I am relatively new to analyzing financial data but have some experience with R. I understand that the data available from Yahoo Finance via its API is often questionable in quality and Google Finance is no longer available. Although Googling pointed me to some other sources such as Quandl etc., I am curious which other data sources quantmod itself supports for data retrieval, ie via an API, not via downloading and importing CSV-files? My interest is really US equities, stock options and ETFs - if possible from the same data source... Pointers to favorite data sources appreciated! Thank you.
Free financial data - equities, equity options and ETFs - for quantmod package (or other packages)
18 messages · H, Mario, Siegfried Köstlmeier +8 more
I have quite good experience with this website: https://eodhistoricaldata.com/ <https://eodhistoricaldata.com/> You have to pay some money but its quite good in my opinion.
On 4 Apr 2019, at 05:08, H <agents at meddatainc.com> wrote: I am relatively new to analyzing financial data but have some experience with R. I understand that the data available from Yahoo Finance via its API is often questionable in quality and Google Finance is no longer available. Although Googling pointed me to some other sources such as Quandl etc., I am curious which other data sources quantmod itself supports for data retrieval, ie via an API, not via downloading and importing CSV-files? My interest is really US equities, stock options and ETFs - if possible from the same data source... Pointers to favorite data sources appreciated! Thank you. [[alternative HTML version deleted]]
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https://iextrading.com/trading/market-data/ https://www.barchart.com
El 4 abr 2019, a las 5:08, H <agents at meddatainc.com> escribi?: I am relatively new to analyzing financial data but have some experience with R. I understand that the data available from Yahoo Finance via its API is often questionable in quality and Google Finance is no longer available. Although Googling pointed me to some other sources such as Quandl etc., I am curious which other data sources quantmod itself supports for data retrieval, ie via an API, not via downloading and importing CSV-files? My interest is really US equities, stock options and ETFs - if possible from the same data source... Pointers to favorite data sources appreciated! Thank you. [[alternative HTML version deleted]]
_______________________________________________ R-SIG-Finance at r-project.org mailing list https://stat.ethz.ch/mailman/listinfo/r-sig-finance -- Subscriber-posting only. If you want to post, subscribe first. -- Also note that this is not the r-help list where general R questions should go.
A list of data sources for financial and economic data available online is posted on Quantitative Finance Stack Exchange here: https://quant.stackexchange.com/a/168/29318 Am 04.04.19 um 05:08 schrieb H:
I am relatively new to analyzing financial data but have some experience with R. I understand that the data available from Yahoo Finance via its API is often questionable in quality and Google Finance is no longer available. Although Googling pointed me to some other sources such as Quandl etc., I am curious which other data sources quantmod itself supports for data retrieval, ie via an API, not via downloading and importing CSV-files? My interest is really US equities, stock options and ETFs - if possible from the same data source... Pointers to favorite data sources appreciated! Thank you. [[alternative HTML version deleted]]
_______________________________________________ R-SIG-Finance at r-project.org mailing list https://stat.ethz.ch/mailman/listinfo/r-sig-finance -- Subscriber-posting only. If you want to post, subscribe first. -- Also note that this is not the r-help list where general R questions should go.
quantmod supports multiple data sources, both paid and free. The documentation is installed with the package or you can find a pdf here: https://cran.r-project.org/web/packages/quantmod/quantmod.pdf The code is here: https://github.com/joshuaulrich/quantmod/blob/master/R/getSymbols.R For free daily data sources, I usually use Tiingo or Quandl in my public talks. These certainly have US equities and ETF's. Especially for intraday data, expect to have to pay for it. We have had good luck with IQFeed on the low end of the cost scale. I am not aware of a simple online source for historical options data. Also, check if your broker has an API. e.g. Interactive Brokers(IB), TD Ameritrade, and Fidelity (at least) all have programmatic ways of retrieving data. IB has an R package, as does Quandl. For CSV data sources that would be downloaded from online, you can bring them directly into R without having to go through the intermediary step of saving the file to your local disk. R's data functions can use a url as a handle to open a data stream (this is how quantmod's downloaders work, see the code above). Regards, Brian
On 4/3/19 10:08 PM, H wrote:
I am relatively new to analyzing financial data but have some experience with R. I understand that the data available from Yahoo Finance via its API is often questionable in quality and Google Finance is no longer available. Although Googling pointed me to some other sources such as Quandl etc., I am curious which other data sources quantmod itself supports for data retrieval, ie via an API, not via downloading and importing CSV-files? My interest is really US equities, stock options and ETFs - if possible from the same data source... Pointers to favorite data sources appreciated! Thank you.
