All About WealthLab Intraday and Realtime Data Providers
Published: 2022-11-10 by Cone
Updated: 2024-09-11
If you have a doubt about data for WealthLab, data quality and other questions about data intraday and streaming providers, this article has information and links to help with your diligence.
Data Providers come in 3 Flavors
WealthLab uses three mains types of data providers:
- Brokers who offer their customers free or paid data services
- Price data providers
- Fundamental data providers, or as we call them in WealthLab: Event Providers
The scope of this article is limited to data providers that offer intraday and/or streaming data. WealthLab has dozens of connections to free end-of-day (daily data) providers, so be sure to investigate the Data Extensions for those!
You don't need to use a broker's data to trade with that broker. If you prefer other data services for the instruments you trade, by all means you can use them in WealthLab. An exception is in the case of cryptocurrencies where each broker essentially has its own exchange. If you trade on Kraken, you should release the Kraken! (Okay, that doesn't make sense, but I like to say it any chance I get.) Suffice to say, market pricing on Kraken could be significantly different than that on Binance or Coinbase for the same instrument. When trading crytocurrencies, use your broker provider's data.
Streaming / Free Streaming
When Streaming is enabled, WealthLab subscribes to a data provider by opening a socket connection, which pumps data into WealthLab without further requests. WealthLab creates new bars from the trades received and with almost no delay inserts the new resulting bar at the end-of-interval. If you trade using intraday chart windows, you're using streaming data.
The term "streaming data" refers to both tick-by-tick, conflated trades, and free streaming data.
tick-by-tick streaming is full-lot trade data (100 shares or more). It's important to understand that the industry standard uses only full-lot trade data to build [historical] charts.
conflated trades represents an average price (and all volume) of a group trades that usually include odd-lot (fewer than 100 shares). An average price will frequently not match OHLC data, which will make your strategy results in live trading different than those that use the historical chart data.
See Stock Charts Show Only Full Lot Trades below.
- free streaming - the adage "you get what you pay for" rings true for streaming data. Free streaming providers like Yahoo! Finance and Alpaca's free tier offer limited data from Nasdaq Last Sale (NLS) and Investor's Exchange (IEX), respectively. The latter represents only aboug 2.5% of market volume, which may be good enough to experiment with, but not sufficiently accurate to build charts on whose data strategies depend.
Note: Streaming is also used to power WealthLab's Quotes & Price Triggers tool.
Popular brokers like Interactive Brokers and Schwab generally offer conflated streaming or tick stream that is sampled several times per second. For most practical purposes this is sufficiently good for trading. Nonetheless, new bars added by conflated streaming feed can vary somewhat from a historical chart built using a full tick-by-tick stream. Different data can result in triggering (or missing) trades that would not have (or would have) occurred otherwise. No worries, WealthLab offers an excellent solution: Streaming Bars.
Streaming Bars
WealthLab's Strategy Monitor has another streaming option to receive and build bars called Streaming Bars. Like tick Streaming, WealthLab subscribes to a provider's socket connection. The difference is that the provider builds the bars on the server and pushes them to WealthLab. The advantage - especially for broker providers - is that the server builds the bars with the full tick stream. The result are historical bars that represent all of an instrument's full-lot trading and it frees your computer from tediously processing ticks to build bars.
Providers implement streaming bars using different partial or full-bar intervals, so even though some WealthLab processing is required behind the scenes you can think of Streaming Bars as the provider pushing a full, complete bar to WealthLab when required.
Because Streaming Bars are server-based, their delivery tends to be 2 to 3 seconds after the end-of-interval minute mark. (The smallest Streaming Bar option available in the Strategy Monitor is 1-Minute.) You can weigh this slight disadvantage against those discussed for [tick] Streaming.
Stock Charts Show Only Full Lot Trades
Some uncommon knowledge that will now be common to you is that historical data found in charts represent full-lot trading only. A full lot trade is one that has at least 100 shares, no matter the price. Odd lots, fills for less than 100 shares, are not included in bar building for historical charts, so a 1-share or 99-share trade will never change the open, high, low, or close of a bar for any chart interval. This doesn't really have anything to do specifically with WealthLab Data Providers, but it's good know and you might be able to impress your spouse with this factoid. You're welcome!
