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Sources for Intraday Historical Stock Data

in:

For back testing possible automated systems for use by a hedge fund, I have a need for 2 years of 1 minute intraday stock data, with at least monthly updates. I might as well publish the research I've done so far...

There is no real order below, I chose {possibly eoddata (if they can get their act together... See comment(s) below}

If you have a source that isn't listed, please add it in a comment.

Thanks,
Michael

========== Research Finished On ==========

Data Downloader, by Volumedigger
http://www.volumedigger.com/Software/Data_Downloader.aspx

Free
10 days of 1 minute intraday through Google Intraday Stock Quotes Backfill

Price Data
http://price-data.com/
(bumps you to grainmarketresearch.com at some point)

"The One Minute Data on Exchange Traded Funds package offers one minute data files on current Exchange Traded Funds. Our data is in ASCII format, verified for accuracy and is versatile in most major charting programs."

Delivered on CDROMs or FTP links via email.

What it would cost me: $499.99 + $??/month

Their Costs:

Product Cost Delivery Method Update Frequency Cost / Month
One Minute Data on Exchange Traded Funds $499.99 CDROMs N/A?
One Minute Quick Delivery Special $200 Email Weekly $25
One Minute Quick Delivery $85 (per symbol?) Email Weekly $20
One Minute Stock Data on All US Stocks (2008-present) $2,000 N/A?

Product descriptions are scattered all over the site, I collected what I needed, if your needs are different, you'll have to dig it out yourself.

Free Trial?
Doubtful, but I didn't scour their oddly layed out site either.

Information:
RC Research
3600 Dallas Highway, NW
Suite 230, PMB 145
Marietta, GA 30064-1685

CQG
http://www.cqg.com/

They have seven plus years of intraday data. They provide much beyond just selling historic stock data.

What it would cost me: $120? + $5/month (per symbol!)

Their Costs:
Standard Pricing (per commodity per calendar month)
Equities, 1 min intraday, $5.00/month

I couldn't find any sort of complete US stock market bundle. ~6,000 US symbols times $5/month = way too much...

Other Notes:
- "New customers can claim a 20% discount on first-time orders by entering the code 'Web' at checkout."

Referral Program:
"Let us know who else would benefit from our services, and we will then reward you with a one-time $250 credit!"

Free Trial?
Sample data at cqgdatafactory.com/?page=orderSample

Information:
Independence Plaza
1050 17th St., Suite 2000
Denver, CO 80265

CQG®, DOMTrader®, SnapTrader®, TFlow®, TFOBV®, TFOBVO®, TFVOL®, and Data Factory\u2122 are trademarks of CQG, Inc.

tickdatamarket
http://tickdatamarket.com/

More than 15 years of 1 minute data. Symbol list on request, so not really sure if they have what I want.

What it would cost me: Insane!

Their Costs (Euros):
Price for one complete symbol :
- 1 minute data : 280 Euros

Price per symbol per month
Stocks - 1 minute data : 3,50

50 Euros minimum order

Other Notes:
- 40 years EOD and 10 years of tick data.

Free Trial?
Didn't check.

Information:
tickdatamarket.com is a web service of Systrade company
Systrade Nº RCS 440 297 414 - RCS POITIERS - FRANCE
-Franchise de TVA- Déclaration CNIL n¡1151675

IQfeed
http://www.iqfeed.net/

Intraday 1 minute Stock/Futures/Indexes back to May 2007.

What it would cost me: $115 + $65/month

Their Costs:
One-time Initiation Fee: $50.00
Monthly Basic Fee: $60.00
Monthly Exchange Fees: $5.00
Monthly Premium Fees: $0.00
MONTHLY RECURRING FEES: $65.00
TOTAL FIRST MONTH FEES OWED: $115.00

Other Notes:
- They provide a data feed, not data.
- "And it works perfectly under wine on Linux."

Free Trial?
Yes, https://www.iqfeed.net/index.cfm?displayaction=start

Information:
IQFeed, a Telvent brand
Telvent DTN
9110 W. Dodge Road
Omaha, NE 68114

Pi Trading
http://pitrading.com/

Sell CD ROMs with historical intraday ASCII data. The current CDs have data through April 30th, 2010. There is no mention of obtaining updates.