On Wed, Apr 3, 2019 at 11:37 PM Lars Nygaard <lrs.ngrd at gmail.com> wrote:
I have quite good experience with this website: https://eodhistoricaldata.com/ <https://eodhistoricaldata.com/> You have to pay some money but its quite good in my opinion.
There's no need to pay for this data. You can get the same data for free from tiingo.com. You only need to sign up to get an API key.
On 4 Apr 2019, at 05:08, H <agents at meddatainc.com> wrote:
I am relatively new to analyzing financial data but have some experience with R. I understand that the data available from Yahoo Finance via its API is often questionable in quality and Google Finance is no longer available.
Although Googling pointed me to some other sources such as Quandl etc., I am curious which other data sources quantmod itself supports for data retrieval, ie via an API, not via downloading and importing CSV-files?
My interest is really US equities, stock options and ETFs - if possible from the same data source...
Pointers to favorite data sources appreciated!
Thank you.
[[alternative HTML version deleted]]
_______________________________________________ R-SIG-Finance at r-project.org mailing list https://stat.ethz.ch/mailman/listinfo/r-sig-finance -- Subscriber-posting only. If you want to post, subscribe first. -- Also note that this is not the r-help list where general R questions should go.
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Joshua Ulrich | about.me/joshuaulrich FOSS Trading | www.fosstrading.com R/Finance 2019 | www.rinfinance.com
Yes for US stocks tiingo.com is good. I use eodhistoricaldata.com <http://eodhistoricaldata.com/> because i need also other markets in Europe.
On 4 Apr 2019, at 13:23, Joshua Ulrich <josh.m.ulrich at gmail.com> wrote: On Wed, Apr 3, 2019 at 11:37 PM Lars Nygaard <lrs.ngrd at gmail.com <mailto:lrs.ngrd at gmail.com>> wrote:
I have quite good experience with this website: https://eodhistoricaldata.com/ <https://eodhistoricaldata.com/> <https://eodhistoricaldata.com/ <https://eodhistoricaldata.com/>> You have to pay some money but its quite good in my opinion.
There's no need to pay for this data. You can get the same data for free from tiingo.com <http://tiingo.com/>. You only need to sign up to get an API key.
On 4 Apr 2019, at 05:08, H <agents at meddatainc.com> wrote:
I am relatively new to analyzing financial data but have some experience with R. I understand that the data available from Yahoo Finance via its API is often questionable in quality and Google Finance is no longer available.
Although Googling pointed me to some other sources such as Quandl etc., I am curious which other data sources quantmod itself supports for data retrieval, ie via an API, not via downloading and importing CSV-files?
My interest is really US equities, stock options and ETFs - if possible from the same data source...
Pointers to favorite data sources appreciated!
Thank you.
[[alternative HTML version deleted]]
_______________________________________________ R-SIG-Finance at r-project.org mailing list https://stat.ethz.ch/mailman/listinfo/r-sig-finance -- Subscriber-posting only. If you want to post, subscribe first. -- Also note that this is not the r-help list where general R questions should go.
[[alternative HTML version deleted]]
_______________________________________________ R-SIG-Finance at r-project.org <mailto:R-SIG-Finance at r-project.org> mailing list https://stat.ethz.ch/mailman/listinfo/r-sig-finance <https://stat.ethz.ch/mailman/listinfo/r-sig-finance> -- Subscriber-posting only. If you want to post, subscribe first. -- Also note that this is not the r-help list where general R questions should go.
-- Joshua Ulrich | about.me/joshuaulrich <http://about.me/joshuaulrich> FOSS Trading | www.fosstrading.com <http://www.fosstrading.com/> R/Finance 2019 | www.rinfinance.com <http://www.rinfinance.com/>
How about breadth data? Can't find the symbols for advance declines on Yahoo. Mark
On Thu, Apr 4, 2019, 6:49 AM Lars Nygaard <lrs.ngrd at gmail.com> wrote:
Yes for US stocks tiingo.com is good. I use eodhistoricaldata.com < http://eodhistoricaldata.com/> because i need also other markets in Europe.