Broker Providers
The following table is the list of stock/futures/forex/options broker providers to which WealthLab has connections. Approximate additional monthly fees for data are listed. (Scroll down for non-broker data-only providers.)
| Broker | Monthly | History Data | Granularity | Streaming | Futures | Options | Forex |
|---|---|---|---|---|---|---|---|
| Alpaca | $0 / $99 | Fast | IEX / Ticks | ✓ | |||
| Interactive Brokers | $10* | Slow | Conflated | ✓ | ✓ | ✓ | ✓ |
| Tradier | $0 | Fast | Ticks | ✓ | ✓ | ✓ | ✓ |
| TradeStation | $0 | Slow | Ticks | ✓ | ✓ | ✓ | ✓ |
| Schwab | $0 | Fast | Conflated | ✓ | ✓ | ✓ | ✓ |
More brokers through Medved Trader, including: Fidelity, Robinhood, E*Trade, AMP Global, Rithmic, Questrade (CA), Directa (IT), Bell Direct (AU), CommSec (AU), and more.
Alpaca
WealthLab Extension download and details
Alpaca is a U.S. stocks and crypto broker. WealthLab does not currently support crypto trading with Alpaca, but that can change with demand. WealthLab's integration for stock trading with Alpaca is excellent, and even if you don't plan to trade with Alpaca, their free API paper-trading account is a good place for all rookies to start their auto-trading journey.
Set up your free Alpaca account by navigating to Alpaca's website and clicking a link to Sign Up for Free. You'll need public and private keys for the account to configure Alpaca in WealthLab.
Alpaca has an excellent data service that natively supports 1, 5, 10, 15, and 30 minute intraday bars as well as Daily history. Alpaca's API uses a socket connection for streaming, which supports both tick-by-tick quotes as well as Streaming Bars for the Strategy Monitor for both free and paid data tiers.
Basic Subscription, Free Data Tier
The free API account comes with historical and streaming data connections with limitations, not the least of which is that historical bar data is delayed by 15-minutes. Historical requests are also limited to 200 requests (not symbols) per minute. Requesting data for a single symbol - especially initial requests for intraday data - can result in dozens of batch requests every second.
You can stream quotes (trades) in Quotes and Chart Windows for up to 30 symbols simultaneously. The trade (or tick) stream is not delayed but is sourced from IEX, which represents only about 2.5% of market volume. Since WealthLab adds bars in streaming charts by building them from the trades, the IEX feed won't be a good representation of the overall market, resulting in bars that will not match historical bars built from trading on all exchanges.
While IEX streaming may be "good enough" to demonstrate trading from streaming charts, it could have the effect of generating (or missing) trades in realtime that are not in sync with a backtest that uses the full historical data, which would represent live trading more closely.
Basic subscription Streaming Bars suffer from the same IEX 2.5% market volume issue. Streaming Bars are built on the server using all trades and pushed to Wealth-Lab every minute. Like regular Streaming, the 30-symbol limitation applies to Streaming Bars as well. Nonetheless, you can get a good intraday auto-trading experience with the Alpaca free account, and for this we'd recommened using the Strategy Monitor fed by Alpaca Streaming Bars.
Since historical bars are delayed by 15 minutes, it's important to start the Strategy Monitor using Streaming Bars before the market opens. This way Wealth-Lab can feed the strategy a non-delayed chart - without a data gap that would result if started midday.
Algo Trader Plus Subscription - $99/month
The paid tier uses "direct feeds from the CTA (administered by NYSE) and UTP (administered by Nasdaq) SIPs" with no limitations for historical requests or streaming symbols. This trade/tick-by-tick feed (as well as Streaming Bars for the Strategy Monitor) should result in streaming charts that match a true historical chart.
Interactive Brokers
* $10 to $15/month, waived if commissions reach $30 in the month
WealthLab Extension download and details
WealthLab connects to Interactive Brokers through IB's Trader WorkStation (TWS) or IB Gateway API. Although the IB Gateway is a minimal client app to support the API connection, we recommend using IB TWS for better situational awaremeness for verifying, placing, and or modifying orders. To set up the connection, there's an involved one-time procedure to follow in Help guide or on the IB Extension web page.
