Live Quotes and ALSI Futures

[#1]

Does anyone know where you can access live information on JSE prices, esp ALSI index and futures prices and order book information? Of course, you can see this information live here but I'm interested in server/API access to get the information via HTTP requests in JSON or XML so that I can write code to automatically process this data. On a separate note, what's your experience of the divergence between the ALSI futures and the actual ALSI? Are the futures highly liquid or does lack of liquidity sometimes force the price of the futures away from where they should be? Even more separately, what's your experience with the roll over period in futures? Is it unadvisable to let your futures roll into the next periods? Are their any explicit or implicit costs involved in doing this? Thanks! Richard

[#2]

You can get live pricing from other brokers, Standard Bank refuses 3rd party software, but other brokers like DWT, use Swordfish, which in turns allows you to export (using DDE) live pricing to Excel, Amibroker, etc.
Theres noone that provides live prices for free though.

There is divergence, somewhat often between ALSI and Spot.
Theres a formulae that works out the exact difference, some days ALSI is trading at a premium (if everyone is extremely bullish) and other days it trades at a discount (if bearish).

Dont ask me how they calculate that difference, not a clue.
I know there are ppl that try to arbitrage this (long ALSI and Short Topi, etc) but I dont really understand it or know how to do it.

Hope that helps.

[#3]

Thanks a lot.