Comparison of Data providers for historical intraday data (indices, futures, options)

Discussion in 'Data Sets and Feeds' started by Steve06, Dec 30, 2009.

  1. Steve06


    what (possibly real-time) data provider would you recommend to download a history (1 to 3 years, at least) of intraday (tick level, or similar) price data (trades and quotes)?
    I'm interested in index futures and options as well as their underlyings, and mostly interested in US and european markets.
    Of course one could purchase these time from the respective exchanges, but this is very expensive.
    Therefore, I think subscribing a data provider like esignal and download data from them would seem more affordable.
    In the case of esignal, , if I read their table correctly, they online provide tick data for the past 10 days and do not cover options?

    Has anybody ever done some kind of comparison table between all data providers out there, including info like the time range covered, the quality of the data and so on?

    Any helpful comments are appreciated.

  2. esignal no longer includes bid/ask data in their historical products.

    you can use iqfeed, they include bid/ask but they dont' include bid/ask size (just price).
  3. Steve06


    but i think iqfeed's intraday data goes back only a few days, doesn't it?
  4. iqfeed historical is at least 30 days for tick, and at least 1 year for 1min bar.
  5. noric


    IQFeed only has about two years of historical data for stocks. Tick-by-tick data history is 5 days during working hours and 30 days otherwise.

    Here is the quote from their site: "30 calendar days of tick (includes pre-post market) and several years of 1-Minute history (Forex back to Feb 2005, Eminis back to Sept. 2005, Stock/Futures/Indexes back to May 2007) retrieval for charting and time & sales data"

    We have been able to buy inexpensive 1 minute data for US equities and ETFs from this web site.
  6. Thomson Reuters Tick History provides tick data from 1996 across all asset classes and the vast majority of exchanges.

    For more information please contact me at