Accurate Backtest Data

Discussion in 'Data Sets and Feeds' started by DontTouchJimmy, Feb 1, 2010.

  1. Does anyone know of a reliable source of historical opening and closing prices for stocks on their primary exchanges?

    For Nasdaq stocks, the Nasdaq Opening Cross price, Nasdaq Closing Cross price
    For NYSE stocks, NYSE opening print and NYSE closing print
    (same for AMEX, Arca, Nasdaq Capital Markets, etc.)

    Of the data sources I have checked, they all seem to just report the first price after 9:30 as the open, regardless of the exchange or condition of the trade.

    As an example, on 1/29/10, ARBA opened at 13.57 in the Nasdaq opening cross, but data sources that I have checked show either 13.00 or 13.17.

    Since I am backtesting based on opening and closing prices, I need to find a reliable source.

  2. Have you tried CSI? I only used them for Futures but they are very good.
  3. Most sources of free data include overnight sessions. I think TeleChart includes only the main trading session but you should ask.