On 4 Apr 2019, at 13:23, Joshua Ulrich <josh.m.ulrich at gmail.com> wrote: On Wed, Apr 3, 2019 at 11:37 PM Lars Nygaard <lrs.ngrd at gmail.com
<mailto:lrs.ngrd at gmail.com>> wrote:
I have quite good experience with this website:
https://eodhistoricaldata.com/ <https://eodhistoricaldata.com/> < https://eodhistoricaldata.com/ <https://eodhistoricaldata.com/>>
You have to pay some money but its quite good in my opinion.
There's no need to pay for this data. You can get the same data for free from tiingo.com <http://tiingo.com/>. You only need to sign up to
get an API key.
On 4 Apr 2019, at 05:08, H <agents at meddatainc.com> wrote: I am relatively new to analyzing financial data but have some
experience with R. I understand that the data available from Yahoo Finance via its API is often questionable in quality and Google Finance is no longer available.
Although Googling pointed me to some other sources such as Quandl
etc., I am curious which other data sources quantmod itself supports for data retrieval, ie via an API, not via downloading and importing CSV-files?
My interest is really US equities, stock options and ETFs - if
possible from the same data source...
Pointers to favorite data sources appreciated!
Thank you.
[[alternative HTML version deleted]]
_______________________________________________ R-SIG-Finance at r-project.org mailing list https://stat.ethz.ch/mailman/listinfo/r-sig-finance -- Subscriber-posting only. If you want to post, subscribe first. -- Also note that this is not the r-help list where general R
questions should go.
[[alternative HTML version deleted]]
_______________________________________________ R-SIG-Finance at r-project.org <mailto:R-SIG-Finance at r-project.org>
mailing list
https://stat.ethz.ch/mailman/listinfo/r-sig-finance> -- Subscriber-posting only. If you want to post, subscribe first. -- Also note that this is not the r-help list where general R questions should go. -- Joshua Ulrich | about.me/joshuaulrich <http://about.me/joshuaulrich> FOSS Trading | www.fosstrading.com <http://www.fosstrading.com/> R/Finance 2019 | www.rinfinance.com <http://www.rinfinance.com/> [[alternative HTML version deleted]] _______________________________________________ R-SIG-Finance at r-project.org mailing list https://stat.ethz.ch/mailman/listinfo/r-sig-finance -- Subscriber-posting only. If you want to post, subscribe first. -- Also note that this is not the r-help list where general R questions should go.
Quantgo is also an option i.e. rent of survivorship bias-free data rather than buyhttps://www.quantgo.com/Discussion on rent vs buy.Rent, don?t buy, data: our experience with QuantGo (Guest Post) | | | | Rent, don?t buy, data: our experience with QuantGo (Guest Post) By Roger Hunter I am a quant researcher and developer for QTS Partners, a commodity pool Ernie (author of this... | | | Anil
On Thursday, April 4, 2019, 7:59:21 AM EDT, Mark McClellan <markpmc at gmail.com> wrote:
How about breadth data? Can't find the symbols for advance declines on Yahoo. Mark
On Thu, Apr 4, 2019, 6:49 AM Lars Nygaard <lrs.ngrd at gmail.com> wrote:
Yes for US stocks tiingo.com is good. I use eodhistoricaldata.com < http://eodhistoricaldata.com/> because i need also other markets in Europe.
On 4 Apr 2019, at 13:23, Joshua Ulrich <josh.m.ulrich at gmail.com> wrote: On Wed, Apr 3, 2019 at 11:37 PM Lars Nygaard <lrs.ngrd at gmail.com
<mailto:lrs.ngrd at gmail.com>> wrote:
I have quite good experience with this website:
https://eodhistoricaldata.com/ <https://eodhistoricaldata.com/> < https://eodhistoricaldata.com/ <https://eodhistoricaldata.com/>>
You have to pay some money but its quite good in my opinion.
There's no need to pay for this data.? You can get the same data for free from tiingo.com <http://tiingo.com/>.? You only need to sign up to
get an API key.
On 4 Apr 2019, at 05:08, H <agents at meddatainc.com> wrote: I am relatively new to analyzing financial data but have some
experience with R. I understand that the data available from Yahoo Finance via its API is often questionable in quality and Google Finance is no longer available.
