Sorry to revive this -- Who provides top of the book and trade data for ETFs/stocks, at a reasonable price? -- Is it possible to buy stock data a la carte, by symbol and date range? -- For futures, besides CQS, are there any alternative providers (cheaper/better)?
Yes, I meant CQG as opposed to CQS (which is a fund) This is for personal use, so I can't really afford top shelf stuff like tickdata.
Anything that would be good enough for back of the envelope kind of stuff? Is kibot or pi trading any good?
could you show a particular direction where it can be found ... never met before, maybe missed something. TIA
Ehhh...based on experience with one and reviews of the other, I don't think I'd invest time with them. Have you looked at AlgoSeek? Not dirt cheap but not horrible either, and if you want a la carte, it might be a fit. Also, there is quantgo with solid/extensive data but you rent it for x/month (250?). Would not recommend activetick to my worst enemy. Lastly, IQFeed could potentially work depending on your needs. Good coverage across products but the tick data only goes back some months and the bid/ask is only provided at the time of a trade (immediately post-trade).
Let's forget about stock data for a second and just discuss futures. So far, I took a look around and it's either completely useless for my needs or it's too expensive for personal use. Who out there provides (a) data per-contract, not that stupid "continuous contract" shit (b) has top-of-book updates as well as trades (*) (c) has data for at least last 5 years, preferably more (c) is reasonably priced at tick level or fixed re-sample of "last" snapshot (**) * seems like a few vendors I've spoken to only capture trades and ignore the book updates. It's fine for the regular quant type stuff, but if you are trying to do something in relative-value space, the data is of limited value ** for my needs, non-tick resolution data is ok as long as it is re-sampled consistently. E.g. if someone out there sells data that contains snaps of the last bid/ask/trade every time period, that would be good enough
With Tradestation you can pull tick charts from historical data - for example I just pulled the ES tick chart (1K ticks) from 2000 to present, I could have gone further back.