The exact date of when hot dogs were first sold at baseball games is not known. Some say that St. Louis Browns owner Chris von der Ahe (1851-1913) first served frankfurters at his St. Louis ballpark in 1893. Others say that “caterer to millions” and “hot dog king” Harry Mozley Stevens (1855-1934) first introduced hot dogs at a New York Giants baseball game in the Polo Grounds, some time between 1900-1906. (See the “hot dog myth.”)
 
The period of 1900-1905 is when citations first appear for hot dogs and baseball.
 
 
Wikipedia: Chris von der Ahe
Christian Friedrich (or Frederick) Wilhelm von der Ahe (November 7, 1851-June 5, 1913) was a German-American entrepreneur, best known as the owner of the St. Louis Browns of the American League, now known as the Baltimore Orioles.
 
infoplease
Harry Stevens
food industry executive
Born: 1855
Birthplace: London, England
Having emigrated to Ohio in 1882, he quickly established himself in the business of providing food to sports fans and conventioneers. In 1887 he won a concession at a baseball park, and by the turn of the century had begun selling hot dogs in rolls at the New York Polo Grounds. He was responsible for replacing the traditional ice cream and lemonade concessions with franks, peanuts, and soda. The business was left to his son, Frank M. Stevens (1880–1965), under whose direction it continued to grow.
Died: 1934
   
Chronicling America
31 May 1903, New York (NY) Sun, fourth section, pg. 2, col. 7:
AT THE OPEN LOT GROUNDS.
Frankfurters and Ice Cream Instead of
Peanuts at a Ball Game.
Peanuts are sold to the patrons of the national game at the Polo Grounds, frankfurters and ice cream to the spectators of the great game on the vacant lots ground on Sunday.
 
At many a one of these Sunday games the interest in the sport is great and the crowd large, and the frankfurter seller and the ice cream vender make for them as they would for a fair or for any holiday gathering. Here, in the intervals between the “Three balls!” or the “Strike!” of the umpire and the good-natured chaff or friendly cheers of the rooters for one side or the other, you hear the warble of the frankfurter man:
 
“Here they are, now, and they are all hot.”
(...)
Picking up one of his long torpedo-boat shaped rolls in one hand, he lays it open fro m tem to stern with one single swift swipe with a knife held in the other. With a single jab into the boiler he spears a sausage, and lays it along in the cleft of the roll, and, then, before you realize what he’s up to at all, he has swept down over the length of it with a spoon out of the mustard pot and left on the sausage a trail of mustard.
 
Finished? Not yet. Again he forks into the boiler and brings up this time a little bunch of hot sauerkraut, which he lays on the sausage, closing now the roll upon both, some fringe of the sauerkraut projecting appetizingly, and hands the whole over to the waiting small boy, in just no time at all. Three cents.
(...)
Peanuts at the Polo Grounds, ice cream and frankfurters at the grounds of the open lot.
 
LA84 Sports Library
20 May 1905, Sporting Life, pg. 3, col. 3:
One of the natural advantages of the Polo grounds is a runway built from the elevated railway structure leading on a gradual slope to the entrance and passing through what was once Manhattan Field. A local Alderman, urged on by the frankfurter men and other peddlars outside the ground, is trying to have the structure declared illegal and removed.
 
Chronicling America
10 September 1905, Los Angeles (CA) Herald, “On the Bleachers,” Sunday Supplement, col. 4:
On rapture’s field a spurter
I gamble full of fun,
And munch the old frankfurter
Within the burnished bun.