Intraday ETF data

[Timetwister]

That is the whole point of qcollector.

Would it download data from inception? Here it says just 120 days: http://www.mechtrading.com/qcollector/esignal/faq.htm

 

[ZBZB]

http://www.kibot.com/buy.aspx#etfs Have etf one minute bar data back to 1998. $300 for top 50 etfs.

 

[Timetwister]

http://www.kibot.com/buy.aspx#etfs Have etf one minute bar data back to 1998. $300 for top 50 etfs.

Thanks, I'd have to buy the all ETF one, as I'm looking for data for some less liquid ones. So so far it seems like it'll have to be either Algoseek for $500 or eSignal+Mechtrading if it's possible to download since inception.

 

[sle]

Definitely there are so many vendors who offer 1 minute, I came across the following links sometimes back:

AlgoSeek.com : Intraday data back to 2007 for US Equities, Futures and Options. So you can get S&P 500 data. Intraday they have tick, 1 sec, 1 min and 5 min OHLC bars. Institutional data and well priced.

BarChartMarketData.com : Been collecting Futures data for 50+ years. Also have Options and some Equity. For Futures data they have a great reputation.

Bloomberg : All the data you ever need BUT you are limited in the amount of intraday data you can export from your Bloomberg and upto about 250 days historically.

Reuters: Great historical dataset but difficult to work with for an individual.

QuantGo.com : New firm where clients rent access to data by the month from multiple data vendors but have to use Amazon AWS cloud computers on QuantGo's platform. Very affordable if you are can/willing to work with virtual cloud computers.

Tickdata.com : Global Equities, Futures and Options. Intraday bar data from 2004. Consolidated tape since 1993. Have tick and bar data with 1 sec/1 min/5 min OHLC. Institutional quality data but very expensive.

I hope this will help you

Just to add my 2c.
* Bloomberg has institutional data package going back to the mid-2000 and it's pretty good. Very expensive, though, as licenses start at mid-six digits.
* The institutional standard is the Thomson Reuters Tick History. Not cheap.

 

[Kevin Schmit]

Thanks, but I need longer term intraday data, preferrably from inception.

I have 1min bars on all ETFs going back 10yrs+ (mid-2008), collected/cross-checked/merged from various sources. If you want a dozen or so to do preliminary testing on, post a comma-separated list here and I'll export and pm you a link to a too-large-to-post single file. You'll have to know how to use grep or some similar utility to parse out the individual names.

BTW, Kibot data is mostly useless, not even clean enough to use as a tertiary source.

 

[barnabieL10]

I have 1min bars on all ETFs going back 10yrs+ (mid-2008), collected/cross-checked/merged from various sources. If you want a dozen or so to do preliminary testing on, post a comma-separated list here and I'll export and pm you a link to a too-large-to-post single file. You'll have to know how to use grep or some similar utility to parse out the individual names.

Hey Kevin, I'm looking for the same type of 1-min data going back over 10 years or more, but just for the SPY. Don't need to sign up for anything, just need some stuff for backtesting and willing to compensate. Could you help?

 

[Vivaan Reyansh]

Thank you. Algoseek seems to offer exactly what I want, the sample files have all the information I'm looking for and in the format I want them (".csv"). However, their mininum order size is $500, while what I'd order would cost quite less at $5 per historical year (their price). I wonder if there's any more efficient option in that format.

They are very open to listening to you, try contacting them and ask for discount. I am sure they might be able to offer you something that can favor your budget