John: What do you mean by "can you download the data at 3:00?" 3:00 EST?, as in 1 hour before the close? I don't know of any such service, and the mechanics of it is pretty messy (if you mean an entire database). Open, high, low, and close are fixed events, so the quotes within an end-of-day database don't have to be synchronized (i.e. a close is a close). Intraday, you can't simultaneously get real-time best bid/ask on ALL stocks at a given instant, and I don't know of any service where you can specify a time of day for the (best) bid/ask (unless you do it manually, one stock at a time). Also, this addresses NASDAQ NMS issues only, and not auction markets, where a "quote" has different implications. You can get intraday data for individual issues, as I'm sure you know, but that doesn't sound like what you want. Since your DCC scan depends on the availability of such a service, seems like your only hope is to have a couple in mind and follow them manually intraday. If you do happen to find something close to what you're looking for, please post.
dh |
