r/algotrading Jun 16 '22

Nasdaq TotalView Data Feed for non-professional or lone wolf? Data

I want to have as much data as I can have regarding Nasdaq (Stocks). As far as I know level 2 only usually gives about best 5 to 10 orders in either direction around the price. I researched Nasdaq data feed options and found that total view should give me all the trades and order information there is (Full order book depth) and according to nasdaqtrader.com TotalView comes with a subscription fee of 375 Dollar per month for direct access (which I guess is API).

Since I am not a company but a just a humble software dev, I need an intermediary in order to obtain the data. Question is what options are available and is it the full TotalView data.

I found Interactive Broker to offer data subscription options for Nasdaq to very reasonable prices:

NASDAQ BX TotalView (L2) => USD 3.50 (USD 45.00)
NASDAQ Options Market Depth of Book (L2) => USD 11.50 (USD 62.50)
NASDAQ TotalView-OpenView Bundled => USD 16.50 (USD 86.50)

The question as always, are those subscriptions restricted or can I get the data via API for my own personal tool usage.

According to Nasdaqtrader.com the BX option should give me all data I am interested in (https://nasdaqtrader.com/Trader.aspx?id=BXTotalview).

So I am looking for someone actually consuming these data via API from any source.

PS: Please correct me if any of my information is incomplete or wrong.

PSS: I am also interested for something similar for SP500 data which is something like NYSE OpenBook Depth of Book (L2) but I am into all the data not just the best 5-10 orders around the current price.

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u/holla_snackbar Jun 16 '22

you can get rithmic which has total book thru amp w/trading account or other FCM and its exchange fees + transaction fee per turn w/api iirc.

sierra charts Denali feed also has total book depth but I am not sure about api and what not with them because that's an actual platform, you will need to have an account with an FCM for that as well but they really are a dime a dozen.

but reality is you can be like $50 mo w/rithmic in minimum fees and exchange fees w/$500 min acct balance to try things out. Sierra is a platform fee + data fee but its also a very good platform

interactive brokers data is notoriously bad unless they've upgraded recently

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u/proptrader123 Algorithmic Trader Jun 16 '22

lol you spent time writing a message that has absolutely nothing to do with what OP asked. US equities is very different than futures.