been running both for 8 months now.
time for an honest comparison.
why both #
polygon.io: primary equities and options quotes
thetadata: greeks, IV surfaces, historical options data
redundancy + specialized strengths.
cost breakdown #
polygon.io stocks unlimited:
$199/month (annual prepay)
includes: real-time quotes, trades, L2 for all US equities
options: basic chain data, no greeks
thetadata professional:
$99/month
includes: full options chain, greeks, IV, historical data
no equities focus
total: $298/month
vs competitors like Bloomberg terminal at $2,000+/month? yeah I’ll take it.
data quality #
polygon.io strengths:
- rock solid uptime (99.97% in my logs)
- websocket reconnection is seamless
- tick-level granularity
- excellent API documentation
- python library is clean
polygon.io weaknesses:
- options greeks are delayed/estimated
- IV data is basic
- no historical options chains before 2019
- rate limits can hit during high volatility
thetadata strengths:
- greeks are real-time and accurate
- full IV surface with term structure
- options history back to 2007
- bulk historical downloads
- great for backtesting options strategies
thetadata weaknesses:
- websocket can be flaky during spikes
- python library is… functional
- customer support is slow
- documentation could be better
latency comparison #
ran tests over 30 days:
polygon.io websocket:
- median latency: 8ms
- p99 latency: 42ms
- reconnection time: <500ms
thetadata websocket:
- median latency: 15ms
- p99 latency: 180ms
- reconnection time: 2-5 seconds
polygon wins on raw speed. but for options greeks, thetadata’s accuracy matters more than 7ms.
my setup #
# data aggregation layer
class DataAggregator:
def __init__(self):
self.polygon = PolygonClient(api_key=POLYGON_KEY)
self.theta = ThetaClient(username=THETA_USER, passwd=THETA_PASS)
async def get_option_quote(self, symbol: str, strike: float,
expiry: str, right: str) -> dict:
# quotes from polygon (faster)
quote = await self.polygon.get_option_quote(
underlying=symbol,
strike=strike,
expiration=expiry,
call_put=right
)
# greeks from thetadata (accurate)
greeks = await self.theta.get_greeks(
root=symbol,
strike=strike,
exp=expiry,
right=right
)
return {
'bid': quote['bid'],
'ask': quote['ask'],
'mid': (quote['bid'] + quote['ask']) / 2,
'delta': greeks['delta'],
'gamma': greeks['gamma'],
'theta': greeks['theta'],
'vega': greeks['vega'],
'iv': greeks['iv'],
'source_quote': 'polygon',
'source_greeks': 'thetadata'
}
best of both worlds.
for algo traders #
if you only pick one:
- pure equities/futures → polygon
- options-focused → thetadata
- both → both (obviously)
budget option:
polygon starter ($29/month) + thetadata basic ($25/month) = $54/month
gets you started. upgrade when profitable.
community perspective #
lots of discussion on this topic at NexusFi trading reviews. the consensus there is similar - polygon for speed, thetadata for options depth.
some folks there use IEX cloud as a third fallback. I’ve considered it but haven’t needed the redundancy yet.
cpi day #
today’s cpi came in. markets volatile.
both data feeds handled it fine. no issues.
my mean reversion algo triggered first signal during the spike. long QQQ at -2.3 z-score.
2:26am thursday. polygon.io vs thetadata comparison after 8 months. polygon: faster ($199/mo), better uptime, weaker options greeks. thetadata: accurate greeks ($99/mo), full IV surface, slower websocket. running both for $298/mo total - polygon for quotes, thetadata for greeks. cpi day went smooth.
-AK