Are there data sources (preferably free) that show historical bid/ask data for the day? FreeRealtime.com used to offer this data under "Time & Sales" until a few months back, but all they show now is executed trades. See for instance: http://quotes.freerealtime.com/dl/frt/M?IM=quotes&type=Time&Sales&symbol=goog Used to be that this page would show historical bids and asks as well before. I do not remember the exact format, but it was something like this: Time Price Size Exchange Action 19:59:51 546.60 200 BLAH {Bid or Ask or Sale} So it also shows when the bid came in, and when a corresponding ask or trade happened.