Polygon.io

[Tangy]

Hello! I'd like to open the discussion of having a Bookmap Connect plugin developed to allow for connecting to Polygon.io.

The goal is to enable Bookmap to access consolidated quotes (limit orders in the books) and trading feeds that cover 100% of US equities trading. This is 16+ exchanges plus dark pools as seen here: https://polygon.io/stocks

I've used dxfeed and they truly offer a great service. However, it seems like it is only one piece of the whole picture. By enabling data from Polygon.io, we can access the entire scope of trading and liquidity.

Anyone else interested? If not, I may have this developed privately at my own cost.

Plugin Scope Suggestions
- Ability to pull more than 24 hours of historical quote and trade data from the Polygon.io RESTful API
 

[bucks]

I would be interested in this as well!

[bucks]

Need more than 24 hours of historical book data on equities

[Tangy]

Need more than 24 hours of historical book data on equities

I'll add this to the development scope. In theory we should be able to pull as much historical trade and quote data as needed through the Polygon API. How far back do you think is a reasonable limit? A week?

[bucks]

A year would be awesome but really max would be the farthest you can zoom out without data being garbled

[Tangy]

A year would be awesome but really max would be the farthest you can zoom out without data being garbled

I doubt that you would be able to get a year's worth of data into Bookmap.

Also, after communicating with the Polygon.io team it doesn't appear that this will be usable/feasible right now as they do not provide any Level 2 (depth of market / limit order book) data for any exchanges.

That is coming later this year, so I will follow up then. For now, it's on hold.