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Tick Data and Range Bars
- Thread starter aegis
- Start date
Quote from aegis:
Am I correct in assuming that constant range bars require tick data? I'm interested in backtesting some systems on SPY with range bars, but I'm going to need about 10-15 years of tick data.
What are the cheapest options?
I'm not sure what you're expectations are re "cheap" for 10-15 yrs of tick data for SPY, but there's these two:
http://www.tickdatamarket.com/
http://www.tickdata.com/
//... The next statements are controversial ... //
Also, depending on what size range bars you're looking for, and if this size is significantly larger (i.e. ~ 100x ?) than a typical SPY 1-min bar, you might get away with a reasonable approximation (in terms of constructing range bars) by recreating 4-ticks from each 1-min bar (one for each of OHLC) ... and 1-min historical data is cheaper than historical tick data ...
// ... I await a flaming for the above ... he he ... //
I have found that for purchasing single symbols, QuantQuote.com is by far the cheapest. Their minimum order size is only $25. With Tickdata.com, the minimum is $250.
Let me know if you would like to purchase SPY data. I have it going back to 2004.
Joann
Joann
Im sure there is something I can do.
Tom
Tom