for backtesting purposes what i need is the bid, the ask, and the "last" price for every second of every day for US stocks for the last 1 or 2 years. 2 years would be more than enough in my case. preferably in the form of a line chart, though i suppose a simple list of prices would be better than nothing. interactive brokers offer this for the last 6 months or so, but if i try to scroll back further than about 6 months (sometimes 7 months maximum) then all i get is a blank screen instead of a chart. it USED to be the case that i could scroll back in time as far as i liked, then suddenly one day sometime last year.. i went to bed, woke up the next morning to continue my backtesting effort, and just like that, the service had been discontinued, and that was the end of that. i have asked them about it again and again but nobody even knows what i am talking about, let alone how to help me. presumably someone in charge has simply decided to stop offering free historical tick by tick data for whatever reason, and that's that. please does anybody know where i can get this from? obviously free would be good, but i guess i would be willing to pay a fee if it came to it. thank you!
You will need to do a little research to determine which best suits your needs. Contact providers which look promising to confirm. To follow is a link to my previous comments on Retail Data Feeds and platforms http://www.elitetrader.com/vb/showthread.php?s=&postid=3685115#post3685115 Link to Multicharts Data Feed Providers comparison's [included in above link] http://www.multicharts.com/tradestation/datafeeds/ IB is not designed for backtesting. Edit: FYI, you never had tick by tick data from IB in the past, IB provides a "snapshot"... Edit1: quick google search for "historical tick by tick data with bid ask last" provided this http://www.tickdatamarket.com/ Edit2: IB snapshot is 1-sec intervals, not each and every tick. - search ET "IB and data and snapshot" this has been discussed in the past. 1-second most likely is sufficient for your requirements, technically though IB data does not include each and every tick, just an FYI
actually thinking about it, i only really need this data for a short list of a few stocks, and for each of these, i only need the data for a single day - i.e. the day that i traded them (or was supposed to have traded them, according to my rules). for example: MYL; 23rd august 2012 and a few dozen more like that. that's it!
... and all of the checks i need to do using this data can be completed in a few hours, it's not even as if i need to use this service for a whole day, let alone a month. very frustrating..
thanks nobias, well i used to zoom in on any given day in the past and get the bid, ask and "last" for any second of my choosing, using "line" charts. and i can still do this for any day back as far as about august of last year. by this time next month, it'll only go back as far as september, and then october, and so on. such that 6-7 months is the limit. is this not what you would call "tick by tick" data? excuse my ignorance