historic stock data on intraday basis: what's your take?

M

man

hi everyone,

we've been doing intraday futures for quite a while and
had done stocks on daily data some years ago (stat
arb - dried out - quit). now i want to give intraday stock
trading a shot and the first issue is: data. i can buy data
from tickdata which is dividend and splitadjusted, but
then i have the issue on an ongoing basis of running my
own database and have to do all adjustments on my own.
so my question is: how do you do that? the universe i
am interested in is the sp500 and the eurostoxx 600. i
know i won't be able to trade all of these stocks intraday
but that is roughly the amount of data i am looking at.

the other thing is to say intraday is short holding period
anyways, so forget about adjustment and take the raw
tickdata as it is coming from reuters. not really what i
am heading for ... but maybe. better than to be clean
and make no money.

thnx for contributing.
 
You can use a combination of Yahoo's split / dividend data and opentick's intraday data.

The data quality will be reasonable and it is free.
 
Quote from chvid:

You can use a combination of Yahoo's split / dividend data and opentick's intraday data.

The data quality will be reasonable and it is free.
More...
i am a little sceptic about "reasonable" quality and "free". usually
you end up with massive amount of work on your side. which i am
trying to prevent, so my people can concentrate on developing.
nevertheless, thnx for the hint. will check it out. free sources are
often great, just did not think it was like that in this field, but i am
happy to be proven wrong ... :)
 
So what exactly is your question? You want to know how to store massive amounts of tick data, or do you want to know where to get reliable historical tick data?

Either way, use the search feature, there are a few threads on this.
 
Quote from ATLien:

So what exactly is your question? You want to know how to store massive amounts of tick data, or do you want to know where to get reliable historical tick data?

Either way, use the search feature, there are a few threads on this.
More...
i do not have a technical problem with the amount of
data, it is more the nature of the data. futures are easy.
you just need to organise the rollover and that is it. but
stock are a different animal with dividends, splits and all
kind of biases (survivorship being the most obvious). so
for a small group like mine it is quite an important thing
how to get into this field, starting with which data to get
from whom. and i do not look for free sources. i am very
willing to pay if i can manage to keep my developers as
free as possible from passive work like data manipulation.
it finally will require some of their time anyways, but
i want to keep that as little as possible.

i thought starting a thread in the "automated trading"
section is quickest to get somewhere. see, i am not
just looking for cheap intraday data or so. it is a more
complex question including aspects of backtesting.
 
You're still not being very specific about what exactly you're looking for, also some kind of price range would be very helpful in answering any further questions.

tickdata.com is very highly reviewed, and I've indirectly worked with some of their data, and can vouch. I don't know if this is in your price range though.
 
Quote from ATLien:

You're still not being very specific about what exactly you're looking for, also some kind of price range would be very helpful in answering any further questions.

tickdata.com is very highly reviewed, and I've indirectly worked with some of their data, and can vouch. I don't know if this is in your price range though.
More...
sorry. i am trying to be as specific as i can. sp500 and
eurostoxx600, intraday data. tickdata's us package on
1minute data is 48' according to their site. is within my
"price range". they do not mention their subscription
package, so i cannot judge that. the price is not the major
issue with them. i am concerned with their policy. they
do not deliver the full package so to speak. i would love
to have one feed for history and real time. admittedly
on futures we are doing things on our own and our data
vendor does not deliver the full history. but with futures
it is easier as i pointed out earlier. i simply do not like
the one month delivery of intraday data. is simply not
what i would dream to have. do not know if it is still
the case, but they had it like that: monthly update
of their minute data.

see, if tickdata is actually the only thing out there,
fine, then i have to check it out with them or outsource
it somewhere else. that is the reason why i started
this thread in the first place.

it is still puzzling me why the data vendors do not offer
products of that kind. i mean they have all the data
and all the maintenance people ... well ... whatever,
i've been having this question for a decade ...
 
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