Need historical minute data - good source?
- Thread starter Kever
- Start date
I purchased a DVD from Pitrading with 1 min data (one year ago), the data goes back to approximately 2003. The data as ok quality and I use it a lot for backtesting!
http://www.pitrading.com/historical_data.htm
I use Qcolletor/IQfeed to keep my database up to date.
http://www.pitrading.com/historical_data.htm
I use Qcolletor/IQfeed to keep my database up to date.
I completely understand Kever's frustration.
We also had a hard time finding inexpensive historical data for our quantitative analysis. There are many options, but the price was usually out of our range. At the end, we were considering these data providers:
1. eSignal
- About $110 per month
- Lots of historical data: 12 years for stocks and 3 years for futures and forex
The problem is that you can only download data using their Qcharts or eSignal platform. There is no easy and reliable way to collect and export bars to any external storage such as ASCII csv file. If you download quotes for a few years and then try to use the export feature, the software crashes.
Like Kever said, third-party software is unable to access eSignal extended data. Their API restricts access to the complete database and only allows 120 days of 1 minute bars and 10 days of tick data.
For more information about historical data you can get from eSignal, visit this web page: http://kb.esignalcentral.com/article.asp?article=1203&p=1
2. IQFeed
- Their basic service is $60 per month
- You can download their entire historical database using software like QCollector
Although access to their data is not restricted to third-party applications, like with eSignal, the problem with IQFeed is that they only have less than 3 years of stock and futures data and forex data goes back to 2005.
You can get more information about IQFeed data on this page: http://www.iqfeed.net/QCollector/index.cfm?displayaction=data§ion=services
3. Kibot
We finally ended up purchasing data from Kibot. We were able to get all stocks in DOW 30 for only $150. Their data goes back to 1998. With our 1 minute data purchase we also received the daily, end-of-day quotes for free. They also have a data update service which we did not purchase for now since the quarterly updates are free.
Their web site address is http://www.kibot.com/
I hope this helps.
Biba
We also had a hard time finding inexpensive historical data for our quantitative analysis. There are many options, but the price was usually out of our range. At the end, we were considering these data providers:
1. eSignal
- About $110 per month
- Lots of historical data: 12 years for stocks and 3 years for futures and forex
The problem is that you can only download data using their Qcharts or eSignal platform. There is no easy and reliable way to collect and export bars to any external storage such as ASCII csv file. If you download quotes for a few years and then try to use the export feature, the software crashes.
Like Kever said, third-party software is unable to access eSignal extended data. Their API restricts access to the complete database and only allows 120 days of 1 minute bars and 10 days of tick data.
For more information about historical data you can get from eSignal, visit this web page: http://kb.esignalcentral.com/article.asp?article=1203&p=1
2. IQFeed
- Their basic service is $60 per month
- You can download their entire historical database using software like QCollector
Although access to their data is not restricted to third-party applications, like with eSignal, the problem with IQFeed is that they only have less than 3 years of stock and futures data and forex data goes back to 2005.
You can get more information about IQFeed data on this page: http://www.iqfeed.net/QCollector/index.cfm?displayaction=data§ion=services
3. Kibot
We finally ended up purchasing data from Kibot. We were able to get all stocks in DOW 30 for only $150. Their data goes back to 1998. With our 1 minute data purchase we also received the daily, end-of-day quotes for free. They also have a data update service which we did not purchase for now since the quarterly updates are free.
Their web site address is http://www.kibot.com/
I hope this helps.
Biba
With IQFeed do you have to run your application that uses the API from the desktop or could i write a C++ app that runs on my web server that could connect to the IQFeed data also?
Shortskirt,
I think I can answer your question since we explored every possible way to get historical data from almost all data providers.
You can use any third-party software that supports IQFeed streaming data and backfill. Some of them, like QuoteTracker, allow you to export data from program using UI or API. You can therefore use a third-party API to access data from IQFeed. For more information about this feature in QuoteTracker, please visit this web page.
IQFeed has a COM/ActiveX component that provides access to their historical or streaming data. If you are more of a .NET person, you can try using the open source component IQFeed .NET API Wrapper.
I think I can answer your question since we explored every possible way to get historical data from almost all data providers.
You can use any third-party software that supports IQFeed streaming data and backfill. Some of them, like QuoteTracker, allow you to export data from program using UI or API. You can therefore use a third-party API to access data from IQFeed. For more information about this feature in QuoteTracker, please visit this web page.
IQFeed has a COM/ActiveX component that provides access to their historical or streaming data. If you are more of a .NET person, you can try using the open source component IQFeed .NET API Wrapper.
I'm using IQFeed n I receive a lot of crazy high-low bar (sth like 100x the normal high close range). Do u guys have the same problem? And how do u deal with it?
Sign up for TradeStation. Open an account and do a bit of trading, and all this is for free. And for futures, you don't have to put up with crappy continuous data that they have put together with god knows what rules. You can get individual contracts and make your own CC. Yes, you have to write little bit of EL code to get the data written out to ascii files, and yes, it's a bit of a PITA, but people have done it. (I haven't - don't care much for stocks). After you sign up, look in their forums for code snippets and ideas.