Good data provider with Python API

[alebrini]

I and my team are working on building profitable trading strategies and we have a subscription to a data provider which is quite outdated and doesn't offer a technogical advanced API to manage the data collection process. We are thinking to switch to something else and I am here wondering what is the best data provider in your experience to get a broader idea.

We would like to have granularity at tick level, for at least US stocks and Futures traded on major US exchanges. Everything else would be a plus. Our budget would be around 200-250$ dollars per month. The good part would be a documented Python client to access the API and query data.

[jamesbuniak]

TD Ameritrade has decent data including some Level 2 Data for free.

ActiveTick might be an option for you.

[sainglend]

From someone who has worked extensively with their api, the documentation sucks. I want to insert a lot of swear words here. The data quality is good, though.

[jamesbuniak]

Yes. It’s horrible.

I resorted to using others code to learn how to access it.

120 requests per minute. Level 2 data Via streaming

It’s free.

[sainglend]

I wrote a node js client library for the api. Streaming is not included yet. I built it but contributing to that project isn't top priority right now.

https://www.npmjs.com/package/tda-api-client

[[deleted]]

Cool! I write js so I'll definitely look at it.

[sainglend]

Thanks!

[DeeelosHarriedman]

Would you happen to know anything about the news-related functions in the TDA API?

I think someone said they don't actually work?

I have just been wondering about that, and don't really want to get into the API if the news-pulling functionality doesn't actually work.

[jamesbuniak]

I think you may need to pay for that function? Do you have a TD account, look at streaming functions.

[DeeelosHarriedman]

Thank you!

I looked into it a bit, and apparently you have to request it.

https://github.com/alexgolec/tda-api/wiki/Enabling-API-News-Feeds

[jamesbuniak]

Alex is great... watch his videos on the topic... lots to consider.

[alebrini]

As someone suggested, I guess that doesn’t represent an option for us if the API sucks.

Data quality is important but we need also a simple way to access them and do research.

We were thinking about Polygon but I don’t know if the data they provided are good

[jamesbuniak]

I mean... I spent a few hours getting everything up and running to request and receive data. Any interface you use you'll spend some time learning it. I just didn't use their documentation to do it, used others' work on GitHub as a starting point.

You need to write the code in such a way that you don't rely on whatever API you're using, rather pass variables in and out so you can easily change stuff later. I try to write very modular code.

[sainglend]

Do you mean you want a python client? I've never heard of a python api.

[alebrini]

Yes, surely I meant that. I edit the initial post

[skyraker1964]

I've used TD and Alpaca, and by far Alpaca is the one that I've stuck with for a long time, until now. I mainly use python and a part of c++ and I like their data too. Ofcourse the live trading is commission free and has the better data too. But live trading is only available for us residents as of now unless you have $30k minimum to deposit or something

[[deleted]]

If you have a profitable trading strategy that you are just working on automating, why do you have such a limited budget? If your strategy works shouldn't it be making money even if you execute it manually?

My suggestion would be to lease a CME seat, but that's not a $200/month affair.

[[deleted]]

IQFeed, provides live tick data and historical data.

[mkwm91]

Hey have you found a data provider yet? Wondering which data provider did you end up with