Historical data of what? Stocks, options, futures, forex, others? For how far back? 1 year, 1 month, 1 day? What timefrace? Tick, minute, hour, eod?
Candlestick trade data is easy to get. I downloaded mine from my broker (Interactive Brokers) - they provide 1 second resolution if required. If you want individual trades rather than candles, then you'll need to purchase from a data provider. Level 1 NBBO I was unable to find any 'free' sources, so I purchased mine from tickdata.
CheckQuantpedia’s list of historical data providers. There are a lot of options you may choose from …