Interactive Brokers covers U.S., Hong Kong, Brazil, and European stock, futures, and option markets as well as Forex and a handful of crypto currencies. Among the broker providers offered by WealthLab, Interactive Brokers has the fastest execution - lightning fast. Whereas you might have to wait several seconds for a market order to fill at other brokers, IB will have executed it in milliseconds. Other U.S. brokers, however, have $0 commissions for stock trading, whereas IB still charges fees for stocks and most ETFs.
Stock and Futures traders get a good deal of data for $10/month with the "US Securities Snapshot and Futures Value Bundle". Sign up for this and other data in your account Settings > Market Data Subscriptions page. The $10 fee for this quotes bundle is waived if monthly commissions reach 30 USD. Depending on your needs, additional trading products can be added, but I recommend stock traders add the "US Equity and Options Add-On Streaming Bundle" for another $4.50/month.
Broker providers like IB are set up to give you the data you need to trade with - not so much to backtest with. You can download a lot of historical data with IB, but you'll need a lot of patience. To give you an idea, it could take an entire day to download 1 minute bars of IBM (any symbol) for the last 15 years. This applies only to the initial download since this data will be cached on your machine and quickly available for the next use.
All of this means that if you need to do serious intraday backtesting and trading for many symbols, it's a bad idea to rely on IB's feed alone. On the other hand, if you're a futures or ETF trader who concentrates on a handful of symbols, then IB's data will almost certainly be sufficient.
Streaming
The basic IB streaming bundle allows you to stream 100 symbols simultaneously. This number is the sum of the symbols you're viewing in WealthLab and on an active IB TWS Quote page. To stream more symbols you'll need to buy additional "quote bundles".
IB streaming data is not tick-by-tick and is updated no faster than 250msec (4 times per second). For this reason WealthLab's IB-powered bars from the streaming feed can have minor differences from true historical bars. While there is a minimal practical difference for an intraday trader, strategy trades can be different than when using IB's historical bars in backtest, which as we've said above, are built by from tick-by-tick, full-lot trades.
Streaming Bars
Streaming Bars is the preferred alternative when using IB data in the Strategy Monitor for intraday scales. Streaming Bars will result in a nearly exact match for price and volume data when compared to historical data and has the added advantage of reduced cpu load.
Options WealthLab's IB Provider has a special configuration to request and download Trades OR Bid/Ask Midpoint data for option contracts. Since option trades are often illiquid, using the Bid/Ask Midpoint offers a better backtest for pricing options. Like other providers who offer data for options, option data for expired options is not available, so backtesting options can only be accomplished with current contracts or using expired contracts that you were able to download before expiration.
Tradier
WealthLab Extension download and details
The Tradier extension provides a secure connection to the Tradier brokerage to trade U.S. stocks and options. Tradier returns historical data for stocks and current options contracts and has an excellent streaming data service. You can configure the Tradier extension to connect to a live Tradier brokerage account or a sandbox test account.
Intraday Historical Data
Intraday lookback is limited to 20 days for 1-Minute bars and 40 days for 5 and 15-Minute bars. Since WealthLab adds data to previously cached download, you can build histories for your DataSets. Nonetheless, we would only count on Tradier intraday for trading live. Traders will need to look elsewhere for longer intraday histories for large backtests.
Streaming
Streaming data is available for the live account connection only. Tradier streaming is a tick-by-tick full-lot stream that returns all trade events for pre/post market and during market hours.
Streaming Bars
Not supported.
TradeStation
TradeStation Extension download and details
Schwab
Schwab Extension download and details
Schwab data and trading access requires that you create an App Key. Follow the instructions the Schwab Extension page. Once you have your App and Secret Keys, you'll be able to log in to your account for trading and data.
Intraday Historical Data
LIke IB, Schwab will provide the data you need for trading. There are limits on the amount of data that you can download. The amount of intraday lookback increases proportionally with the bar interval size. Since WealthLab caches historical data returned, you can continue to build contiguous Schwab intraday histories.
Streaming
Schwab streaming is not 'unlimited' and you'll have to determine the number of simultaneous streams allowed by trial and error. We've seen up to 100 symbols work for streaming in the Quotes tool. For a quick check, open a Quotes tool and drag a DataSet into it during market hours, turn on the Schwab Stream and see if all the symbols fill with data. If not, check WealthLab's Log Viewer (Ctrl+L) for messages and clues.
