Historical data in Excel

Discussion in 'ETFs' started by Obelixtrader, May 14, 2020.

  1. Hi,
    does anyone have Bid-Ask and volume data from 1993 from ETF SPY in the Excel spreadsheet? I need it for school.
     
  2. ZBZB

    ZBZB

    Why do you want bid ask and not last trade?
     
  3. Metamega

    Metamega

    You’d have a better chance of finding tick with bid/ask but that’d be such a massive file with bid/ask changes.

    Don’t think I’ve ever seen tick data to that far back anything retail.

    Also I’m not even sure when stocks went to decimals instead of eighths. Think 2001?
     
  4. The PDT rule required $25,000 to daytrade stocks was to restrict small participants. from scalping profits from designated market makers making profits.

    This is the reason tsla, amazon, Berkshire have stock prices of over $500. The market maker doesn't want small traders to compete in their turf so they ordered or proposed to the the SEC to change the rules for their benefit. as a way to protect small traders.

    Before April 9, 2001, when the Securities and Exchange Commission ordered all U.S. stock markets to switch to the decimal system, prices were reported and stocks were denominated in fractions—in one-sixteenths to be exact. While it seems silly that it took so long for the change to occur, the earlier technique of fractional pricing is not as arbitrary as it may seem.

    To daytrade amazon with stock price of $2000/share , you would need $40,000 cash just to daytrade 100 shares. because if your account falls under $25,000 the PDT rules applies again.
     
    Last edited: May 14, 2020
  5. because I want to do a spread analysis or spread to volume analysis for academic purposes
     
  6. ZBZB

    ZBZB

  7. gaussian

    gaussian

    You're looking for tick data. You're going to pay a pretty penny for it. No one provides it for free. Perhaps your B-school has a bloomberg terminal you could use. You'll find that every firm you check will require you to submit a quote. Expect to pay a 5-figure sum for that much data.

    I wouldn't use Excel either. It doesn't do well with a ton of rows and you'll be look at billions of them. To give you an idea I was at one time storing 5 minute data for 4 symbols. Every 4-6 months my database size would increase somewhere between 4-8gb. You're looking at over 20 years of data at a significantly finer resolution. Expect on the order of 500gb to 1TB worth of data. This is why no company (or person for that matter) will give it to you for free.
     
    Last edited: May 14, 2020
    userque likes this.