Intraday historical data

Rule of thumb....if intraday quotes are 'free' they are probably not very accurate. Proceed with caution if you want to do any backtesting or if OHLC and those types of details are important to you.
 
thank you for advice. I am aware of that - there are full IT groups dedicated to maintaining quality of data in high-frequency trading hedge funds.

I am just looking for a source for delayed (say 20-min) intraday data
 
yes, google and yahoo offer this

google you can only access inside of their igoogle widget sandbox environment (or inside of google docs/spreadsheets)

yahoo you can access through tradelink

Code: 
using TradeLink.Research;

QuickQuote qq = QuickQuote.Fetch("IBM");
debug(qq.price);
debug(qq.vol);

http://tradelink.googlecode.com
 
Google and Yahoo offer snapshot quotes. I am looking for intraday data in such form

date, time, open, high, low, close, volume
03/25/2010,11:23,201.63,203.89,200.92,202.93,1400
03/25/2010,11:24,201.93,203.90,200.02,201.93,1100
03/25/2010,11:25,201.83,202.89,200.11,201.55,1200
 
ah. not aware of anyone who offers that data for free.

you could build that data yourself by requesting snapshots every few intervals.

otherwise might need to buy the data or subscribe to a service that provides it.
 
There is a way to collect intraday data for free. There are programs that can do that by pulling real-time data from Yahoo site. I strongly recommend using MLDownloader which is the most feature rich and at the same time the most user friendly program available: http://www.trading-tools.com/mld.htm

The big disadvantage is that you don't get any historical data. For that, there are three cheap data providers available:

1. Kibot: http://www.kibot.com/
2. Pi-Trading: http://pitrading.com/
3. Price-Data: http://www.grainmarketresearch.com/

There are others, but these three are the least expensive ones.
 
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