Affordable Historical Intraday Data for Short Term Alpha - Vendor review

[Chris Smith]

I focus on short term alpha ranging from intraday to about 5 days in US markets with equities, options and some futures (mainly hedging). A challenge has always been to get good data (eg. institutional quality) that is also affordable.

Vendors like tickdata.com and quantquote.com have good data but it is also very expensive to buy years of data.

I was reading Ernie Chan's blog (epchan.blogspot.com/) and he mentioned a new firm called QuantGo.com where I can lease access to years of historical institutional tick data instead of buying it. An example of their pricing is $250 per month for access to 5 years of US equities tick data. They are using an approach whereby I create my own computer instance(s) in a private cloud and then remotely login into them.

I have been testing it, I signed up and created two computer instances and then installed R, Eclipse and my own code and so far it is has worked pretty well. There have been a couple of glitches but these were quickly fixed. I keep a core set of data on my computer instance and download any other data as I need it...it does not make sense for me to store a lot of data as I have to pay per Gb per month for storage, as with any cloud computing.

They have good range of US intraday tick data and bars for US Equities, Options, Futures and also machine readable News. The data goes back 3 to 5 years, which is enough for most of what I do.

Are there any other data providers you can suggest I look at ? For my work Ineed Equities TAQ, some full depth equities (direct feeds from exchanges) and OPRA. Need data going back 2 years on approx 500 names.

 

[Matt Robust]

After reading Ernie's review on QuantGo, we checked out QuantGo ourselves and wrote our own positive reviews at QuantGo Review
http://robusttechhouse.com/quantgo-review/

For those countries where we have historical data, we don’t need to use QuantGo.

But for those countries where we don’t have historical data and they are not available cheaply, we would definitely consider QuantGo and renting data from them.

In many ways, I do find Quantopian (https://www.quantopian.com/) or QuantConnect (https://www.quantconnect.com/) would be much easier for newcomers. But they are extremely limited in market access (only US equities and maybe some FX). For those serious into this and want to explore markets not supported by Quantopian and QuantConnect using your own toolsets, you are better off doing it yourself if you have the data or using QuantGo if data is very expensive to buy one off and you are happier to rent.