One of the market data feeds that I spent some time investigating was the Quant House intra-day tick data feed. Quant House is one of the few tick data feed vendors that support a Java API for their data feed. This feed is accessed via a VPN connection, which is somewhat awkward. This page consists of the notes that I wrote while I was trying to get this feed to work under Fedora Linux.

VPN on Linux

In the PPTP GUI there is an Encryption tab. The require-mppe box should be unchecked. The Refuse authentication with EAP (refuse-eap) box should also be unchecked. These seem to be checked by default. If you uncheck them, make sure you click "update". When I first set up the PPTP I'm not sure that I did this. So I changed the peers configuration file:

To setup the gateway, use the command

Once this is done, it should be possible to ping the market data connection address:

VPN doesn't seem to be a single defined protocol, in the way that the Internet protocols like TCP/IP are. There are several encryption protocols that VPN may use. One of these is SSL. The Linux openvpn uses SSL. Open VPN is a nightmare. The command has a vast number of flags and it appears that you have to be knowledgeable about VPN to get it to work at all. OpenVPN is documented (if you can call it that) on the site openvpn.net. A tutorial on VPN can be found on this site as here.

Apparently there is also VPN over PPP (Point-to-Point Protocol). Fortunately this is what Quant House uses./p>

The PPTP Client application can be downloaded from http://pptpclient.sourceforge.net/howto-fedora-core-6.phtml. The command is then under the Internet menus, under applications (Applications --> Internet --> PPTP Client).