Hi TR tech team,
I would like to know if it would be possible to access programatically (i.e. via your APIs, more specifically via the Python API) some specific data:
Asset classes: ETFs like SPY and Futures like ES, EUROSTOXX, DAX, YM...
Data needs: We need REAL-TIME tick-by-tick times and sales data (executed orders size, timestamp, price and direction). An example would be: at 10:22:23.313 a SELL order with lot size 5 was executed at price 230 > 10:22:23.213 - SELL - 5 - 230. Some vendors display this information BUT they don't have the SIDE flag (i.e. SELL or BUY).
API: We would primarily want to do all in python and linux (data retrieval, data processing, orders sending — we know that you have a Python API). Our business model is pure consultancy, so we need to know if the requested "data type and feed" is available in order to then create a solution based on the client requirements.
¿Is this doable? Please, if you could confirm that this kind and type of data is accesible via the python API and for the majority of the assets gathered into the asset classes noted above it would be awesome.
Also, ¿is there any other option or product like WebSockets via Python to access this kind of data? Help to dig more is much appreciated.
Many thanks in advance,