Schwab streaming is not tick-by-tick and updates no faster than once per second. For this reason bars built by Schwab streaming will have differences when compared to true historical bars. While there may be a minimal practical difference for an intraday trader, strategy trades can be different than when using Schwab's historical bars in backtest, which come from tick-by-tick, full-lot trading.
Streaming Bars
Streaming Bars is a good option when using Schwab data in the Strategy Monitor for intraday scales. Streaming Bars will result in a nearly exact match for price and volume data when compared to historical data and has the added advantage of reduced cpu load. However, TD Streaming Bars are typically observed to update 3 to 5 seconds after the minute mark - a delay to consider for scales below 5 minutes.
Polling
Instead of Streaming Bars, we recommend using Schwab polling in the Strategy Monitor for all scales - even below 5 minutes. Testing this configuration has showed updates and strategy runs ending within 2 seconds of the end-of-bar for a 30-symbol DataSet.
Data Only Providers
| Data Provider | Monthly | Speed | Granularity | Streaming | Futures | Options | Forex |
|---|---|---|---|---|---|---|---|
| AlphaVantage | $0 / $49 | Good | 1-Minute | ✓ | |||
| EODHD | $30 | Good | 1-Minute | ✓ | ✓ | ||
| IQFeed | $99+ | Fast | Ticks | ✓ | ✓ | ✓ | ✓ |
| Tiingo | $0 / $30 | Good | Ticks (IEX) | ✓ | ✓ | ||
| Yahoo! Finance | $0 | Good | Ticks (NLS) | ✓ | ✓ | ✓ |
More high-quality subscription providers through Medved Trader, including: dxFeed, Quotestream Connect, Barchart, and Money.net.
Alpha Vantage
Alpha Vantage is installed with WealthLab as one of the core static data providers so that new users can get some amount of intraday data for free when evaluating WealthLab. To use it, you need to get an API key for a free or paid tier. Alpha Vantage is not a streaming data provider so to use AV data for live intraday trading, you'll need to select the polling method in the Strategy Monitor.
Free Data Tier
The free tier allows only 5 API requests per minute and for intraday data only. Daily bars aren't available from Alpha Vantage with the free tier - crazy, right? Requesting intraday history for a single symbol will eat 5 requests in less than 10 seconds, nonetheless, you'll get some intraday data to work with.
Paid Data Tier - starting at $49.99/month
The paid tier gives you access to Daily data as well as intraday and 75 API requests per minute for $50/month. You can double the requests for the double that amount, but for $100/month an IQFeed subscription would be a far better value since it has unlimited requests and includes streaming for 500 symbols. You'll have to gauge all the costs for the instruments you intend to test/trade.
Yahoo! Finance
Yahoo! Finance is another core data provider installed with WealthLab. By clicking this link you'll find exchange information and data providers offered by Yahoo! Finance.
Intraday Historical Data
None. Yahoo! returns end-of-day (daily) bars only.
Streaming
Yahoo! supplies US quotes in real-time for NASDAQ, NYSE, and NYSE American when available from Nasdaq Last Sale. When live quotes are not available, delayed quotes are substituted. If you need only quotes from these markets to power WealthLab's Quotes and Triggers tool, Yahoo! may be adequate. However, using Yahoo! as streaming feed for charts or the Strategy Monitor is not recommended for live trading due to inaccuracy of price and [often non-existent] volume.
Note! Yahoo! Finance is a free service and typically "breaks" without warning about once each year. When that happens, it takes some time for us (and when I say "us", I really mean "Eugene") to adapt to the breaking change and re-establish a working connection for WealthLab.
IQFeed
Basic service (for non-professionals) and not including exchange fees: $99/month
Website: https://www.iqfeed.net/wealthlab/index.cfm
WealthLab Extension download and details
IQFeed is a true tick-by-tick provider, and therefore is one of the more expensive data options. IQFeed doesn't have a fancy website, but data is their business - it's fast and reliable. The basic streaming service lets you stream quotes for up to 500 symbols simultaneously. If you need more than that, it's only another $50 per each additional 500 symbols.
Streaming Bars
IQFeed also has a Streaming Bars option for the Strategy Monitor. If monitoring dozens of active symbols, this can help reduce your machine's CPU load, but it comes with 2 to 5 seconds of added delay. Streaming Bars are identical to bars created by IQFeed tick Streaming, but the latter provides the least delay when creating a new bar at the end of interval.
