Check out Automated Trader's historical NASDAQ data. It will only be useful for NASDAQ issues, but it is reasonably priced data and is sourced from the raw NASDAQ Itch feed: http://www.automatedtrader.net/nasdaq_tick_data.xhtm Take care, Louis
$900 USD for 18 months of 1-minute data? LOL You can find much better value for your data if you search ET.
Like the original poster Kever, I also need 1 minute historic data, in my case to feed a custom backtester, two years of data for all US stocks and ETFs. Since this thread was helpful in finding many of the data providers, I did a writeup of " Sources for Intraday Historical Stock Data " , which I sure isn't totally complete, and I'm sure I've missed someone's favourite data provider, so please leave me a comment on who you use and why. Thanks, Michael
Bump. Good summary posted by Michael: http://michaels-musings.com/sources-intraday-historical-stock-data.html Pi Trading and Kibot look like the cheapest? In addition to stock and ETF's I would be interested in commodities and futures intraday data. Tick data not needed, bars would be OK. If anyone knows source of futures or global indices historical data (intraday) PM me or post reply here...
Are there any data providers that provide bid/ask tick data and bar data? Everyone of the bar providers seem to deliver data based on last trade data and possible bid/ask at time of trade. This doesn't really correlate to the market price conditions. Makes more sense to deliver bid/ask changes and VWAP of trades during the interval after all these are the instant market prices and conditions where trades can be made. The other issue is trades (especially block trades) can be reported 3 minutes after the fact and still be reported as on time. These trades would be easier to identify and filter based on bid/ask ticks. If they are outside of the present market prices they are reported late. You can actually determine the order matching / trade reporting lag... I've analyzed NxCore data and about the closest way to get a tick accurate bar consolidation is to process the NxCore quote data in this manner. I can clearly see trades being reported 25ms late etc.. but also gain visibility as to OHLC of ask and bid in addition to trades inside the bar. Building out bars and historic consolidations off of the whole market tick data just requires a lot of storage space and processing power. There is value in a tick accurate - market executable backtest versus testing against last print data which is already lagging and subject to corrections/sequence issues.
I am looking for vix historical 1min data. I purchased 1 minute data from pi trading but it does not have the vix data. Anyone has an idea?
I did a windows search of the Market CD and its under \\Indices\\VIX My CD is older but the hierarchy should be the same
OP, not sure how far you want to go back w/ your data. However you can pull 1 year back with an IB account through API, then IIRC w/ quotebooster a few more years back. I know deltaneutral is OK, OptionMetrics is great but expensive. Almost every single options data provider I've come across does not calculate vol or greeks correct though.