Although Googling pointed me to some other sources such as Quandl
etc., I am curious which other data sources quantmod itself supports for data retrieval, ie via an API, not via downloading and importing CSV-files?
My interest is really US equities, stock options and ETFs - if
possible from the same data source...
Pointers to favorite data sources appreciated! Thank you. ? ? ? [[alternative HTML version deleted]]
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questions should go.
? ? ? ? [[alternative HTML version deleted]]
_______________________________________________ R-SIG-Finance at r-project.org <mailto:R-SIG-Finance at r-project.org>
mailing list
https://stat.ethz.ch/mailman/listinfo/r-sig-finance> -- Subscriber-posting only. If you want to post, subscribe first. -- Also note that this is not the r-help list where general R questions should go. -- Joshua Ulrich? |? about.me/joshuaulrich <http://about.me/joshuaulrich> FOSS Trading? |? www.fosstrading.com <http://www.fosstrading.com/> R/Finance 2019 | www.rinfinance.com <http://www.rinfinance.com/> ? ? ? ? [[alternative HTML version deleted]] _______________________________________________ R-SIG-Finance at r-project.org mailing list https://stat.ethz.ch/mailman/listinfo/r-sig-finance -- Subscriber-posting only. If you want to post, subscribe first. -- Also note that this is not the r-help list where general R questions should go.
??? [[alternative HTML version deleted]] _______________________________________________ R-SIG-Finance at r-project.org mailing list https://stat.ethz.ch/mailman/listinfo/r-sig-finance -- Subscriber-posting only. If you want to post, subscribe first. -- Also note that this is not the r-help list where general R questions should go.
On 4 Apr 2019, at 11:31, Brian G. Peterson <brian at braverock.com> wrote: quantmod supports multiple data sources, both paid and free. The documentation is installed with the package or you can find a pdf here: https://cran.r-project.org/web/packages/quantmod/quantmod.pdf The code is here: https://github.com/joshuaulrich/quantmod/blob/master/R/getSymbols.R For free daily data sources, I usually use Tiingo or Quandl in my public talks. These certainly have US equities and ETF's. Especially for intraday data, expect to have to pay for it. We have had good luck with IQFeed on the low end of the cost scale. I am not aware of a simple online source for historical options data. Also, check if your broker has an API. e.g. Interactive Brokers(IB), TD Ameritrade, and Fidelity (at least) all have programmatic ways of retrieving data.
There is also ActiveTick. They have options. The prices depend on the number of subscribed instruments. Their API also works on Linux. https://www.activetick.com/activetick/contents/MarketDataServicesPricing.aspx https://www.activetick.com/activetick/contents/MarketDataServicesDevelopers.aspx Best regards, Daniel
IB has an R package, as does Quandl. For CSV data sources that would be downloaded from online, you can bring them directly into R without having to go through the intermediary step of saving the file to your local disk. R's data functions can use a url as a handle to open a data stream (this is how quantmod's downloaders work, see the code above). Regards, Brian
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On 04/04/2019 05:31 AM, Brian G. Peterson wrote:
quantmod supports multiple data sources, both paid and free. The documentation is installed with the package or you can find a pdf here: https://cran.r-project.org/web/packages/quantmod/quantmod.pdf The code is here: https://github.com/joshuaulrich/quantmod/blob/master/R/getSymbols.R For free daily data sources, I usually use Tiingo or Quandl in my public talks.? These certainly have US equities and ETF's. Especially for intraday data, expect to have to pay for it.? We have had good luck with IQFeed on the low end of the cost scale. I am not aware of a simple online source for historical options data.? Also, check if your broker has an API.? e.g. Interactive Brokers(IB), TD Ameritrade, and Fidelity (at least) all have programmatic ways of retrieving data. IB has an R package, as does Quandl. For CSV data sources that would be downloaded from online, you can bring them directly into R without having to go through the intermediary step of saving the file to your local disk. R's data functions can use a url as a handle to open a data stream (this is how quantmod's downloaders work, see the code above). Regards, Brian On 4/3/19 10:08 PM, H wrote:
I am relatively new to analyzing financial data but have some experience with R. I understand that the data available from Yahoo Finance via its API is often questionable in quality and Google Finance is no longer available. Although Googling pointed me to some other sources such as Quandl etc., I am curious which other data sources quantmod itself supports for data retrieval, ie via an API, not via downloading and importing CSV-files? My interest is really US equities, stock options and ETFs - if possible from the same data source... Pointers to favorite data sources appreciated! Thank you.
