Do algorithmic trading platforms typically have live-data access to stock data?
"Algorithmic trading doesn't necessarily require live feeds. It is a very generic term describing trading based on the decisions made by a machine and not a person. One very prominent type of algo-trading is ""high frequency trading"". For HFT to be effective, not only do you need live feeds (which are provided by the exchanges electronically), you need them before others get them. That's why HFT traders put their machines as close as possible (physically) to the exchange data centers, sometimes even renting racks at the same datacenters from the exchanges themselves." "Yes, Interactive Brokers is a good source for live data feeds and they have an API which is used to programmatically access the feeds, you will have to pay for data feeds from the individual data sources though.  The stock exchanges have a very high price for their data and this has stifled innovation in the financial sector for several decades in the united states. But at the same time, it has inflated the value and mystique of ""quants"" doing simple algorithms ""that execute within milliseconds"" for banks and funds.  Also RIZM has live feeds, it is a younger service than other exchanges but helps people tap into any online broker's feeds and let you trade your custom algorithms that way, that is their goal."
In my experience thanks to algorithmic trading the variation of the spread and the range of trading straight after a major data release will be as random as possible, since we live in an age that if some pattern existed at these times HFT firms would take out any opportunity within nanoseconds. Remember that some firms write algorithms to predict other algorithms, and it is at times like those that this strategy would be most effective. With regards to my own trading experience I have seen orders fill almost €400 per contract outside of the quoted range, but this is only in the most volatile market conditions. Generally speaking, event investing around numbers like these are only for top wall street firms that can use co-location servers and get a ping time to the exchange of less than 5ms. Also, after a data release the market can surge/plummet in either direction, only to recover almost instantly and take out any stops that were in its path. So generally, I would say that slippage is extremely unpredictable in these cases( because it is an advantage to HFT firms to make it so ) and stop-loss orders will only provide limited protection. There is stop-limit orders( which allow you to specify a price limit that is acceptable ) on some markets and as far as I know InteractiveBrokers provide a guaranteed stop-loss fill( For a price of course ) that could be worth looking at, personally I dont use IB.  I hope this answer provides some helpful information, and generally speaking, super-short term investing is for algorithms. "In addition to what @George Marian said, a very large portion of trades are from computer programs trained to make trades when certain apparent patterns are observed.  Since these programs are not all designed in the same way, much of the supply and demand is a result of different algorithms with different ""opinions"" on what the stock is doing." I disagree strongly with the other two answers posted thus far. HFT are not just liquidity providers (in fact that claim is completely bogus, considering liquidity evaporates whenever the market is falling). HFT are not just scalping for pennies, they are also trading based on trends and news releases. So you end up having imperfect algorithms, not humans, deciding the price of almost every security being traded. These algorithms data mine for news releases or they look for and make correlations, even when none exist.  The result is that every asset traded using HFT is mispriced. This happens in a variety of ways. Algos will react to the same news event if it has multiple sources (Ive seen stocks soar when week old news was re-released), algos will react to fake news posted on Twitter, and algos will correlate S&P to other indexes such as VIX or currencies. About 2 years ago the S&P was strongly correlated with EURJPY. In other words, the American stock market was completely dependent on the exchange rate of two currencies on completely different continents. In other words, no one knows the true value of stocks anymore because the free market hasnt existed in over 5 years. I have ScottradeElite on my desktop. I have played around with it but no longer use it. The transactions that I make through Scottrade are more dependent on my goals for the securities than what the market is doing at the moment.  Keep in mind that there will always be others out there with better access to price changes than you. They also will have better hardware. We cannot beat them at their game. Various companies have hired quants to write algorithms to buy and sell stocks. Each of these has unique criteria that determine when it should buy/sell. Most have some AI component that allows it to tweak parameters and learn. The point is the more people try this kind of fake news tactic the better the algorithms get at responding or not responding to it. Keep in mind though that 1) the AIs learn at different rates 2) if an AI notices a boost in trading volume due to a story it determines is fake, the correct move is to buy and then sell before other AIs catch on. "Just read the book Flash Boys by Michael Lewis.  It describes this process in detail, albeit a bit more dramatically than it has to.  Basically what ""HFTs"" (high frequency traders) do is they set up their line to the exchange so its microseconds faster than everyone else.  Then they test out the market with tiny orders, seeing how fast it's getting filled - if these are getting filled immediately, it probably means there's a big order coming in from an investor.  So the algorithm - and it's all algo-based obviously because no human can remotely hope to catch this - will detect that as soon as there's a spike in volume, it will buy all of the volume at the current price, and sell it back for higher, forcing the big investor to take on higher prices.    Another case is that some HFTs can basically buy the entire trade book from an exchange like Nasdaq.  So every time someone places a market order for 200 shares of a 6.5 stock, the HFT will see it, buy up all the current stock from say 6.5-6.6 and sell it back at 6.7.  Not rocket science if you already get info about the trade coming in, in fact this is basically market making but performed by an ""evil HFT"" instead of a ""trustworthy bank.""    But honestly there are a lot more ways to make money from HFT than front-running, which isn't even possible anymore because exchanges no longer sell their books to HFTs." That's a really optimistic view of algorithmic trading and ML . ML is good at pattern recognition and finding new patterns (finding alpha), not at evaluating sources.    The algorithms are programmed to only try to improve returns within a given risk tolerance; it does not care whether the information is fake or not. If anything, it behooves the people (quants) who design these algorithms to utilize fake data and enjoy a free lunch at the expense of dumb retail investors. They could have different quotes as there are more than a few pieces here.  