What format is the Nasdaq data in? If if is in standard ITCH 3.x or 4.x format I can post or email you C/C++ code that will parse it.
Can someone please provide their personal experience of the quality of data (I'm talking historical intraday data - tick and 1s bars) from providers such as AlgoSeek? I know their used by quandl for 1minute data as well as having a partnership with QuantGo. I just don't know enough about them and if their worth the cost. Any other recommended providers out there for historical intraday data. Forgot Pi-trading and kibot as I've heard the data is very bad quality. IQFeed is decent but they have max symbol limit of 1800 from memory and I need more. Tickdata.com is just way too expensive (>$20k)
Iqfeed symbol limit is only really for live streaming. As far as grabbing historical data( especially after market hours) their isn't any issue even with their base 500 symbols. Qcollector is a popular tool for building a database using IQfeed. Shoot them an e-mail and see their limitations. Also be aware that IQfeeds intraday data is not split adjusted and their API( which cost 300$ a year for access) has access to request split adjustment multiplier, however not sure if Qcollector offers requesting that field. Depending on how your working with this data you could build your own multiplier by comparing the intraday data to the EOD data which is split adjusted. Also their intraday data won't have a way to form the daily close from it. Their data is from 0:00 to 0:59 for say a minute candle so to get the official close of the u.s stock market from intraday data, you'd need the open of the bar stamped 16:00:59 but due to after market trading, if you use the close your 59 seconds into after hours trading. Data is a nightmare to me lol. Depending on what you want theirs a lot of complexity, especially in stocks. For instance some providers ( the more expensive ones) will offer flags for the auction open ( what'd you'd expect from say using a market on open order) while most cheaper feeds will just give you the official open which could be from any exchange at the open and not a realistic fill.
Hey Metamega, thanks for your reply. I've heard of Qcollector but never really looked it to it. Maybe I should. I generally build my own tools to handle this type of stuff which as you may understand can be quite challenging and complex. You raise a valid point on the split adjustment multiplier, I do it the fashion you mention. Any vendors out there you have experience with for historical intraday data and would recommend?
Any vendors out there you have experience with for historical intraday data and would recommend? ________________________________________________________________________ You may want to look into Trade Station - their charting is considered by a lot of people to be the best period, the support is unreal. Anything you can think of you can do on TS without to much fuss. If you get the end of day data its a lot cheaper. I have not used Ninja but on the TS forum there are many that use it also, they report its not as developed and has some bugs. TS now has an API, which why so many like Ninja I believe. Try them both - ask TS for a month trial.
Great thanks I will look into them (TradeStation). Though I am trending with caution as to the quality of the data as there would be nothing really stopping anyone from signing up for a trial or depositing money to only get the data out and then close the account. Any restrictions on how far you can go back or resolution? Also if I'm looking to get historical data for say the last 10 years it probably would not be feasible download this over the internet as it would be terabytes in size. Do you know if TS would ship it over?
I've only used IQFeed with Amibroker which I can easily export data out of to excel for other projects. Qcollector is just a good tool for requesting the data into a csv file insteadof paying and learning their API. Right now with Amibroker I can request open,high,low,close,volume,open interest , bid/ask(for tick interval). With their API they have quite a few fields like fundamentals(not sure if they offer historical or if its just a current value) http://www.iqfeed.net/index.cfm?displayaction=developer§ion=main Most developers of software don't support most those fields, pick and choose your battles. My main reason for IQFeed is I get access to historical Intraday and EOD and get a solid realtime stream for those days I am home. To be honest I'm not sure what would restrict you from just subscribing for a month, requesting a bunch of backfill, then cancelling the subscription. The monthly subscription may not be what your looking for. Also been building intraday databases and some tick databases(they have a 120 day backfill on tick so just update it daily). Intraday data isn't cheap. Even looking at Quandl they offer from AlgoSeek or something like that in their premium and your looking at an annual subscription for 5 years of SnP for 1000$. However if you think that's bad you should see the struggle options guys have finding affordable historical options quotes haha.