_______________________________________________ R-SIG-Finance at r-project.org mailing list https://stat.ethz.ch/mailman/listinfo/r-sig-finance -- Subscriber-posting only. If you want to post, subscribe first. -- Also note that this is not the r-help list where general R questions should go.
Thank you. I have not reviewed the code but did not find a mention of any other data source besides Yahoo in the PDF-file but it is possible I missed it?
On 04/04/2019 09:22 PM, H wrote:
On 04/04/2019 05:31 AM, Brian G. Peterson wrote:
quantmod supports multiple data sources, both paid and free. The documentation is installed with the package or you can find a pdf here: https://cran.r-project.org/web/packages/quantmod/quantmod.pdf The code is here: https://github.com/joshuaulrich/quantmod/blob/master/R/getSymbols.R For free daily data sources, I usually use Tiingo or Quandl in my public talks.? These certainly have US equities and ETF's. Especially for intraday data, expect to have to pay for it.? We have had good luck with IQFeed on the low end of the cost scale. I am not aware of a simple online source for historical options data.? Also, check if your broker has an API.? e.g. Interactive Brokers(IB), TD Ameritrade, and Fidelity (at least) all have programmatic ways of retrieving data. IB has an R package, as does Quandl. For CSV data sources that would be downloaded from online, you can bring them directly into R without having to go through the intermediary step of saving the file to your local disk. R's data functions can use a url as a handle to open a data stream (this is how quantmod's downloaders work, see the code above). Regards, Brian On 4/3/19 10:08 PM, H wrote:
I am relatively new to analyzing financial data but have some experience with R. I understand that the data available from Yahoo Finance via its API is often questionable in quality and Google Finance is no longer available. Although Googling pointed me to some other sources such as Quandl etc., I am curious which other data sources quantmod itself supports for data retrieval, ie via an API, not via downloading and importing CSV-files? My interest is really US equities, stock options and ETFs - if possible from the same data source... Pointers to favorite data sources appreciated! Thank you.
_______________________________________________ R-SIG-Finance at r-project.org mailing list https://stat.ethz.ch/mailman/listinfo/r-sig-finance -- Subscriber-posting only. If you want to post, subscribe first. -- Also note that this is not the r-help list where general R questions should go.
Thank you. I have not reviewed the code but did not find a mention of any other data source besides Yahoo in the PDF-file but it is possible I missed it?
_______________________________________________ R-SIG-Finance at r-project.org mailing list https://stat.ethz.ch/mailman/listinfo/r-sig-finance -- Subscriber-posting only. If you want to post, subscribe first. -- Also note that this is not the r-help list where general R questions should go.
eodhistoricaldata.com API. Not free. Stock prices $20/mo, option in all-in-one package $50/mo. Not sure which module allows access to API. iextrading.com API. Seems to be free but will only include IEX data starting June. R module at https://github.com/imanuelcostigan/iex. barchart.com API. Did not find information on any R module. tiingo.com API. Did not see options on the website. Not sure which module allows access to API. quantco.com No information on website. fidelity.com Somebody mentioned Fidelity where I have an account. I did, however, not find any information on their website about API and R. Does anyone know? Any other sites?
I looked into IQFeed for intraday stock data, and unfortunately they only provide historical 1-minute data for stocks that are currently traded. This is not good enough for one of the strategies I'm working on. I am looking into other alternatives and will post my findings in this thread. Please let me know if you have other suggestions for historical intraday stock data covering the S&P 500. James Hirschorn, Ph.D. *Quantitative Technologies* Toronto, Canada +1-647-929-0494 On Thu, Apr 4, 2019 at 5:31 AM Brian G. Peterson <brian at braverock.com> wrote:
quantmod supports multiple data sources, both paid and free. The documentation is installed with the package or you can find a pdf here: https://cran.r-project.org/web/packages/quantmod/quantmod.pdf The code is here: https://github.com/joshuaulrich/quantmod/blob/master/R/getSymbols.R For free daily data sources, I usually use Tiingo or Quandl in my public talks. These certainly have US equities and ETF's. Especially for intraday data, expect to have to pay for it. We have had good luck with IQFeed on the low end of the cost scale. I am not aware of a simple online source for historical options data. Also, check if your broker has an API. e.g. Interactive Brokers(IB), TD Ameritrade, and Fidelity (at least) all have programmatic ways of retrieving data. IB has an R package, as does Quandl. For CSV data sources that would be downloaded from online, you can bring them directly into R without having to go through the intermediary step of saving the file to your local disk. R's data functions can use a url as a handle to open a data stream (this is how quantmod's downloaders work, see the code above). Regards, Brian On 4/3/19 10:08 PM, H wrote:
I am relatively new to analyzing financial data but have some experience
with R. I understand that the data available from Yahoo Finance via its API is often questionable in quality and Google Finance is no longer available.
