Tick Data and Range Bars

Discussion in 'Data Sets and Feeds' started by aegis, Jul 7, 2013.

  1. aegis


    Am I correct in assuming that constant range bars require tick data? I'm interested in backtesting some systems on SPY with range bars, but I'm going to need about 10-15 years of tick data.

    What are the cheapest options?
  2. I'm not sure what you're expectations are re "cheap" for 10-15 yrs of tick data for SPY, but there's these two:

    //... The next statements are controversial ... //
    Also, depending on what size range bars you're looking for, and if this size is significantly larger (i.e. ~ 100x ?) than a typical SPY 1-min bar, you might get away with a reasonable approximation (in terms of constructing range bars) by recreating 4-ticks from each 1-min bar (one for each of OHLC) ... and 1-min historical data is cheaper than historical tick data ...
    // ... I await a flaming for the above ... he he ... //
  3. I have found that for purchasing single symbols, QuantQuote.com is by far the cheapest. Their minimum order size is only $25. With Tickdata.com, the minimum is $250.
  4. Let me know if you would like to purchase SPY data. I have it going back to 2004.

  5. Im sure there is something I can do.