I have 3 years of about 3k symbols. Right now its up to about 6TB compressed and growing by the day - but that's level2 with depth of book, size, spreads, etc. How many symbols are you looking for and for how long? Do you have the space to keep it all?
I am developing an automated quant highly scalper trading system and i thank you for sharing this opinion/suggestion.. I will consider in my developing. Thanks again
Trading Physics is interesting, however only the first 10 downloads are free. I'm guessing the first 10 days of intraday data.
You can start collecting intraday data for free by pulling real-time data from Yahoo site. You can use MLDownloader software: http://www.trading-tools.com/mld.htm Companies like eSignal and IQFeed offer about three years of historical data. To download more data than that, use Kibot or some similar data provider.
Thank you for the suggestions. The Kibot site only offers 1 minute data. I am interested in tick data especially best bid-ask quotes (or top of the book).
DTN NxCore has this historically as well as RT if you're willing to use their API and your budget is in the 000's.