Free historical intraday stock data?

techer

New Member
Does anybody know where I can get free historical intraday stock data? I'd like to try to get 15 minute interval data for a new model I am working on. Alternative, if somebody has this data available already, I would much appreciate it if you were willing to share.
 

Eugene Krel

sunmulA
There are several threads on quantnet about getting market data for free or cheaply.

The more granular the data, the more it will cost you. In general data is pretty expensive.
 

techer

New Member
can you direct me to some of these threads you speak of? i did a quick search for historical data and was unable to turn up anything.
 

signaltdr

New Member
I don't think you will find free intraday data; lots of EOD sources to choose from.

I purchased 20 years of intraday market data from pitrading.com and use QCollector to keep the data up-to-date locally.
 

Tsotne

Well-Known Member
I remember one of the members here was also seeking one minute interval quotes. I found something and proved helpful. If you still haven't found tell me and I'll get that site somehow again.
 

techer

New Member
I thought I would post an update to my original post so perhaps this can help others in the future.

First, comprehensive free historical intraday stock data doesn't exist unless you are a student. If you are a student though, see if you can access the Wharton Research Database Services (WRDS) which has comprehensive historical data in tick resolution. I had access to this, but decided not to use it because it takes quite a bit of time/coding to process it into a more useable format.

After some searching, I eventually sucked it up and purchased from kibot which was recommended by a member in this thread. However, after using the kibot data for 6 months, I eventually gave up on it as it was rife with errors (missing/incorrect dividend adjustments, holes in the data, and sometimes just incorrect data for a symbol).

After some more searching, I finally purchased from QuantQuote (http://quantquote.com/). Pricing was comparable (maybe even cheaper than Kibot) and the data problems I found in Kibot were not present in the QuantQuote dataset. I think the QuantQuote data is sold by a couple hedge funds who use it on their own analysis which might explain why it is more accurate.
 

pobear

New Member
Save yourself hours of research and go directly to the Michael's Musings list of historical data providers to find out which one suits your needs. We have been satisfied with intraday data from this historical data provider.
Thanks for the help and web-site, Marco. However, I ended up going with a different mix using the 1-min price data from Pi Trading based on the reviews and feedback from Michael's site.

For some reason, NinjaTrader requires a funky ascii header. Add to this the timestamp format for Ki-bot data, and it is problematic to import into NinjaTrader 7; this was confirmed on the NinjaTrader forums. The converter utility Pi Trading provides did this automatically without having to alter the timestamps on the bars.

Been testing (optimizing?) my system for the past week and am pretty happy.

Cheers
 

Sisifo

New Member
Does anybody know where I can get free historical intraday stock data? I'd like to try to get 15 minute interval data for a new model I am working on. Alternative, if somebody has this data available already, I would much appreciate it if you were willing to share.
Hello,

Try this website, it's new, they offer free intraday data 1minute, you need to register for free.

http://www.thebonnotgang.com/services/historical-data/

NASDAQ,
NYSE,
FOREX,
FTSEMIB
fews XETRA.

They told me they are adding more stocks and ETF and a tool to convert to other timeframe like 5, 10, 15, 30 minutes

hope this helps,
regards
 

rholowczak

Director, Wasserman Trading Floor/Subotnick Center
I thought I would post an update to my original post so perhaps this can help others in the future.

First, comprehensive free historical intraday stock data doesn't exist unless you are a student. If you are a student though, see if you can access the Wharton Research Database Services (WRDS) which has comprehensive historical data in tick resolution. I had access to this, but decided not to use it because it takes quite a bit of time/coding to process it into a more useable format.
Hi - not to be picky here but just to clarify. The Wharton Research Database Service (WRDS) provides "access" to a bunch of different data sources. Two basics ways of working with WRDS are the web query interface and (for faculty and usually PhD students) unix/linux access via SAS programming. An academic institution pays an annual fee to WRDS to provides the data storage and access methods that this institution can then make use of.

As to the data itself, again the institution needs to purchase this data. Probably what you saw on WRDS was the NYSE Trade and Quote (TAQ) data set. This is probably the most highly utilized data set for academic microstructure research. Universities tend to subscribe to the Monthly TAQ data which WRDS loads up on their servers for the school to use.

The WRDS web interface for TAQ is rather basic - it allows you to specify a set of symbols, a date range and filter certain fields. The data can be delivered as .csv file or in one of many different data set formats such as SAS.

To say students can work with this data "for free" is probably not accurate. If your school subscribes to both WRDS and TAQ, they are certainly paying a non-trivial amount for it. Maybe they pass along some of these costs via your student fees. In any case, keep in mind if they do allow student access it is most assuredly under the restriction the data be used for non-professional purposes.
 

C.Y.

New Member
Another avenue you could go is via Bloomberg access. It's not free for sure, but you can always find someone working with a Bloomberg terminal or check if your school has one
 
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