Historical Tick Data "where to get"...

Discussion in 'Data Sets and Feeds' started by scrYpter, Dec 11, 2008.

  1. scrYpter

    scrYpter

    Hi Everybody!!

    I am interested in Tick-by-Tick continuous NBBO update data for US Equities with trades.

    That is I require quote data containing the following info : date/time/bid price/bid size/ask price/ask size/

    and trade data containing this info : date/time/price/size/MMID

    here is what I have found so far:

    1. OpenTick.
    - free and relatively fast as far as non-time sensitive applications go. But the data is not high-resolution and incomplete often having major gaps (ie. 103911 quote and then 114012 quote)

    2. TickData
    - seems as though it is very high quality but pricey, costing as much as 1000$ for 40 symbol years (it is affordable ofcourse if a few of us syndicate). If anyone interested PM me or you already have the data you could recover some of the cost.

    3. Official Exchanges
    - needless to say a reliable source if you are willing to cough up sizeable $$


    I would appreciate if any other sources that have this data (with relative ease of extraction) would be posted here as a compilation.

    Pls remember this is only for continuous intraday TICK data, intervals wont do (ie 1m, 5m etc..) neither will EOD data be any good.

    Thanks
    - D

    ps. I am in particular interested in Powershares QQQ (nasdaq QQQQ) tick data for the past 6+ month. If anyone has this data available I would be willing to buy it. Also I used opentick only with their HistCSV program, I did not try through API, if it is alot better through API than HistCSV I would appreciate heads up.

    I am going to contact IQFeed tomorrow and see if they offer historical tick data (since I am a client might as well) and post the results tomorrow.
     
    #1     Dec 11, 2008
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  2. tradelink

    tradelink

    if you use esignal you can download historical tick data for any symbol for up to 10 days back from the present.

    for forward-looking stuff, you could simply record the data as it comes in from your live trading feed.

    this product will do that if you use assent and soon to be sterling/echo :

    http://tradelink.googlecode.com
     
    #2     Dec 11, 2008
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  3. SideShowBob

    SideShowBob

    try a search, this has been asked and answered many times
     
    #3     Dec 11, 2008
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  4. scrYpter

    scrYpter

    Ah but I did. I am either a bad searcher, blind or there aren't any threads with good answers where to get HISTORICAL CONTINUOUS (NBBO update) TICK DATA for EQUITIES. I did however find a sizeable amount of discussion about Futures/Forex and interval/EOD data sources. However if I missed something good, I would appreciate a link.

    Thanks
    - D
     
    #4     Dec 11, 2008
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