Looking for DATA , Anyone !!

Discussion in 'Data Sets and Feeds' started by infinite_alpha, Mar 24, 2011.

  1. Hello,
    I'm working on a Grad academic project and I would like to have some Intra day data for S&P 100/500 , just for every single Monday. From 7 to 10 years span. 1 , 5, 10 , 15 minutes bars are all fine. Any of them would do the job.

    and some US/EUR or US/GBP for every Sunday ( opening day of the market)

    I'm willing to buy a batch including all day and I'll do the filtering.

    Please PM me, if you have any sort of intra-day data !!

  2. They are both the same ASCII/TEXT format: DATE,TIME,OPEN,HIGH,LOW,CLOSE,VOLUME for pitrading and DATE,TIME,OPEN,HIGH,LOW,CLOSE for pricedata.
  3. minmike


  4. I think I have been suffering from a misunderstanding of how one minute data is calculated. I always thought that they sampled the market every minute and therefore there could be ticks in between the compiler's sampling points that were left out and that consequently the data could never be an accurate representation that always covered the extremes of price in that minute.

    Reading the description of AN Futures Data one minute product leads me to believe that I am wrong. Can anyone shed more light on the subject?

  5. Some data will be open, high, low, close for each minute.

    I've got SP 100 back to 2002, and SP 500 back to 1998.. in hourly, open, high, low, close MetaStock format.
  6. dyson


    One minute data is NOT a snapshot quote every 60 seconds; it is the actual price bar for a 60 second interval.

    Each minute bar will contain the open, close and range (high/low) during the period. Some vendors also include volume, some do not.
  7. Just so it is clear to me the one minute data is incorporating every tick in that open. high, low, close minute?

  8. That's what it's supposed to be. Verify with the vendor, of course.
    #10     Apr 23, 2011