historic stock data on intraday basis: what's your take?

Discussion in 'Data Sets and Feeds' started by man, Apr 29, 2008.

  1. man


    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.
  2. chvid


    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.
  3. Is opentick accepting new users? Last time I checked the signup was closed.
  4. man


    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 ... :)
  5. ATLien


    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.
  6. chvid


    I think I completely misread the question. Sorry.
  7. man


    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.
  8. man


    happens. :)
  9. ATLien


    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.
  10. man


    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 ...
    #10     Apr 29, 2008