Hi, I am used to use the yahoo.com, R, and Python, etc. I wonder how to retrieve the above data, with dimension of 1200 rows and 500 columns. In case the computer capacity is over, it is fine to reduce the row and columns. Thanks in advance.
So what are the fields you require? Date, Close? Date, Open, High, Low, Close? Date, Open, High, Low, Close, Volume? Date, Open, High, Low, Close, Volume, $ traded volume? Are you aware that the S&P 500 open only represents the stocks that actually open at 09:30:00.000? Do you want to represent the tape open for the constituent stocks or the primary-exchange open? Do you want the volume/$ traded volume to represent the tape volume/$ traded volume? Are you aware that volume-eligible trades occur pre-and-post market open/close? "The computer capacity is not over."
You didn't answer all of the questions. Therefore go to Yahoo and use their free data. It's got flaws in so many ways but is probably fine for your undisclosed requirements.
Sorry for late reply. Here is a picture of dynamic Excel that I used many years. Although this is Excel VB, other program will be same. Those 4 OCLS in each stock changes during the day time. Note the Asian letter implies Symbol, stockname and OCLC. I like to find someone who can convert this Excel VB code to R/Python API, for IB/TradeKing. I can show VB code if needed.