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Good quality historical futures data vendors based on my experience: Algoseek.com/Futures. Deliver data in CSV format and have data from 2009. Nanex.net . Good data but you cannot buy it by the symbol...has to be bought by the exchange per month (eg. CME for 1 month). Not a good fit if you...

Are you looking for historical or live 5 minute bar data ? For historical 5 minute bar data for options check out: www.algoseek.com/options/ www.ivolatility.com/data/us-historical-intraday-options-data2.html www.tickdata.com/product/historical-options-data/ nanex.net For live 5 minute bar...

if you want your own dataset to crunch then use Quandl EOD database. it is $50 per month but gives you access to all OHLC stock data from 1996. Goto https://www.quandl.com/data/EOD .

Try calling Barcharts...they provide real-time data at quite competitive prices if you negotiate with them. Nanex is a great feed but has their own way of doing things. The NXCore.dll will only run on windows. People working with Nanex tend to be software developers.

Vendors with Pre/Post market bar data for equities: AlgoSeek.com Nanex.net TickData.com

Best way to get reliable EOD data is to use Quandl's Premium DB service at $50 per month for all historical EOD (and Open) equities data. See https://www.quandl.com/data/EOD.

You are correct about TickData.com being expensive but it is also really good quality data. Here are some other quality vendors you can try: AlgoSeek.com : Have all CME data including full depth and tick. Buy symbol per year as needed. Instituational data but much better priced than...

In addition to NXCore here are some vendors where you can buy or rent the historical options tick or OHLC bar data: AlgoSeek.com : Buy it. See www.algoseek.com/options IVolatility.com : Buy it. See www.ivolatility.com QuantGo.com : Rent it. See www.quantgo.com TickData.com : Buy it. See...

Historical Futures Options Data can be a challenge. Historical options equity data from OPRA is easier. IVolatility.com . Will sell you EOD and intradday data as a custom package. QuantGo.com. You can rent access to 6+ years of all US Futures trades and quotes data which includes all the...

Historical data vendors...who to use or not !! BarChartsonDemand.com . Good data but only have one minute bars. Focus is on Futures data. Have been around for a long time. QuantGo.Com. Allow you to rent access to years of institutional tick data for low monthly costs ($275/month) but you...

We use both BarChartonDemand.com and QuantGo.com for intraday data. BarCharts has good data and has been doing futures for a long time but it gets expensive for larger amounts of data. Recently we have been using QuantGo.com more as we can rent unlimited access to 6+ years of full tick (both...

Do you want live or historical data for testing ?

The IB feed is not a real feed but uses snapshots from 1/10 second (every 100 ms). For an HFT strategy you should get every tick...try a direct feed from Activ or Nanex.

QuantGo.com now has an R library which allows you to download historical data directly from R for any exchange worldwide. The catch is that you have to use a virtual instance in the QuantGo cloud. This allows you to rent access to years of data for an affordable fixed monthly fee but you...