What it would cost me: Useless without updates.

Their Costs:
Market Edition is $159
("240 of the most popular and actively traded symbols for stocks, indices, futures, and forex")
Stocks Edition is $159
("over seven years of one-minute intraday historical data for over 1100 of the most popular and actively traded stocks")
Market and Stocks Bundle is $249
(combines both of the above)

Other Notes:
- They also sell off the shelf trading systems. Unfortunately they don't provide results data beyond 2008.
- Found reference that their data pre 2005 is error prone.

Free Trial?
No. They have sample data off of this page, pitrading.com/intraday_ascii_data_market_edition.htm .

Information:
Pi Trading Corporation
Can't find anything else

Kibot
http://www.kibot.com/
(Oricode, Inc., oricode.com)

40 years of daily data and over 10 years of historical, one minute intraday data delivered in ascii Date, Time, Open, High, Low, Close, Volume (OHLC) format.

What it would cost me: $600 + $15/month

Their Costs:

Product Cost Start Date Files (Symbols)
All ETFs $600 Jan 1998 839
Top ETFs $250 Jan 1998 50
S&P 500 $600 Jan 1998 550
S&P 100 $300 Jan 1998 110
NASDAQ 100 $300 Jan 1998 110
DOW 65 $250 Jan 1998 71
DOW 30 $150 Jan 1998 36
Russell 1000 $700 Jan 1998 1100
Russell 3000 $1,000 Jan 1998 3300
Indexes and Indicators $500 Jan 1998 377
Quarterly data updates for one year Free
Montly data updates $15 per month
Weekly data updates $30 per month
Daily data updates $100 per month

For any interval greater than or equal to 1 minute. One time purchase and updates aren't included, you have to sign up for recurring billing.

They do include pre-market and after-market transactions.

Other Notes:
- Uses ShareIt! and Digital River for payment processing.
- Has an affiliate service, 20%, http://www.kibot.com/Affiliates.aspx

Free Trial?
No. They have a sample data file, linked to at kibot.com/Support.aspx

Information:
Oricode, Inc.
Djordja Vojnovica 90
Indjija 22320
Serbia

Commodity Systems (CSI)
http://csidata.com/

Not very usable... To get raw ascii data, CSI's website says you must run its Windows software and export to raw ascii data format. You can also use their API, but the implication is you're still going to have to run their software to make a data pull.

What it would cost me: $83.25 + $33.25/month

Their Costs:
Standard Packages

Product $ Setup $ Month / Yearly
North American Futures $60 $36.54 / $313
World Futures $135 $63 / $540
Single-Stock Futures $40 $11.20 / $96
U.S. Stocks & Indices $50 $33.25 / $285
Non U.S. Stocks & Indices $60 $28 / $240
Mutual Funds $40 $16.38 / $140
U.S. & Foreign Stocks, Indices, & Mutual Funds $100 $43.75 / $375
World Options $175 $55.44 / $475
Budget Market Mix $50 $22.99 / $199

Monthly billing generally includes 5 years of historical data. You can extend the years of historical data for an additional fee.

Yearly billing generally includes 10 years of historical data.

Deluxe Packages are more and include full historical data for futures and stocks.

Deluxe Packages

Product $ Setup $ Yearly
North American Futures $200 $500
World Futures $300 $708
U.S. & Foreign Stocks, Indices, & Mutual Funds $300 $600
World Options $400 $4600

Free Trial?
No, they have a 30-Day Trial of "Unfair Advantage" for $20, csidata.com/ua/trial/index.html
"You have access to all markets in the CSI database, but is limited to a daily limit of 49 futures and 7500 stocks. It includes 1 year of history on all markets, except options which only have 3 months history included."

Information:
Commodity Systems, Inc
200 W. Palmetto Park Road, #200
Boca Raton, FL 33432
Toll Free: (800)274-4727
Phone: (561)392-8663
Fax: (561)392-7761

Tick Data
tickdata.com

Utter Bullshit!