Although Googling pointed me to some other sources such as Quandl etc.,
I am curious which other data sources quantmod itself supports for data retrieval, ie via an API, not via downloading and importing CSV-files?
My interest is really US equities, stock options and ETFs - if possible
from the same data source...
Pointers to favorite data sources appreciated! Thank you.
_______________________________________________ R-SIG-Finance at r-project.org mailing list https://stat.ethz.ch/mailman/listinfo/r-sig-finance -- Subscriber-posting only. If you want to post, subscribe first. -- Also note that this is not the r-help list where general R questions should go.
pt., 5 kwi 2019 o 05:34 James Hirschorn <james.hirschorn at quantitative-technologies.com> napisa?(a):
I looked into IQFeed for intraday stock data, and unfortunately they only provide historical 1-minute data for stocks that are currently traded. This is not good enough for one of the strategies I'm working on. I am looking into other alternatives and will post my findings in this thread. Please let me know if you have other suggestions for historical intraday stock data covering the S&P 500.
polygon.io - 6Y tick by tick history. $399/m if you are a pro (it's rather cheap) https://polygon.io/stocks TradingPhysics - milliseconds resolution. You pay per symbol, but it is often cheaper than buying the whole market data. They offer a lot of HFT indicators if you want to be very active. http://www.tradingphysics.com/Feeds/AvailableFeeds.aspx http://www.tradingphysics.com/Resources/Specifications/HistoricalTimeAndSales.aspx ActiveTick - 1-minute resolution or tick data (original, unfiltered and unmodified format) https://www.activetick.com/activetick/contents/MarketDataServicesDevelopers.aspx Take into account that if you want to have regular time series, the database in seconds or milliseconds will be huge. Best regards, Daniel
James Hirschorn, Ph.D. *Quantitative Technologies* Toronto, Canada +1-647-929-0494 On Thu, Apr 4, 2019 at 5:31 AM Brian G. Peterson <brian at braverock.com> wrote:
quantmod supports multiple data sources, both paid and free.
On Fri, Apr 5, 2019 at 5:53 AM Daniel Cegie?ka <daniel.cegielka at gmail.com> wrote:
pt., 5 kwi 2019 o 05:34 James Hirschorn <james.hirschorn at quantitative-technologies.com> napisa?(a):
I looked into IQFeed for intraday stock data, and unfortunately they only provide historical 1-minute data for stocks that are currently traded.
This
is not good enough for one of the strategies I'm working on. I am looking into other alternatives and will post my findings in this thread. Please let me know if you have other suggestions for historical intraday stock data covering the S&P 500.
Thanks for the great list Daniel.
polygon.io - 6Y tick by tick history. $399/m if you are a pro (it's rather cheap) https://polygon.io/stocks
Looks very promising. They go further back for 1-minute data, but they said that there is still some missing data for unlisted stocks which they expect to have added over the next few weeks.
TradingPhysics - milliseconds resolution. You pay per symbol, but it is often cheaper than buying the whole market data. They offer a lot of HFT indicators if you want to be very active. http://www.tradingphysics.com/Feeds/AvailableFeeds.aspx http://www.tradingphysics.com/Resources/Specifications/HistoricalTimeAndSales.aspx
Very impressive looking, but it appears to only go back to 2015.
ActiveTick - 1-minute resolution or tick data (original, unfiltered and unmodified format) https://www.activetick.com/activetick/contents/MarketDataServicesDevelopers.aspx This looks like the best deal. Their Live Support is offline though, and I
am still waiting to hear back from them. Best Regards
Take into account that if you want to have regular time series, the database in seconds or milliseconds will be huge. Best regards, Daniel
James Hirschorn, Ph.D. *Quantitative Technologies* Toronto, Canada +1-647-929-0494 On Thu, Apr 4, 2019 at 5:31 AM Brian G. Peterson <brian at braverock.com> wrote:
quantmod supports multiple data sources, both paid and free.
