I can download 1-minute data from Google Finance for the last 15 days using Python script at http://trading.cheno.net/downloading-google-intraday-historical-data-with-python/ . For SPY, data is provided from 9:30 AM to 4:00 PM EST, but I know that SPY trades actively before and after the official stock market opening and closing times. Historical intraday data from Bloomberg has the same limitation. Where can I get 24-hour historical data for SPY and other ETFs? Thank you.
IB might have that option. Something like Nanex would. If you just want to backtest and not actually see the data, check out Quantopian or QuantConnect.