What it would cost me: $12,350 + $7,060/year

Their Costs:
(One Minute Trade Data, Available Dates: 01/02/1993 - 05/05/2010)

Product $ Initial $ Yearly
Complete database, all symbols back to database inception $41,000 $7,060
Complete database by year, all symbols for 1 year $7,060 $7,060
Complete database by year, all symbols for 2 years $12,350 $7,060
Cost per symbol for one year $15 $15

Notes:
- Uses hokey "no copy" bs. Easily defeated though.

Free Trial?
Sorta... Has demo versions of "our TickWrite 7 and Time Series Builder software applications that include sample data."

Information:
Tick Data
10134-G Colvin Run Road
Great Falls, Virginia 22066
a division of Nexa Technologies, Inc., a wholly-owned subsidiary of Penson Worldwide, Inc. (NASDAQ: PNSN)

Automated Trader
http://www.automatedtrader.net/

"Each package provides every Nasdaq traded stock with data available from January 2005."

What it would cost me: Doesn't offer the ETFs I desire.

Their Costs:
One Minute Bar Data (OHLCV), Jan 2008 - current, £1250

Information:
Automated Trader Ltd,
61 Leconfield Road,
London,
N5 2RZ
Switchboard: +44 207 183 2211
Fax: +44 20 7183 4039

TradeStation Securities
http://www.tradestation.com/

"TradeStation includes 6 months of tick-by-tick data, plus over 18 years of intraday (minute and above) data" Start date for the data set I desire (NYSE Stocks) is 01/01/1991.

What it would cost me: $0 + $100/month

Their Costs:
Brokerage Customer, $99.95/month or free with 5000 equities traded per month.
Non-Professional, Subscription Customer, $249.95/month

Other Notes:
Possible future broaker, need to explore their automated system and if you need a client running to execute trades.

Free Trial?
Demo account?

Information:
TradeStation Securities, Inc.

EODData
http://www.eoddata.com/

Sell End of Day data with limited intraday historical data.

What it would cost me: $NA + $20/month

Their Costs:
Platinum membership is $19.95, which would include the last 30 days of intraday historical data and allow daily updates with their "DataClient."

Free Trial?
Yes for EOD data.

Other Notes:
They reply promptly to sales inquirely emails (below).

Hi Michael,

Sorry, we can only provide 30 days worth of intraday historical data.

You will need to subscription to the platinum service to access the intraday
data.

Kind Regards,
Nick Kruger | Customer Service

Information:
EODData, LLC
444 N. Michigan Ave, Suite 1200
Chicago, IL 60611

========== Research in Process ================

========== Researching Next ================

http://www.paritech.com.au/
http://www.premiumdata.net/
http://www.kinetick.com/

=================================================

Other Notes:
- Nice list of analysis software, http://www.iqfeed.net/index.cfm?displayaction=data&section=software

- Swiped from AmiBroker Yahoo Group:
http://finance.groups.yahoo.com/group/amibroker/messages/150001?threaded...
// To do longer term back testing, you would need to obtain lengthier historical options data. Some sources are listed below.
// Please verify this information yourself. It was gathered from their sales reps in May 2010.
/*
LiveVol: trade and 1 min bid/ask, starting 1/04
TickData: tick bid/ask and 1 sec close, starting 7/04
iQFeed: trade bid/ask/last, starting 1 month ago; 1 min bid/ask/last, starting 5/07
eSignal: tick bid/ask starting up to 60 days ago, bar bid/ask starting up to 120 days ago, day bid/ask starting up to 1 year ago
OptionVue: 30 min bid/ask, starting 1/2/01
Ivy DB: day bid/ask, starting 1/96
iVolatility: day bid/ask, starting 11/1/00
HistoricalOptionData: day bid/ask/last, starting 2/02
Stricknet: day bid/ask/last, starting 1/2/03
*/

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Ticker Symbol

Lookin for a source, preferably free, for US Equitys ticker symbols. Update weekly would be nice. Any thoughts? I would then use my RT data for data.

Thanks,

John

Replying to my Q. I found a

Replying to my Q. I found a source for symbols.
http://www.iqfeed.net/symbolguide/index.cfm?symbolguide=lookup&displayac... a>

It downloads as a zip. Open it uo it is a text file. Unfortunately it is a HUGE file. Excel won't sort it. Need to find a app that will.

Also, if you use Amibroker, IQ has a special deal.
http://www.amibroker.com/iqfeed.html a>

John

Did you ever find any decent

Did you ever find any decent low-cost sources?

