Historical Data for Python

Patryk Jalmuzna · Oct 31, 2017

Hi Traders

I'm surprised that it is so difficult to find a good source to historical data for stocks listed on NASDQ & NYSE. Are there any members here that can help me figure out what are some of the best options for download of historical data for market research (backtesting) with Python?

Without it being very expensive. And of course, minimum 1-minute data and preferably tick data. It does not have to be Level 2 data.

I hope someone can help me figure this out. Thank you very much!

small_el_trader · Oct 31, 2017

quandl?

Patryk Jalmuzna · Nov 1, 2017

Thank you. However, that site does not offer any intraday data. Neither tick data or 1-minute. http://help.quandl.com/category/39-data-coverage

I am sure you understand the importance of at least 1 minute data.

The data does not have to be free. Just not 5 grand like with NASDAQDataOnDemand Subscription or others.

d08 · Nov 1, 2017

just21 · Nov 1, 2017

Sign up for esignal classic delayed for $45 a month. Use qcollector from www.mechtrading.com to get intraday data from esignal. Cancel esignal. If you don't cancel then the intraday data files will be kept up-to-date.

traider · Nov 1, 2017

just21 said:
Sign up for esignal classic delayed for $45 a month. Use qcollector from www.mechtrading.com to get intraday data from esignal. Cancel esignal. If you don't cancel then the intraday data files will be kept up-to-date.

Can esignal classic connect to ninja?
What are the markets that esignal provide? Futures? HK? Asia? China? SGX?

just21 · Nov 1, 2017

traider said:
Can esignal classic connect to ninja?
What are the markets that esignal provide? Futures? HK? Asia? China? SGX?

Esignal classic international is $55 a month delayed no exchange fee. Covers the markets you mentioned though not sure about China. I thought that ninja trader got intraday data from www.kinetick.com which is iqfeed at a lower price. There is a version of qcollector that takes data from iqfeed.

Metamega · Nov 1, 2017

IQFeed and q collector or Esignal and QCollector

Never used QCollector myself, used IQFeed directly in Amibroker. Pretty sure QCollector just puts the data into a .csv which you could easily use in Python.

globalarbtrader · Nov 1, 2017

Patryk Jalmuzna said:
Hi Traders

I'm surprised that it is so difficult to find a good source to historical data for stocks listed on NASDQ & NYSE. Are there any members here that can help me figure out what are some of the best options for download of historical data for market research (backtesting) with Python?

Without it being very expensive. And of course, minimum 1-minute data and preferably tick data. It does not have to be Level 2 data.

I hope someone can help me figure this out. Thank you very much!

https://github.com/RomelTorres/alpha_vantage

Haven't used this myself but might be good

GAT

Patryk Jalmuzna · Nov 1, 2017

d08 said:
IB

d08, is it possible to buy and download the data from IB without a brokerage account?

just21 said:
Sign up for esignal classic delayed for $45 a month. Use qcollector from www.mechtrading.com to get intraday data from esignal. Cancel esignal. If you don't cancel then the intraday data files will be kept up-to-date.

Yes that is also exactly the option I have considered the most so far. Getting data from Esignal or iQfeed and export it through a third part software like QCollector.

But are these sources reliable?

Metamega said:
Pretty sure QCollector just puts the data into a .csv which you could easily use in Python.

QCollector saves the data in a ASCII text format.
ASCII works perfect with Python, right?