Are you talking a Real Time Level II quote or just a delayed quote?  Delayed quotes could vary as different companies would be using different time points in their data.  You aren't specifying exactly what kind of quote from which system are you using here. The key to this question is how much of a pinpoint answer do you want and how prepared are you to pay for that kind of access to the automated trades happening?  Remember that there could well be more than a few trades happening each millisecond and thus latency is something to be very careful here, regardless of the exchange as long as we are talking about first-world stock exchanges where there are various automated systems being used for trading. Different market makers is just a possible piece of the equation here.  One could have the same market maker but if the timings are different,e.g. if one quote is at 2:30:30 and the other is at 2:30:29 there could be a difference given all the trades processed within that second, thus the question is how well can you get that split second total view of bids and asks for a stock.  You want to get all the outstanding orders which could be a non-trivial task. "A ""stock price"" is nothing but the price at which some shares of that stock were sold on an exchange from someone willing to sell those shares at that price (or more) to someone willing to buy them at that price (or less). Pretty much every question about how stock prices work is answered by the paragraph above, which an astonishingly large number of people don't seem to be aware of. So there is no explicit ""tracking"" mechanism at all. Just people buying and selling, and if the current going price on two exchanges differ, then that is an opportunity for someone to make money by buying on one exchange and selling on the other - until the prices are close enough that the fees and overhead make that activity unprofitable. This is called ""arbitrage"" and a common activity of investment banks or (more recently) hedge funds and specialized trading firms spun off by said banks due to regulation." "The fallacy in your question is in this statement: ""The formulas must exist, because prices can be followed real time."" What you see are snapshots of the current status of the stock, what was the last price a stock was traded at, what is the volume, is the price going up or down.  People who buy and hold their stock look at the status every few days or even every few months. Day traders look at the status every second of the trading day.  The math/formula comes in when people try to predict where the stock is going based on the squiggles in the line. These squiggles move based on how other people react to the squiggles.  The big movements occur when big pieces of news make large movements in the price. Company X announces the release of the key product will be delayed by a year; the founder is stepping down; the government just doubled the order for a new weapon system; the insiders are selling all the shares they can. There are no formulas to determine the correct price, only formulas that try to predict where the price may go." I also searched for some time before discovering Market Archive, which AFAIK is the most affordable option that basically gives you a massive multi-GB dump of data.  I needed sufficient data to build a model and didn't want to work through an API or have to hand-pick the securities to train from.  After trying to do this on my own by scraping Yahoo and using the various known tools, I decided my time was better spent not dealing with rate-limiting issues and parsing quirks and whatnot, so I just subscribed to Market Archive (they update the data daily). Since I've been doing this since late 03 I have colo machines in Chicago and NYC, and have direct exchange data feeds etc.  I mentioned in a prior post though, for someone starting out on algorithmic trading, I'd recommend Nanex for tick data and Interactive Brokers for your brokerage account. IB has a robust and easy to use API. It won't let you do the most low latency stuff bc you can't colo at the exchange and have to clear through their order management systems but if you are looking at opportunities that exist in the market in excess of 50ms it's probably a good place to start. If not, go Lightspeed imo, but that'll cost you on the colo/data a lot more. "In US public stock markets there is no difference between the actions individual retail traders are ""permitted"" to take and the actions institutional/corporate traders are ""permitted"" to take.  The only difference is the cost of those actions.  For example, if you become a Registered Market Maker on, say, the BATS stock exchange, you'll get some amazing rebates and reduced transaction prices; however, in order to qualify for Registered Market Maker status you have to maintain constant orders in the book for hundreds of equities at significant volumes.  An individual retail trader is certainly permitted to do that, but it's probably too expensive. Algorithmic trading is not the same as automated trading (algorithmic trading can be non-automated, and automated trading can be non-algorithmic), and both can be anywhere from low- to high-frequency.  A low-frequency automated strategy is essentially indistinguishable from a person clicking their mouse several times per day, so: no, from a legal or regulatory perspective there is no special procedure an individual retail trader has to follow before s/he can automate a trading strategy.  (Your broker, on the other hand, may have all sorts of hoops for you to jump through in order to use their automation platform.) Last (but certainly not least) you will almost certainly lose money hand over fist attempting bid-ask scalping as an individual retail trader, whether your approach is algorithmic or not, automated or not.  Why?  Because the only way to succeed at bid-ask scalping is to (a) always be at/near the front of the queue when a price change occurs in your favor, and (b) always cancel your resting orders before they are executed when a price change occurs against you.  Unless your algorithms are smarter than every other algorithm in the industry, an individual retail trader operating through a broker's trading platform cannot react quickly enough to succeed at either of those.  You would have to eschew the broker and buy direct market access to even have a chance, and that's the point at which you're no longer a retail trader. Good luck!" We have custom software written in mostly C# for the long term strategies. Day trading is done on multiple platforms. Currently using ToS scripts for some futures and equities strategies to great success, and sierra charts for a few futures exclusively. I just moved into a position to work with day trading so I'm still learning more about the systems he uses As another answer started, this information comes straight from an exchange and generally costs a fortune . . . However things change: IEX, a new exchange, recently opened and they are offering real time bid/ask data for free. Here's the API description: https://www.iextrading.com/developer/ This data should be good for active securities, but for securities less actively traded the numbers might be stale.