I'm a programmer and so far I could get historical daily data from Yahoo without problem. For intraday data I could get from IB. But IB has limitation to get historical data. I can get 1 min data only for 5 days at a time and there is limit to get historical data in certain time period. Do you know any good place to get Historical intra stock/future data? I searched at google but it didn't give me clear information. Free is better but charged is OK if it's not too expensive. I don't want to get account from another brokerage to get only intraday data. Thanks.
Here are some sources I've kept track of: Book data for NASDAQ and NYSE. Only a few days of data, but it's 9GB each and for high frequency you could get 10 trades in a day in each of 100 symbols, and suddenly it's not such a small number of data points for a backtest. 5-minute bars from 2001-2008 for AAPL and 1998-2006 for ES. You can get more from IB but you need to do some work to have your script get around their limits.
Thank you. It seems to be what I'm looking for. Before ordering that, I have some question. Did you purchase the same data? If so, the data is reliable?
IQ feed is $30 via quotetracker http://www.iqfeed.net/QuoteTracker/index.cfm?displayaction=data§ion=fees TD does have decent intraday data and API,but must have an account with some money on it.$10 should be more than enough
I did purchase the data, and I use it everyday. As to "reliable", I have never tried to calibrate the data against other sources, so I don't have an answer to your question.
Thank you for the info. About iqfeed, can I download historical data without any limit? I only need historical data once for backtest. So can I subscribe for only one month and download all data?