any company offer 1 second historical data? or something such as per time and sales print, bid/ask change
In a general sense, historical datas are offered in the following compression: Daily > 5 min. > 1 min. > Tick > Bid/Ask If you want 1 sec. B/A... then purchase the Tick B/A and recompress on your own. It can be done with only like a < 100 line code...
ive tried those sites, and tried searching google but i can only find 1 minute tick data. heres what i want exactly: a line of data everytime either the bid/offer price or bid/offer size changes. ive been collecting my own data by setting a timer to record data 10 times a second and i filter out redundant lines which leaves me with between 30,000 to 80,000 lines of data per day per equity. and the files end up being about 5 mb per equity/day. but i can only backtest to the day which i started collecting this data obviously. im sure there must be some site that can offer that type of data for stocks. but i do see that storage space may be a size issue www.livecharts.co.uk has the shortest span ive seen which is 10 seconds (and free!) so i may have to do with that
Have a look at http://www.opentick.com The tick data does not include bid/ask, but there is support in the API for historical book data, from which you could extract what you want. I have not tried the historical book data functionality, and I saw some suggestion that it is not working, but it would be worth following this up. Maybe ask them directly or post a question on the support forum. They have recently improved the historical database which now goes back to 2001. It is free, so the only thing that it will cost is some time.
^ thanks I just found http://www.tickdatamarket.com and that seems to have what I want but it costs money as opposed to opentick.com