On Wed, May 31, 2023 at 8:50?PM Gordon Eldest via <hymagik=[email protected]> wrote:
If ready for "listen real-time and store": consider Nanex (NxCore). Be careful: A- Huge amount of data, you need to master a little of C/C++ to handle it. if you create hooks for only a couple of stocks that stay manageable. B- Their data can be late by a couple of second (but still accurately sequential, just like a pipeline that sometime filled up beyond client/network processing capabilities) C- $$$
Alternative: Polygon.io
With IB , give a peep at marketDepth API, doesn't exactly match your request but work differently that ticks API (doesn't have a "historical mode") It will give you a feeling of the horsepower needed to manage this kind of granular data. Hence the service IB offer to pack historical trades in ticks.