Hello, What are some free/cheap sources to get historical intraday data? Requirements: - Intraday data (ideally 5-10 minute intervals however smaller intervals are okay) - Nasdaq market over the past 6-10 years (including stocks which no longer trade) Thanks
www.quandl.com www.eoddata.com or you can use qcollector to get intraday data out of esignal classic or iqfeed.
There are no free source of intraday historical data. Especialy for the past 6-10 years. The only free way to get it is to find a stock chart provider who provides an ability to scroll back in the history and scroll the each stock back in history and bar by bar write the data down - humanly impossible especialy if you want 10years history. One of the cheapest way would be contact DTN (NxCore) and buy historical tapes (raw stock market data). You have to contact them and talk to them as it is not their main service, but as was doing some research in this field and I know they do it for sure. It may cost you several thousands bt it as the cheapest I found. At the end you will get exteranl USB drive with raw data. This is not going to be the end, then you will have to exract data from the historical tapes (tick data) and compile 5-10 minute data The only other way I see is to contact each stock chart provider to see whether they are able to set you custom order and do it for you.
I haven't looked into Qcollector much but it does look like a great tool to manage my IQFeed data. I use Amibroker use their plugin to manage my data but Qcollector does offer a great tool to take the data and be able to manage it and use with other software or using with other environments like R or Python. I could always export from Amibroker but for 150$(think that's the cost of Qcollector) it's a great software. I'd e-mail Qcollector but I do believe they are not restricted by IQfeed symbol limit as their not trying to stream it real time and their software removes the old symbol and adds new so the symbol limit is never above. I've done the same with Amibroker with their wait for backfill option. It will just go through your list and remove the oldest symbols requested to keep your symbol count correct. IQFeed doesn't seem all that concerned with demand for historical backfill after market hours when their servers are slow. I think their intraday goes back to 2007 or a little earlier with 1min data. They can send in many intervals and think Qcollector allows for these requests. Warning is that there intraday is not split adjusted as the community preferred this from what I saw on their forums. They also offer EOD data which will have the official EOD values and volume(volume specifically is different then intraday volume). Depending on how you want to use the data it could be a good option. Some software allow you to waive their start up fee of 50$. So breakdown of cost would be 50$ start up fee, 75$ a month fee which gives you delayed data and historical backfill. Realtime is per exchange and their fees. Qcollector 150$. Iqfeed does have restrictions to backfill during 1 week trial but I don't know what would stop one from subscribing, downloading and then cancelling and just paying a month. Never tried so don't know. Just my feedback on an idea. Do your own homework as to what you want. Managing data can be a pain sometimes but know what your looking for and working with.
%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%% Best, way, not the easy way; record your own.D trader;also printing charts works well.Another way, is use something like a 33 minute chart,[ barchart.com is free, accurate except for thier volume...LOL] + in your mind divide by 3=11 minutes candlecharts. Much faster + fun than 10 year s of 5 minute noise......................................................................................LOL PS ;wisdom is profitble to direct= another advantage for recording, say QQQ[QQQQ,old symbol] is you will recognize data errors ,USually.Thanks for the question.
You may find cheap ways by use different programs, different providers to get an intraday history for 1-10 stocks. He whants the intraday history for the entire Nasdaq Exchange over the past 6-10 years (including stocks which no longer trade) You may use Qcollector to extract data from IQFeed, but you still have to pay for IQFeed - IQFeed is not free. How many months you have to send to extract the history for 3-5K stocks. How much you will pay in total for Qcollector and IQFeed? How much time it will take to collect all the History? How far the history will go? The simplest way, yes it cost money, just to buy the historical tapes from NxCore (owned by DTH the same company offers IQFeed). Atthe end you have an idea which you hope will bring you money. You have to spend money if you want to make money.
Not to get off topic but DTN does not own Nanex(nxcore is the product). Their partners I guess you would call it as DTN handles the network,billing,etc. Nanex manages the data from what I understood. Just listened to a good podcast with Eric hundsader or however you spell it lol and he said their managing like 20 billion data points a day. Sounds like a nightmare to deal with. Most id imagine are from options but he said its around a petabyte a day. Imagine trying to backtest across a petabyte of tick data per day lol.
http://chatwithtraders.com/ep-071-eric-hunsader/ It's just an audio podcast. Think around 20 minutes in he quotes the data size. Good listen though if your interested in the HFT topic. The funny part is at the beginning he mentions how he got started in algorithmic trading in the late 80's and use to be able to take all the trade data from the CME home on a floppy disk. Kind of funny to think about how much markets have exploded with activity.
Some of you guys mentioned that you can buy historical tapes from Nanex. Can anyone provide a rough idea as to how much this would cost for say 2000 equity symbols (US) that goes back say past 5 years looking at either 1/5/10min frames?