do you mean by using QuickFIX ? (I can see QuickFIX in your tags) if that is the case, I don’t know. Generally it’s not difficult to write a simple parser for a FIX message. I found that the web tools on valid fix do the job.
Alpha Vantage have real-time intraday as well as historical daily time series in JSON format. Accessing the data requires an API key but it is free. Caveat: I have not yet used Alpha Vantage myself. The focus of my work requires long daily data series and for that Quandl (or, while it lasted, Yahoo) is … Read more
Exchanges will usually publish an up-to-date list of securities on their web pages. For example, these pages offer CSV downloads: http://www.nasdaq.com/screening/companies-by-industry.aspx?exchange=NASDAQ&render=download http://www.nasdaq.com/screening/companies-by-industry.aspx?exchange=NYSE&render=download http://www.asx.com.au/asx/research/ASXListedCompanies.csv NASDAQ Updated their site, so you will have to modify the URLS: NASDAQ https://old.nasdaq.com/screening/companies-by-name.aspx?letter=0&exchange=nasdaq&render=download AMEX https://old.nasdaq.com/screening/companies-by-name.aspx?letter=0&exchange=amex&render=download NYSE https://old.nasdaq.com/screening/companies-by-name.aspx?letter=0&exchange=nyse&render=download Depending on your requirement, you could create the map of these URLs by exchange … Read more
To expand on what Paul said: The server executing HFT or UHFT are almost always collocated in the exchange’s data center. This minimizes latency and also allows the algos use Flash orders (which might be banned soon) to get first look at order flow before the order is broadcast into the market. many algo’s will … Read more