We are still using requests over the SFTP server, but I guess rather sooner than later that will change. However, when it comes to Refinitiv, I can't complain about the REST API for Datascope Select and TickHistory.
Would you know how good the quality of the options data at polygon.io is?
Yeah, seems to be pretty typical still. Hopefully it changes sooner rather than later.
That's interesting to hear about the Refinitiv API, are there any public docs for it and do you know if they provide client libraries for Python and R? Obviously data quality has to be our number one priority, but I'm so fed up with writing a bunch of boiler plate code to interact with the large data providers, at this point my second priority is just ergonomics and that means a decent client library that's dependency free (looking at you Bloomberg with your blpapi package) and has support for batch and streaming data.
From what I understand it seems like upon initial release, the Polygon folks did have some data quality issues, but based on my own experience and anecdotes in /r/algotrading they've significantly improved. Can't really provide anything more concrete than that though, sorry.
Another provider I like is Intrinio, they have some pretty interesting methods for automating QA, esp for some of the more unstructured data like 10-K's and 10-Q's.
ZeroCool2u|3 years ago
That's interesting to hear about the Refinitiv API, are there any public docs for it and do you know if they provide client libraries for Python and R? Obviously data quality has to be our number one priority, but I'm so fed up with writing a bunch of boiler plate code to interact with the large data providers, at this point my second priority is just ergonomics and that means a decent client library that's dependency free (looking at you Bloomberg with your blpapi package) and has support for batch and streaming data.
From what I understand it seems like upon initial release, the Polygon folks did have some data quality issues, but based on my own experience and anecdotes in /r/algotrading they've significantly improved. Can't really provide anything more concrete than that though, sorry.
Another provider I like is Intrinio, they have some pretty interesting methods for automating QA, esp for some of the more unstructured data like 10-K's and 10-Q's.