BM - Time & Sales data

Market data, Trading, Technical support, Features requests, etc
godog
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BM - Time & Sales data

Post by godog » Wed Sep 30, 2020 4:43 am

I am developing a tool that will utilize Time & Sales data.  I understand that I can export up to 10,000 lines of T&S data at any given time.  Is there a way I can download a full day's worth of T&S data for a given US stock so I can start to build and this new BM tool?

AndreyR
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Re: BM - Time & Sales data

Post by AndreyR » Thu Oct 01, 2020 9:43 am

Hi godog,
T&S column allows exporting upto 10,000 lines. But what you're actually asking about (programmed processing of a full day's worth of ...) is actully API acess to exposed data. That is not allowed by DxFeed.
However, if you like to build an indicator (a module which reacts to incoming data but not exposing data) based on the data - you can develop it on other data provider and then run on DxFeed.

godog
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Re: BM - Time & Sales data

Post by godog » Thu Oct 01, 2020 6:15 pm

Thanks for your reply.  I am not sure what you mean by other data provider.  I only use DXfeed for book map which is my understanding the only feed for US stocks.

Also, in discussing this directly with DXFeed, they will be rolling out a ondemand service that allows retail access to full T&S data as an ala cart service.  Currently downloading a day's worth of T&S for a given stock is $850/month. 

Svyatoslav
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Re: BM - Time & Sales data

Post by Svyatoslav » Fri Oct 02, 2020 9:19 am

Hi. Andrey meant that if you just need an indicator you could develop it on a different provider that does not forbid API usage (e.g. cryptocurrencies), and then run it on DxFeed after it's developed. This way you don't export/see the raw data, which is what DxFeed makes us block.

As for discussing directly with DX - sure, as soon as they have some way for us to legally provide access to you - we are happy to do it. It's not a technical restriction. Or if you have a way to get data via other means (e.g. purchase historical data directly) it is also a viable option.

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