Quote: 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)
--- Original message by Atari on Feb 12, 2007 08:13 AM
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
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.
DTN - Trading Markets