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 | Weekly | $25 | |
| One Minute Quick Delivery | $85 (per symbol?) | 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
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§ion=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
*/
Email this page
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.