Real-time Tick Data API for the Italian Stock Market

External question — Quantitative Finance Stack Exchange Author: simonemainardi Original post: https://quant.stackexchange.com/questions/25374 License: CC BY-SA 3.0 — https://creativecommons.org/licenses/by-sa/3.0/ Adaptation: HTML converted to plain text; contact email addresses removed. I am looking for a service that is able to provide real-time tick data (time&sales) for the contracts traded in the Italian Stock Market (Borsa Italiana). The service should provide data through an API that I can integrate in my own code. This is what I have tried so far: eSignal Real-time tick data is shown in the software but is not available through the eSignal Formula Script (EFS). EFS only deals with bars. I also used eSignal QLink, that it is claimed to be an enhanced DDE add-on service that makes it quick and simple to download real-time, streaming data into your Excel worksheets ( http://www.esignal.com/development-tools/esignal_sdk_tools/qlink.aspx ). I combined QLink with my own VBA script to intercept excel cell changes and dump ticks to a database. I found that many close-in-time ticks correctly shown in the eSignal time&sales window are not detected by QLink. Interactive Brokers In order to evaluate the goodness of the data received via reqTopMktData() ( https://www.interactivebrokers.com/en/software/api/apiguide/c/reqmktdata.htm ) I wrote a simple JAVA class that fires a reqTopMktData() and handles generated events via callbacks tickPrice() and tickSize() . Callbacks simply write received data to file. I let the class run for a day and then checked harvested ticks against the TWS time & sales window. Surprisingly, I found that many ticks that are properly shown in the time & sales window are missing from the harvested data. It looks like not all the ticks are forwarded to tickPrice() and tickSize() . So basically I am still unable to find a good, reliable, service provider of real-time tick by tick data for the Italian stock market. PS: I can provide VBA and JAVA classes upon request.

External answer — Quantitative Finance Stack Exchange Author: Ignorant Original post: https://quant.stackexchange.com/a/25395 License: CC BY-SA 3.0 — https://creativecommons.org/licenses/by-sa/3.0/ Adaptation: HTML converted to plain text; contact email addresses removed. I am not an expert on the subject, actually I'm looking around for more knowledge. If you can open a trading account with Fineco , they provide the so-called PowerCell ( https://help.fineco.it/it/600/2421.html ), a data-exchange platform that gives you the ability to grab real-time data directly from their trading platform (PowerDesk). It's not a free service, though. To be honest I've never tried it, I only played with PowerDesk some time ago to get my feet wet.

External answer — Quantitative Finance Stack Exchange Author: Alex Bădoi Original post: https://quant.stackexchange.com/a/25396 License: CC BY-SA 3.0 — https://creativecommons.org/licenses/by-sa/3.0/ Adaptation: HTML converted to plain text; contact email addresses removed. IB will provide you with tick data only if you have an account with them. min deposit 3k if age <25 otherwise 5k so i'm guessing that's not an option if you only plan to do a study. Other options are the free quant tick downloader but which is very good but you only have major currencies and indexes -> here is link It also depends on what kind of contracts you are looking for. If you just want currencies then FXCM has API with free currency tick data and a free demo account which you can find here Alternatively you can try find an Italian broker which integrates with MetaTrader4 and can provide historical data. Some joke brokers have min deposits as low as 10-100$ + probably some monthly data fee. MT4 will provide API integration for u. - this is only forex btw. For other types of securities i'd say your best bet is an italian broker with low fees and deposit requirements. For easy strategy testing and API integration in fast C++ check Zorro also check this post here that's as good as it gets for free. good luck

External answer — Quantitative Finance Stack Exchange Author: Atul Agarawal Original post: https://quant.stackexchange.com/a/25410 License: CC BY-SA 3.0 — https://creativecommons.org/licenses/by-sa/3.0/ Adaptation: HTML converted to plain text; contact email addresses removed. You can use Bloomberg API as well.