Best place to purchase historical stock data for backtesting??

[gmst]

Red Flag: Why is it so cheap when other data sources are so costly ?

Does anyone know the reason? What about their data quality ?

On a more basic level, does anyone know how this business of data capturing, organizing and re-selling it to others work ? Assuming any wannable vendor has to first buy the data from exchange (under some contract), and then probably clean/organize it and then sell it - why will different data vendors differ so much in their data cost.

Just looking to understand how this data business is run? Thanks for pointers.

 

[Bob111]

if you want accurate results make sure that delisted stocks are also in it. and this particular piece of data is extremely hard to find.

 

[sneakoner]

Quote from gmst:

Red Flag: Why is it so cheap when other data sources are so costly ?

Does anyone know the reason? What about their data quality ?

bump

i would like to know this as well, if anybody has experience with pi trading

 

[kcgoogler]

I have done a bit of testing using their data. Cant quantify but the data quality looks good to me. Over the time i have data from IQFeed, my system results match across iqfeed and pitrading. So worked for me.

-gariki

 

[intradaybill]

Get free daily data from yahoo! and then write an algo to generate random intraday data based on HLC constraints of daily data. Cost you nothing and if your system passes this test then you can spend money to test on a small subset of stocks that will cost you much less.

 

[CET]

I have seen tickdata.com recommended, but I have not used it. Just FYI.

 

[HTmarket]

Try recording your own data.

 

[Rodney King]

Quote from intradaybill:

Get free daily data from yahoo

That's fine, if you're unconcerned about survivorship-bias in your stock universe (as mentioned by Bob).

 

[Mike805]

Quote from intradaybill:

...write an algo to generate random intraday data based on HLC constraints of daily data.

Absolutely terrible advice. Do not listen to this guy, he doesn't know what he's doing.

Do not use yahoo, yahoo daily quotes use open/close values that are not tradeable prices, you will not be consistently filled at those prices.

Get your data from a reliable source. Livevol is very good, as is IQ feed, TradeStation also has good data.

Why the hell anyone would attempt to generate their own "random" intraday data blows my mind. This person has no idea what they're doing. Reminds me of a well known rule: garbage in = garbage out.

 

[AK Forty Seven]

Quote from sneakoner:

bump

i would like to know this as well, if anybody has experience with pi trading

I have and a lot of their data is inaccurate.I would not buy from them again