Intraday Sources

"Lookin for a source, preferably free, for US Equitys ticker symbols. Update weekly would be nice. Any thoughts? I would then use my RT data for data."

John, I was on a similar search a couple weeks ago and decided to go with the Pi Trading Stocks Edition (http://pitrading.com/intraday_ascii_data_stocks_edition.htm) based on the information on this blog along with my own research and other online reviews. I ordered and received the July DVD update last week. My search criteria was intraday data (minute time frame) for US stocks for use with NinjaTrader and AmiBroker. I was more interested in quality than price in my choice, but all 3 vendors are competitive.

Of the sources listed, I narrowed down to 3 intraday discount vendors: Price Data/Grain Market Research (http://price-data.com/), Pi Trading (http://pitrading.com/historical_data.htm), and Kibot (http://www.kibot.com/). I wish I could afford to look at Tick Data (http://www.tickdata.com/), but the prices are ridiculous; they even have a minimum order amount.

The deciding factor for me was the features and quality of the data. I require volume information for my back testing (OHLCV). By comparing sample data from the 3 vendors, only Pi Trading included accurate volume information for stocks. In fact, Price Data/Grain Market Research does not include the volume field. Price Date includes the following disclaimer on their page: "Data Format: Files are Comma Delimited ASCII format with a *.txt file extension. Field order is Date, Time, Open, High, Low, Close". I found a few online posts with references to issues with Kibot volume history, but I could not compare with my real-time data as the Kibot data was not synchronized on the close price of each minute bar.

Michael, Thanks for the comprehensive collection of data sources. You might be interested in the following tidbits I found when doing data search. I was only interested in intraday (minute) data, so my focus was in that area.

- Price Data/Grain Market Research does not include a volume field in their price history.
- Price Data/Grain Market Research & Pi Trading include standard session data (no pre/post market).
- Pi Trading data is updated monthly through the first Friday of the new month. A return customer discount program is available for updates.
- Price Data/Grain Market Research is updated monthly through the last weekday of the month. An automatic update program is available for updates.
- Kibot & Pi Trading data is adjusted for splits.
- Price Data/Grain Market Research does not adjust their intraday data for splits.
- Note to NinjaTraders users: NinjaTrader requires a special format for their txt data importer. Pi Trading provides a utility (free download) on their site to automate the conversion so their data can be imported into NinjaTrader. KiBot will convert their data before shipment to NinjaTrader with 24 hour turnaround.

A quick suggestion: It would be helpful if your source list was broken into intraday, end-of-day, and real-time categories.

-I hope this helps.

-Michael

Intraday data

Hi Michael,

We now have intraday history back to 1 Jan 2009 available for purchase: cost $10/month/exchange
Data back to 1991 is currently being loaded for AMEX, NASDAQ and NYSE.

So... within the next month we should have 1,5,10,15,30 and 60 minute bars back to 1991

For more information visit: http://www.eoddata.com/products/historicaldata.aspx

Regards

Andrew Fox
CUSTOMER SERVICE
eoddata.com

Still can only order 1 month :(

Hi Andrew,

I already sent a support ticket, but just for readers knowledge, eoddata's order process has a bug(?), in that you can't order more than one month of intraday data. If you fill out the form for 18 months and click 'Buy', the Shopping Cart only contains a bill for one month...*

I'm sure they'll fix it soon....

Michael
* I could try to "Order" 18 times? But that seems really painful...

######## Update ###########

Subject: Re: Intraday data
Date: Sunday 01 August 2010, 7:39:15 am
From: Michael
To: eoddata.com

Hi Andrew,

Based upon your comment on my site, I signed up as a Platinum Member, and immediately ran into a few problems...

1) Using the DataClient, only the last two days of intraday data would download (AMEX, NYSE). I could get back to Jun 30th on the website single day download form, but obviously that's useless for backfilling purposes.

