I would imagine it is not too difficult to amass a database of tick data from all the stock and futures exchanges from the beginning of time until present. Why Haven't I seen any torrents out there for this kind of thing? Tick data is basically like a history book: actual trades that occurred have no need to be changed (i.e. what already happened in the past has already happened so once you you have sucha database, all you will need to do is update on a day to day basis to keep it up to date). As a matter of principle I do believe this information should be free. Does anyone want to share their tick data. I can promise one thing: what you share with me will find its way into the hands of the masses one way or another.
This is factually wrong. Trades often get cancelled. How do you deal with this? I collect NxCore / Nanex tapes and I can generate the historical result in any way I want (with or without cancelled / changed trades). Simple historical tick databases have an issue here. SOmetimes the ticks DO change.
If anyone is interested I have a program that allows you to record TAQ data on single and multiple instruments (options, equities, futures). When recording multiple instruments the data is synchronized to insure quotes are actionable. The program only works with Interactive Brokers API. Records: bid size, bid, ask, ask size, last price, last volume and close $100 via paypal
There must be a set of ticks that don't ever change (for example, if you go far back enough, I would imagine that ticks from x years ago will remain the same forever...x being some number greater than zero). I mean, do you really think that historical tick data from 2005 is being changed due to "cancelled orders"? What about tick data from 1975? My point is that there is a good chance that the "cancelled orders" you speak of would only affect recent tick data (how recent? I don't know but then we can consider all tick data from beginning of time until that year to be permanent and nonchanging). I do wish I could find the historical tick data for all stocks and futures, indices, from the beginning of time until present. To any one who would share this information with me I would promise that the data given to me would find its way on the internet in some way so that it is accesible to the masses...
Some info here about cancelled trades, bad ticks, cleaning data, etc http://tickmaster.webs.com/apps/blog/
This is irrelevant. I want tosee the raw data +a marker which tick later got cancelled so my backtests do not work against a totally sanitized tickstream - and thus backtest wrong.