Data

This is the second post in the series on using TimeBase to stream real-time market data. This post covers using Docker to run TimeBase and the TimeBase Web Administrator.

This is the first post of a series on using TimeBase to stream real-time market data. TimeBase is a high performance event-based time series database and message broker. I used it on a proprietary trading desk that made markets in futures, and currently use it to build and test equity trading strategies. It was released as open-source in February 2021.

Preface

I am not affiliated with the company that created and maintains TimeBase (Deltix, now EPAM). I’m not currently compensated by them in any way for promoting their product. I’m merely a happy user who is excited that TimeBase is open source and I can show you how to do some cool stuff with it.

This is a guest post by Ilya Kipnis. He blogs at QuantStrat TradeR.

When trading stocks in a single currency, instrument metadata can be safely ignored because the multiplier is 1 and the currencies are all the same.  When doing analysis on fixed income products, options, futures, or other complex derivative instruments, the data defining the properties of these instruments becomes critical to tasks like accounting for value of trades, or comparing notional value between more than one instrument. The FinancialInstrument package provides a construct for storing metadata for tradeable contracts (referred to as instruments, e.g. stocks, futures, options, etc.) and their root representations.  It can be used to create any asset class and complex derivatives, across multiple currencies. 

I’ve been getting a bit of traffic from people searching for opentick (the defunct company), so I’ve started a list of similar (but non-free) data providers.

I’m not affiliated with any of these vendors, and the list is in no particular order. I’ll update this post as more information becomes available.

IQFeed
- features, fees, API**
- starts at $60/month*
- OS: Windows
- Same API as DTN.IQ

eSignal
- features, fees, API**
- starts at $125/month*
- OS: Windows

Six months after shutting down opentick completely Xasax (opentick’s parent company) has followed suit.

It looks like Xasax hit funding problems in August… Inside Market Data mentions the above in this story. Here is the full story (subscription required).

After a year of “we plan to accept new subscribers shortly”, opentick has shut its doors completely. As of March 20th, the opentick service is no longer available.

From opentick.com:

3/16/2009

To opentick subscribers, friends, supporters, contributors and the rest of the community…

It has been quite a journey for opentick, and for those of you who have been with us for the ride we cannot thank you enough for the support, contributions and guidance you have given us over the course of the last 5 years. We could not have come as far as we have without you.