[FIXED: Use URL http://www.eoddata.com/myaccount/buyhistoricaldata.aspx ]
2) The Shopping cart for past intraday data has a bug. You can select 18 months on the "PURCHASE INTRADAY HISTORICAL DATA," but once you hit "BUY NOW" the shopping cart only has 1 month in it:

Type
Level
Name
Quantity
Amount

Intraday
UPGRADE
AMEX Intraday History
Add a month to intraday historical access
1
$10.00

[RESOLVED: Got a nice reply from Nick on Sunday that fixed item 2) ]
3) The web support ticket I sent in Friday was never responded to. I didn't even get the normal automated, "We've received your request, ticket # is ..."

###

I'm looking for the full 18 months of AMEX Intraday History, please call me so I can get this ordered.

Thank you,
Michael

###
[Update: Wed, Aug 4, 2010, 1:48PM EDT

Not sure I like their support much. There have been no automated replies to any tickets I've sent in, telling me they received the ticket. I've sent in 4 so far, 2 webform and 2 email, with the last ticket on their webform crashing with a 500 internal server error. I don't think they even get emailed support tickets, as the one I sent in Sun, 1 Aug 2010 07:39, still hasn't been replied too.

Current issue:
After taking a day or so for the DataClient to realize I had purchased the 18 months of AMEX data, a day or so to download the data (probs with that too) and then I find out it's not adjusted for splits.

I'm feeling like a guinea pig not a "Platinum" member...

###
[Update: Wed, Aug 4, 2010, 2:08PM EDT

ROFMFAO I tried to resubmit the ticket with Opera, instead of Firefox. Got Server Error (Error:500) there too.

Thanks for the resource

This page has just saved me so... many.. hours.. of wading through all the BS. Thanks for the great resource! Any follow up or review of the services listed here? Did you play with any of them?

Cory
mawhorter.net

Thanks for sharing your

Thanks for sharing your research.
I did similar research and looked basically into the same providers.
One you may want to also look at is e-signal (more exactly their data feeder e-data).
I see you want to research kinetick. I believe they only provide data through Ninja Trader, so useless unless this is your system.
Do you have any insight into forex data?
Thanks.

There are some new products

There are some new products and data intervals on [deleted for spam]'s web site. Free tick-by-tick data going back to 2009 is available for some stocks. Also, free full history since 1998 is available. Great if you want to plugin their data into your software and analyze it before making an actual purchase.

Spam Alert

Warning to moderators: the above link is spam.

Marcos, likely a paid affiliate, has posted this same message/link over 17 times (google search count) on various trading forums in the month of April.

Thanks Jason, I had already

Thanks Jason,

I had already made it a non-usable link, I'll remove it entirely.

Best,
Michael

Updated feed list?

Thanks for the helpful guide, however when researching each feed, I have found some of the info to be out-of-date or not valid.

Any chance you are going to update the list? If you want my notes, I can forward them to you.

Hi Rob, I doubt I'll go back

Hi Rob,

I doubt I'll go back through the research to update this anytime soon, so: Please add your info as a comment and I'll link to it from the main body.

Best,
Michael

I look at QuantQuote

I look at QuantQuote (quantquote.com) which not on you're page

Minute resolution: split/dividend adjusted, split/dividend/earnings data, symbol changes, survivorship bias, all include. 1998-Present
DJIA - $150
DJ65 - $250
S&P 100 - $350
S&P 500 - $700
Russell 1000 - $1000
250 ETFs - $400

Possible to buy custom list of symbols with custom date range, online price calculator.

I also enquire about other data offering not show on website:
Tick resolution:
NYSE & NASDAQ & AMEX - $100/week
Minute resolution daily update for Russell 1000 - $75/month
Live Feed (~250ms update interval, unlimited symbols) - $300/month + exch fees

If anyone has feedback about their data, please tell to me.
Thanks!

Commodities Intra-Day Data

Michael - the research you put together is excellent and I am very appreciative.

I was looking for 1 min intraday data for commodity futures (specifically CBOT grains) with a daily subscription. After extensive research, it seems only CQG and eSignal offer this product. If you or any others can find another competent source, please let me know.

Thanks,

VK

I posted this on ET (elite

I posted this on ET (elite trader) earlier today, but since this was linked in that thread, I feel compelled to post this here as well.

In short, Kibot data is very very poor quality and I recommend everybody stay away. My customer service experience with them has been poor, problems take a long time to fix IF they fix them, and they even try to charge you money to fix their own mistakes. Google around and you can see numerous examples of bad kibot data.

