Looking for Historical Time and Sales Tick Data

ET873 · Dec 31, 2009

I need historical time and sales data for Nasdaq (at least Top 100 stocks by market cap), going back at least a year, in order to generate market profile (bid/ask quotes not needed). Anyone know of the cheapest source? I am looking for a replacement for OpenTick.

[Proximo] · Dec 31, 2009

www.cme.com

ET873 · Dec 31, 2009

Proximo, sorry, I forgot to clarify that I am interested in historical time and sales data for Nasdaq equities. I revised my original post. Ideally, I would like access to all Nasdaq traded stocks, but just the top 100 or even top 10 should suffice for now...still experimenting.

ET873 · Dec 31, 2009

Ok, how about 1 minute time interval time and sales data going back at least a year? Where's the cheapest place to find that? I heard it's included for free with a TD Ameritrade account. Can anyone confirm?

croupier · Dec 31, 2009

Did not check if they have what you look for, but see yourself:

https://www.cqgdatafactory.com
http://www.tradingphysics.com
http://www.kibot.com
http://www.tickplusdata.com
http://www.analytichouse.com

Regards

highballer · Dec 31, 2009

Quote from croupier:

Did not check if they have what you look for, but see yourself:

1-min for Nasdaq 100 + S&P 500 + Dow 30 + ETFs going back 6 or 7 years:

http://pitrading.com/intraday_ascii_data_stocks_edition.htm

Engine99 · Jan 1, 2010

I've 15 seconds candles (ohlc, no volume) for about 330 symbols (highly liquid etfs, liquid nasdaq 100, highly liquid nyse) for over a year (some back for over 2 years). Total over 250M quotes.

PM me if you're interested or if you want to check which symbols are covered.

Mike Cirillo · Jan 7, 2010

Thomson Reuters can provide this data.

We are the only vendor to offer 13-year tick histories for cross-asset securities.

Please see the following link for more info: http://thomsonreuters.com/products_.../quantitave_event_driven_trading/tick_history

Feel free to contact me if you have any questions.

Thanks!

WinstonTJ · Jan 9, 2010

Quote from Mike Cirillo:

Thomson Reuters can provide this data.

We are the only vendor to offer 13-year tick histories for cross-asset securities.

Please see the following link for more info: http://thomsonreuters.com/products_.../quantitave_event_driven_trading/tick_history

Feel free to contact me if you have any questions.

Thanks!

Do you provide sub-second tick data?