Historical intra stock/future data

sungtaeyoo · Dec 4, 2010

I'm a programmer and so far I could get historical daily data from Yahoo without problem. For intraday data I could get from IB. But IB has limitation to get historical data. I can get 1 min data only for 5 days at a time and there is limit to get historical data in certain time period.

Do you know any good place to get Historical intra stock/future data? I searched at google but it didn't give me clear information. Free is better but charged is OK if it's not too expensive. I don't want to get account from another brokerage to get only intraday data.

Thanks.

abattia · Dec 4, 2010

http://www.pitrading.com/

maxdama · Dec 5, 2010

Here are some sources I've kept track of:
Book data for NASDAQ and NYSE. Only a few days of data, but it's 9GB each and for high frequency you could get 10 trades in a day in each of 100 symbols, and suddenly it's not such a small number of data points for a backtest.
5-minute bars from 2001-2008 for AAPL and 1998-2006 for ES.

You can get more from IB but you need to do some work to have your script get around their limits.

sungtaeyoo · Dec 5, 2010

Quote from abattia:

http://www.pitrading.com/

Thank you. It seems to be what I'm looking for. Before ordering that, I have some question. Did you purchase the same data? If so, the data is reliable?

Bob111 · Dec 5, 2010

IQ feed is $30 via quotetracker

http://www.iqfeed.net/QuoteTracker/index.cfm?displayaction=data&section=fees

TD does have decent intraday data and API,but must have an account with some money on it.$10 should be more than enough

abattia · Dec 5, 2010

Quote from sungtaeyoo:

Thank you. It seems to be what I'm looking for. Before ordering that, I have some question. Did you purchase the same data? If so, the data is reliable?

I did purchase the data, and I use it everyday.

As to "reliable", I have never tried to calibrate the data against other sources, so I don't have an answer to your question.

RedEyeFly · Dec 5, 2010

I used TickData. Not free, but quality clean data.

rosy2 · Dec 6, 2010

http://www.cmegroup.com/market-data/datamine-historical-data/datamine.html

sungtaeyoo · Dec 6, 2010

Quote from Bob111:

IQ feed is $30 via quotetracker

http://www.iqfeed.net/QuoteTracker/index.cfm?displayaction=data&section=fees

TD does have decent intraday data and API,but must have an account with some money on it.$10 should be more than enough

Thank you for the info. About iqfeed, can I download historical data without any limit? I only need historical data once for backtest. So can I subscribe for only one month and download all data?