2 days later
On Fri, Apr 5, 2019 at 6:07 PM James Hirschorn <
james.hirschorn at quantitative-technologies.com> wrote:
On Fri, Apr 5, 2019 at 5:53 AM Daniel Cegie?ka <daniel.cegielka at gmail.com> wrote:
pt., 5 kwi 2019 o 05:34 James Hirschorn <james.hirschorn at quantitative-technologies.com> napisa?(a):
I looked into IQFeed for intraday stock data, and unfortunately they
only
provide historical 1-minute data for stocks that are currently traded.
This
is not good enough for one of the strategies I'm working on. I am looking into other alternatives and will post my findings in this thread. Please let me know if you have other suggestions for historical intraday stock data covering the S&P 500.
Thanks for the great list Daniel.
polygon.io - 6Y tick by tick history. $399/m if you are a pro (it's rather cheap) https://polygon.io/stocks
Looks very promising. They go further back for 1-minute data, but they said that there is still some missing data for unlisted stocks which they expect to have added over the next few weeks.
TradingPhysics - milliseconds resolution. You pay per symbol, but it is often cheaper than buying the whole market data. They offer a lot of HFT indicators if you want to be very active. http://www.tradingphysics.com/Feeds/AvailableFeeds.aspx http://www.tradingphysics.com/Resources/Specifications/HistoricalTimeAndSales.aspx
Very impressive looking, but it appears to only go back to 2015.
ActiveTick - 1-minute resolution or tick data (original, unfiltered and unmodified format) https://www.activetick.com/activetick/contents/MarketDataServicesDevelopers.aspx This looks like the best deal. Their Live Support is offline though, and
I am still waiting to hear back from them.
I still have not been able to contact them, so I will give up if I don't hear back by tomorrow. The next best deal I found was: https://pitrading.com/historical-market-data.html $179 for 1-minute stock data on 1241 US Stocks, going back about 15 years. My only concern is if the quality is good. Has anyone heard of them?
On Monday, April 8, 2019, 5:30:52 PM EDT, James Hirschorn <james.hirschorn at quantitative-technologies.com> wrote:
<snip> The next best deal I found was: https://pitrading.com/historical-market-data.html $179 for 1-minute stock data on 1241 US Stocks, going back about 15 years. My only concern is if the quality is good. Has anyone heard of them? **************************************************************************************************************** I have not used Pi Trading . The?Caltech Quantitative Finance Group?http://quant.caltech.edu/historical-stock-data.html?has criticized the quality of its data and of some other vendors mentioned in this thread, but a thread at a trader forumhttps://www.elitetrader.com/et/threads/is-kibot-legit-place-to-get-tick-historical-data-from.308296/?says that CQFG is not disinterested. AlphaVantage?https://www.alphavantage.co/?lets you download historical stock prices from Python (and maybe R) Vivek Rao, CFABoston, MA
I have read some bad things about CQFG and their "affiliate" QuantQuote. For example: https://github.com/michaelsmusing/sources-for-intraday-historical-stock-data It looks to me like AlphaVantage only has intraday stock data going back a couple of weeks.
On Mon, Apr 8, 2019 at 6:01 PM Vivek Rao <vivekrao4 at yahoo.com> wrote:
On Monday, April 8, 2019, 5:30:52 PM EDT, James Hirschorn < james.hirschorn at quantitative-technologies.com> wrote: <snip> The next best deal I found was: https://pitrading.com/historical-market-data.html $179 for 1-minute stock data on 1241 US Stocks, going back about 15 years. My only concern is if the quality is good. Has anyone heard of them? **************************************************************************************************************** I have not used Pi Trading . The Caltech Quantitative Finance Group http://quant.caltech.edu/historical-stock-data.html has criticized the quality of its data and of some other vendors mentioned in this thread, but a thread at a trader forum https://www.elitetrader.com/et/threads/is-kibot-legit-place-to-get-tick-historical-data-from.308296/ says that CQFG is not disinterested. AlphaVantage https://www.alphavantage.co/ lets you download historical stock prices from Python (and maybe R) Vivek Rao, CFA Boston, MA