I can give a thumbs up to QuantQuote (quantquote.com), at least they fix their problems quickly if you manage to find one (I have only found one so far and it was very minor) and are willing to give free support. The same really can't be said for Kibot. Buyer beware!

A new source of intraday data

Hi Michael, you probably have the best list of historical intraday data sources. Consider adding my company's offer: historical-intraday.com.

There are more than 2000 stocks in the data files and data goes back up to 2010. Data is in csv format, intervals are 1-minute. Data tested for completeness.

Price is the lowest on the market and we'll be able to provide good customer support should it be required. Price is US $149.

Vladimir, your site is so new it's not even ranked! Also, a question: How does your data account for splits? Michael

Lease Instead of Buying - More Affordable

Thanks for a great and very comprehensive list of intraday data providers.

I just want to add some notes of my own.

Buying Data:

Professional/Institutional Data. TickData.com has widest selection but very expensive. For US equities talk to QuantQuote.com

Retail: Kibot and Pi are far less expensive but the data is problematical.

Leasing Access:

Professional/Institutional: QuantGo.com gives access to years of institutional intraday data (tick and bars) for relatively low monthly price. XIgnite.com has a pay as you go model but it can get expensive quickly as you are paying per "hit".

In summary, if I only need a small amount of data one time then I will use QuantQuote.com and if I need lots of intraday data from different years or asset classes then I am using QuantGo.com

QuantQuote Review - Overall poor data quality

Based on the recommendation above, I decided to purchase some price data from QuantQuote for an upcoming project. Due to the large amount of history required, we were trying to find an alternative over the traditional research vendors.

For the evaluation, I ordered the DJIA minute resolution package containing the companies from the Dow Jones Industrial Average. For the comparison, I was using historical data from previous projects as supplied by TickData and CQG. I was also using our current quote vendor (Bloomberg) but their backfill is limited.

Now for my observations:

Incorrect Dividend Adjustment Method

The data is "already" adjusted for corporate events. However, I found the adjusted history to be useless and had to revert to using unadjusted prices in my evaluation.

When trying to align the data with my other test vendors, I was unable to synchronize parts of the history. After a long walk-through of several files, I found the QuantQuote data was occasionally missing dividends. Not all declared dividends were being accounted for in the history. This problem was not limited to a single symbol. Issue confirmed using the CBOE adjustment history and CSI.

Erroneous bar data

I found several instances of the open or close of a one minute bar being outside the range. example: It is not possible to have a close price above the high of the bar. I was under the impression the data was filtered for bad-ticks.

Overall bad data quality

Performing a statistical analysis of the O-H-L-C prices between four vendors, I compared each price field individually and only used regular session history. Again, I had to compare unadjusted prices only as the QuantQuote method had too many errors to reliability align the data between sources.

I found the QuantQuote data to have an unusually high number of outliers and divergences compared with with the other vendors (TickData, Bloomberg and CQG). I plotted and analyzed my results in Excel but could not find how to post the charts in this forum.

I understand no data source is perfect, but unless you have the time and resources to manipulate the data into shape, I would avoid QuantQuote for any serious project.

Understandably, Tickdata is the best. Bloomberg is a close second is quality, but has limited intraday back-fill. I have some additional data on order from other vendors mentioned on this thread and will try to evaluate over the next few weeks.

I would welcome the experiences and suggestions on other sources to consider.

QuantQuote Review

Hi Jonas, I observed some similar traits in the QuantQuote dataset, e.g. some outliers in the data and I talked to their support team about this and figured out the reason for it.

Basically, QuantQuote has two datasets. One is the "cleaned" dataset, and the other is the "raw" dataset. For some time, they provided the raw dataset as the default since their offering are geared towards Quants. The philosophy is that since bad ticks to come in through the tape, if you are a high frequency quant trader, your algos will actually see the bad ticks. So to trade realistically, your algos should be trained on raw data.

Apparently, QuantQuote got a number of complaints about this so since May 2014, they have switched back to the clean dataset as the default, which filters out all bad ticks. I simply emailed them and asked to get data from the clean dataset instead and those files didn't have any outliers. I would recommend emailing them to ask for your data, but from the clean dataset.

Cheers,
Fahad