Historical intraday analytics feed

Discussion in 'Data Sets and Feeds' started by Makis, Jun 15, 2012.

  1. Makis


    Does anyone know if there are vendors that provide analytics on intraday data?

    While raw tick data is available, capturing, analyzing and producing 'derived' data is quite an effort, so I am looking into finding out if such data exists and how much it costs.

    I am thinking analytics on historical intraday data such as (e.g. for equities):
    What is the 30 day average volume of IBM at 13:27:00?
    What is the 30 day average correlation of IBM against SPY at 14:34:00?
    What is the max intraday run-up of SPY the last 30 days?
    What is the average intraday drawdown of BAC ?
    Similarly for other analytics such as intraday volatilities, volume profiles, spreads, trade sizes etc...

    I am looking for the analytics data itself, not raw tick data or software (database&stats engine) that will allow me to build the data myself.

    Who provides such data? What is their pricing?