I’m in the process of developing an external application that can send, modify, and manage orders through the Tradovate API. I also want the application to retrieve account information, including account balance, account status, and current P&L for each position, including both open positions and positions that have been closed during the trading day.
I already have much of this functionality working. The issue I’m running into is with real-time P&L updates. The account and position information returned through the Tradovate API does not appear to include the real-time market pricing needed to continuously calculate unrealized P&L.
As I understand it, the application needs access to a real-time market data feed in addition to the Tradovate API in order to obtain current prices and continuously update the P&L for open positions. That real-time market data does not appear to be included automatically with the API connection.
Can anybody here tell me how you are getting real time feeds for CME futures for a reasonable price?
Thanks