Stocks
WealthLab integration includes a few special features for IQFeed. The Regular Session Only option prevents downloading and adding pre/post market data to charts. RSO reduces the size of intraday data files so that they load faster. Also, the RSO option synchronizes the opening price of the first intraday bar to the same price as the Daily bar historical opening price. Without this option, even a Reg-T premarket trade that occurs on or just after 09:30:00 will be used as the opening price of the first regular session bar.
Futures
IQFeed has a vast history of futures contracts back to about 2008 that can be accessed/downloaded. Continuous contracts (spliced method) are also available for extensive backtesting.
Options
Like other providers who offer data for options, option data for expired options is not available.
Fundamentals
Although IQFeed isn't really a Fundamental data provider, it does include some current fundamental and technical data points that can be used in scans. The full list of items available are identified in the table in the WealthLab User Guide > Extensions > IQFeed.
Tiingo
The Tiingo Provider is included in the Data Extensions package. With Tiingo, you get free and subscription-based coverage for:
- U.S. and Chinese stocks, mutual funds, ETFs and cryptocurrencies with EOD data back to 1962
- intraday data down by IEX to 1-Minute intervals for about 5 years back
- free real-time data for U.S. stocks by IEX
You'll need to get an API key for a free or paid tier. Tiingo can be an accurate source for EOD data, comparable to other EOD providers. Intraday data - real-time and historical - however, is from IEX (Investor's Exchange), which represents less than 2% of market volume. The stark contrast can best be illustrated by comparing a Tiingo intraday historical chart to IQFeed.
Comparison of Tiingo 1-Minute IEX intraday (free data tier) with IQFeed
Starter (Free) Data Tier
Restrictions with the free tier include:
- 50 requests per hour
- 500 unique symbols per month
- 1000 requests per day
- 1GB per month
Power (Paid) Data Tier - $30/month
The paid tier gives you access to:
- 87K+ unique symbols per month
- 10K requests per day
- 100K requests per day
- 40GB per month
EODHD
EOD+Intraday — All World Extended: $29.99/month
Website: https://eodhistoricaldata.com/
EODHD is included in the EODHD extension package. EODHD has several price and fundamental products that works by giving subscription permissions to each of the separate APIs. See the "All-in-One Package" for the best value.
Intraday Per EODHD intraday historical data is available only in 1 and 5-minute intervals and the current day's data becomes available only after 2 to 3 hours after the market close.
Streaming The real-time data API comes with the All World Extended and/or All-In-One packages and claims to have "a delay of less than 50ms via WebSockets for the US market, FOREX, Cryptocurrencies and popular indices." Up to 50 concurrent ticker subscriptions are supported.
While EODHD may be a good intraday provider for backtesting, we don't recommend relying on EODHD as a primary provider for streaming charts since intraday historical data for the current session are not available until after the session closes. That said, as long as your trading workspace is set up before the market opens and you don't change it during the day, EODHD streaming can be used to build and trade intraday charts, adding to the historical data from previous sessions.
Crypto Broker Providers
| Broker | Monthly | Speed | Granularity | Streaming | Streaming Bars |
|---|---|---|---|---|---|
| Binance | Fast | Ticks | ✓ | ✓ | |
| Kraken | $0 | Good | Ticks | ✓ | |
| KuCoin | $0 | Fast | Ticks | ✓ |
More Crypto brokers through Medved Trader, including: Coinbase Pro, POLONIEX, HitBTC, HUOBI Global.
As briefly mentioned above, you don't really have a choice for cryptocurrency data providers - you should use the data from the broker you trade with. That said, with respect only to intraday data and streaming, no provider has a big advantage over another. The most recent providers' builds that are compatible with WealthLab 8 are reliable feeds for each of the cryptocurrency brokers, all with good data performance for intraday and streaming.
Notes:
- Binance is the only crypto provider with the Streaming Bars feature. Given this option, there's practically no reason to ever use the Streaming or Polling options for Binance in the Strategy Monitor.
- Kraken has highly restrictive limits for historical requests. To avoid processing delays in the Strategy Monitor, we recommmend using Streaming updates (not polling) for all intraday scales when trading more than 6 symbols with Kraken.
- KuCoin has good intraday historical depth. Crypto crosses are principally with USDT, BTC, and ETH.