Hi everyone, I'm working on my own backtesting/ATS app (decided not to go with openquant afterall even though it seems very nice for what it does) and I don't want to download gigabytes (terrabytes?) of data if I can just buy it on DVDs. So far I have found: http://www.grainmarketresearch.com/int_futures.cfm http://www.tickdata.com/ ...both look interesting but I'm not sure about pricing. So I want high quality data on equities that I can just download all at one time or get on a DVD (or whatever) for a decent price. Any other recommended data providers? (I think it will take a very long time to download tick data from something like opentick for most US equities and then I'd still have to deal with all the weirdness in the opentick data) Thanks.
What time frame do you need? If 1-min intraday is suitable to your testing, see links below For a mix of index, futures and stocks Historical Intraday ASCII Database, Market Edition For stocks only Historical Intraday ASCII Database, Stocks Edition I have used the nov 06, jan 07, and oct 07 editions and do my back-testing in Tradestation 2000i. I have purchased tick data for the S&P index from tickdata.com but the cost adds up quick for multiple years. And tick is overkill for most applications.
So far it seems that tickdata is the best I've been able to find for tick data but it is very pricey. For minute data the link that someone gave above seems fine and inexpensive. Still looking...
Hello, this company seems to have good a good quantity of tick data at a reasonable cost: http://disktrading.is99.com/disktrading/ You guys think they look worthwhile? Anybody used them?
NYSE TAQ is another to consider; many consider it (justifiably or not) the "standard" for historical equities data: http://www.nyxdata.com/nysedata/default.aspx?tabid=730 NASDAQ offers TotalView historical, I think, which is full book, but that's for orders/trades on NASDAQ only. DTN NxCore also offers historical for entire markets across time that may be cheaper than others (but you are still talking in the 000's per year). One would also need to learn their API.
I was thinking of buying the disk for 1 min futures data from here: http://pitrading.com/intraday_ascii_data_market_edition.htm I'm always trying to minimize costs, does anyone by chance want to sell an old dvd that they don't need anymore?