Registered: Sep 2005
Posts: 17

I've written a custom backtesting program. I have been running it with a mysql database I've filled with data I bought from Pi Trading. That is all fine, but I would like to double check my results with another set of data - just to be careful. I am not entirely confident of this data.

Anybody know of a good source for historical 1 minute data for stocks? Tick data would be OK but that gets huge. I would like to have data back at least 5 years. I am willing to pay for it. I have searched the net but have not found the solution.

BTW, here's a general "thanks" for all the stuff I've learned from this forum over the years. Creating and running my backtesting and ATS setups is hugely satisifying - monetarily, intellectually and emotionally. Anbody who thinks the long hours, risk tolerance and skills needed for this are easy is a fool.

-Kever

Registered: Feb 2008
Posts: 34

YOu can use tickdatamarket.com. They have good discounts when you order a lot. Watch out for pi trading because I saw a lot of errors some years ago. Esspecially in the pre 2005 period. This is the case in most providers. The data is not always clean....

Registered: Mar 2008
Posts: 470

if you want to be dead sure that your data is correct and are willing to pay up for this, either get it direct from the exchange or from a top end data provider such as CQG.

Registered: Sep 2005
Posts: 17

OK, I said I was willing to pay....but holy cow!

I need data on about 500 symbols and that gets pricely with these places. We're talking the price of a nice house at NYSE and CQG. tickdatamarket.com looks better but still pricey, I'll ask for a price quote from them.

It seems as though this stuff usually goes to hedge funds and the like.

Any options for maybe 2K or less? Maybe, I'll code up a way to get it from IB.

Registered: Dec 2008
Posts: 1876

IQFeed?

Registered: Jun 2003
Posts: 2077

How far back do you want to go?

DTN IQFeed has several years of historical 1min data. (back to 2007 I think for stocks), and one month for tick.

About $72 per month for US stocks. $300 one off if you want the API. The API is easy to use and overall I have found IQFeed to be very reliable.

And it works perfectly under wine on Linux.

Because of limitations on downloads, IB historical data is not viable for large numbers of stocks.

And you are right, tick data for a large number of stocks is another ball game all together. The storage and processing requirements are quite considerable.

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