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I had a similiar search last year. See the ET Thread: http://www.elitetrader.com/vb/showthread.php?s=&threadid=203120 I was mainly concerned with 1-min ETF data. I settled on the stocks edition from pitrading, http://pitrading.com/stocks, that was recommended.

I disagree with this. I use minute based data for intraday backtesting and daily data for swing based testing. As long as you know and can adjust your code to avoid the weakness of the data precision, you should be ok. For the average trader, tick data actually has many disadvantages. One...

What language and compiler did you use for the DLL? From my own experience and testing with using a C based DLL (VS 2010), the overhead is within the EL interpreter.

Back-testing is a tool used by the systemic/mechanical trader to find a pattern that gives them a probabilistic edge. Trading is all about probability. The more data points used to validate the pattern, the easier it is to determine the pattern's reliability. Running a back-test on a small...

For bid/ask you will need tick data. Trades and Quotes One minute data can never contain bid/ask quotes since the bar is based on a time interval (in your case 1 min). One minute data gives you the open, close, and range of price during the interval. Price gives you the actual buy and...

One minute data is NOT a snapshot quote every 60 seconds; it is the actual price bar for a 60 second interval. Each minute bar will contain the open, close and range (high/low) during the period. Some vendors also include volume, some do not.

Tickdata.com was one of the first data vendor's I visited, but the pricing is out of my range. Approx 50 ETF symbols over 5 years would cost $3750.

I looked at the grainmarketresearch link, but their data is of limited use as it does not contain volume as in their sample. Data Format: Files are Comma Delimited ASCII format with a *.txt file extension. Field order is Date, Time, Open, High, Low, Close...

I need to find price history data for the top/most liquid ETFs, 1-minute or better for testing a system model I built. I would like the top 25 to 50 ETFs (SPY, XLF, QQQQ, FAS, etc.) by volume as sorted by Morningstar. http://news.morningstar.com/etf/Lists/ETFReturns.html Thanks in advance.