hi everyone, we've been doing intraday futures for quite a while and had done stocks on daily data some years ago (stat arb - dried out - quit). now i want to give intraday stock trading a shot and the first issue is: data. i can buy data from tickdata which is dividend and splitadjusted, but then i have the issue on an ongoing basis of running my own database and have to do all adjustments on my own. so my question is: how do you do that? the universe i am interested in is the sp500 and the eurostoxx 600. i know i won't be able to trade all of these stocks intraday but that is roughly the amount of data i am looking at. the other thing is to say intraday is short holding period anyways, so forget about adjustment and take the raw tickdata as it is coming from reuters. not really what i am heading for ... but maybe. better than to be clean and make no money. thnx for contributing.
You can use a combination of Yahoo's split / dividend data and opentick's intraday data. The data quality will be reasonable and it is free.
i am a little sceptic about "reasonable" quality and "free". usually you end up with massive amount of work on your side. which i am trying to prevent, so my people can concentrate on developing. nevertheless, thnx for the hint. will check it out. free sources are often great, just did not think it was like that in this field, but i am happy to be proven wrong ...
So what exactly is your question? You want to know how to store massive amounts of tick data, or do you want to know where to get reliable historical tick data? Either way, use the search feature, there are a few threads on this.
i do not have a technical problem with the amount of data, it is more the nature of the data. futures are easy. you just need to organise the rollover and that is it. but stock are a different animal with dividends, splits and all kind of biases (survivorship being the most obvious). so for a small group like mine it is quite an important thing how to get into this field, starting with which data to get from whom. and i do not look for free sources. i am very willing to pay if i can manage to keep my developers as free as possible from passive work like data manipulation. it finally will require some of their time anyways, but i want to keep that as little as possible. i thought starting a thread in the "automated trading" section is quickest to get somewhere. see, i am not just looking for cheap intraday data or so. it is a more complex question including aspects of backtesting.
You're still not being very specific about what exactly you're looking for, also some kind of price range would be very helpful in answering any further questions. tickdata.com is very highly reviewed, and I've indirectly worked with some of their data, and can vouch. I don't know if this is in your price range though.
sorry. i am trying to be as specific as i can. sp500 and eurostoxx600, intraday data. tickdata's us package on 1minute data is 48' according to their site. is within my "price range". they do not mention their subscription package, so i cannot judge that. the price is not the major issue with them. i am concerned with their policy. they do not deliver the full package so to speak. i would love to have one feed for history and real time. admittedly on futures we are doing things on our own and our data vendor does not deliver the full history. but with futures it is easier as i pointed out earlier. i simply do not like the one month delivery of intraday data. is simply not what i would dream to have. do not know if it is still the case, but they had it like that: monthly update of their minute data. see, if tickdata is actually the only thing out there, fine, then i have to check it out with them or outsource it somewhere else. that is the reason why i started this thread in the first place. it is still puzzling me why the data vendors do not offer products of that kind. i mean they have all the data and all the maintenance people ... well ... whatever, i've been having this question for a decade ...