Real-Time Data Providers

Part 17 explained the machinery: exchange, vendor, plugin, database, formula, and the three access levels the course is built around. This part is about the decision that machinery leaves you with — which source, if any, you should attach to it.

That decision is normally made backwards. Someone reads a vendor comparison, picks the feed with the longest list of features, discovers three months later that it does not carry the exchange they care about, and starts again. The five pages here reverse the order: work out what your question needs, measure what you already have, and only then look at what anyone is selling.

The shape of this part

How to use the five pages

1. 1Write down the questionNot "which feed is good" but "what am I trying to find out"
2. 2Derive the requirementsInstruments, exchanges, history depth, bar resolution, entitlements
3. 3Measure what you already holdAn exploration that reports what your database actually contains
4. 4Read the appendix for any candidateWhat is required, what is limited, what could not be verified
5. 5Re-check with the vendorEvery figure in every appendix is a starting point, not a quote

The first lesson does steps one to three. The appendices do step four. Only you can do step five.

One decision lesson, three appendices, and a lesson on the free end-of-day path that carries most of this course. The appendices are written as reference pages, not as tutorials to be read end to end: open the one you need, when you need it.

Why the appendices are written the way they are

Every other part of this course describes software whose behaviour is stable and documented by the people who wrote it. This part does not. It describes commercial services owned by companies that change their pricing, their entitlements, their client software and sometimes their existence, and it describes them through the lens of AmiBroker’s own documentation — which, in places, has not been revised in a very long time.

That produces three rules the appendices follow without exception.

Everything is dated. Where an official page states when it was last current, the appendix says so. AmiBroker’s data-sources catalogue, for instance, carries the line “THIS PAGE IS CURRENT AS OF March 2, 2023” at the top of itself. That is useful information, and hiding it would be dishonest.

Gaps are stated, not filled. Where the official documentation says nothing about a capability, the appendix says the documentation says nothing. It does not substitute a plausible-sounding answer, and it does not repair a stale figure with a guess. A reader who knows they have to ring the vendor is better served than one who has been given a confident number that is four years old.

No prices. Vendor pricing appears on several AmiBroker pages, in figures that contradict each other across those same pages. Repeating any of it would be worse than useless, so this part quotes none of it and tells you where to look instead.

!Important

Read every appendix as a map of the questions to ask, not as a specification. The one instruction that appears on all three is the same: confirm it with the vendor before you pay anything, and confirm it with your own installation before you build on it.

The promise this part keeps

Nothing in this part is a prerequisite for finishing the course. That is a design commitment, not a consolation.

The last lesson builds a working end-of-day database from free sources using AmiQuote, and that database is enough for the whole of the research, screening, backtesting, portfolio and walk-forward material that makes up the majority of the remaining parts. The real-time parts that follow — intraday databases, streaming, alerts, tape reading — each carry their own path for readers with no subscription, built on end-of-day data, on historical intraday data, or on Bar Replay.

So there are two honest reasons to read the appendices. One is that you are about to spend money and want to know what you are buying. The other is that you want to understand why an intraday feed costs what it costs, which turns out to explain a great deal about the market data industry.

What changes for you

By the end of this part you should be able to:

• state your own data requirements as five specific answers rather than as a preference for “good data”;
• run an exploration that tells you what a database actually holds, and use the same tool afterwards to check whether a provider delivered what it promised;
• read a vendor’s capability claim and identify which parts of it AmiBroker’s documentation supports, which parts it contradicts, and which parts it is silent on;
• describe what Interactive Brokers, IQFeed and eSignal each require in terms of external software, configuration, backfill behaviour and symbol limits;
• assemble a free end-of-day database and verify, after every update, that it is complete and internally consistent.

Part18 of 36Level5 — Real-Time AmiBroker UserPages5Estimated time2.2 hours

✱3 of 5 pages in this part need the Professional edition or a live data feed, marked below. Every one of them has a Level A path that uses Bar Replay and historical data instead, so the part can be completed in full without a subscription.

0 / 5 lessons in this part completed

• LessonChoosing a Data Source: A Decision Framework28 min
• ReferenceAppendix: Interactive Brokers✱ Pro30 min
• ReferenceAppendix: IQFeed✱ Pro25 min
• ReferenceAppendix: eSignal and Other Supported Feeds✱ Pro25 min
• LessonFree and End-of-Day Sources with AmiQuote26 min