This is a though one… Everybody wants real time market data – in MS Excel, in Matlab, in Java, in Theta Suite etc. But, obtaining market data is very hard and cost intensive because the stock exchanges do not want to provide real-time data for free. Ok, but what can you do about it?
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Historical Data is not that Different from Real-Time Data
In some cases, website provide a limited set of real-time data which you can obtain using the description: How do you get free historical market data? Especially, using JSoup. But, usually the data you see is with 15min delay.
However, this solution has many drawbacks. An important one is: Even if you get near real-time data from a website, you still need a mechanism to automatically pull the data and push it into your platform.
If you can afford it, the best solution is usually a commercial solution from a large data vendor, e.g. Morningstar/Tenfore, Bloomberg, Thomson Reuters etc. They deliver speedy and reliable market data right into MS Excel and often, they have interfaces for Matlab or Java, too. But they cost several hundreds of dollars (and euro) per month. On the positive side, these market data vendors deliver also insight into the order book, which is extremely important for intraday trading.
Low Budget Solutions
If you need to save some money – and use it for trading: Go for the second best solution and get the data from your broker. But, only very few brokers provide a good api and plug-ins for MS Excel or Matlab etc.
Free Real-Time Data Feed
Now, there is a third alternative, which might be good enough for you: It is free and it pulls free data into your MS Excel as a real-time data feed. This software is called FinAnSu (http://code.google.com/p/finansu/) and is pretty new and not 100% stable. But, for testing your trading strategy with a real market data feed, it is totally sufficient. FinAnSu pulls the data from Google, yahoo! or Bloomberg Personal Finance. Except for the combination Google NASDAQ, the data is usually with 15Min delay. But, you get new ticks e.g. every second and you can test your trading strategy in a realistic environment.
So, if you can live with a 15min data delay and without order book, go for FinAnSu. Otherwise, real trading requires real investments into data and you have to go for a commercial data vendor.
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