

You could try Quotail: quotail.co/dataProduct.html

I came across them from a twitter post. I've been using them for a couple of months now.

I have my own algorithms that I run across the version with the greeks and IV attached. They were much cheaper than the other prices I got from other vendors for this type of data.

They also have the raw trade data available. I haven't tried that though.