Choosing a source of market data

I just took a class on machine learning for trading and now I’m itching to set up my own algorithms and make bank. The first problem I need to solve is getting data. My choices are:

  • Quandl
    • $30 a month for US equities data
  • Alpaca.markets
    • open brokerage account, get free data
    • commision free trading for stock and etf
  • Interactive Brokers
    • open brokerage account, get free data
    • commision free trading for stock and etf (see IBKR lite)
  • AlphaVantage
    • free data on stocks, forex, TIs
    • rate limit 5 api calls a minute, max 500 calls a day

I’m going to go with alpaca.markets for now. Alpaca supports paper trading and executes trades on IEX. I like the concept of the IEX and its attempt to reign in high frequency trading advantages. That’s one less advantage the big wigs have.

If I decide to go broke trade options, I will consider Interactive Brokers because of its wide selection of markets. Since Charles Schwab decided to compete with Robinhood and cut commissions, offerings for non-professional traders have been improving significantly. Many competitors including E-Trade, Ameritrade, Interactive Brokers are following suite and offering commision free stock and ETF trading.