Where can I find high resolution financial data

Question

I'm writing some Machine Learning software for equity and would like to find some tick data or at least 3 or 5 minute data.

I would like to have a year or two for testing.

I don't really care about what exchange the data is from, as long as its from a major exchange somewhere.

Also is there anywhere where one can get connect to a data stream of delayed 'live' data?

The data does not have to be free, but free is better :-)

Zaratite

Answer 1

http://finance.yahoo.com

you can download the stock market data for any company in csv format. for example, if you want to download the data for microsoft, the csv is located at - http://download.finance.yahoo.com/d/quotes.csv?s=MSFT&f=sl1d1t1c1ohgv&e=.csv

Similarly, you can download the data for any company, just replace MSFT in the above URL with the stock quote you need.

I don't know any place you can get a stream of live data for FREE ;)

Irremissible

hmmm... there is no "free" word in the question, so any data provider should do – Stocktonontees

Answer 2

A good source is AutomatedTrader. The provide Level1 (trade and top of book) and also have histories for NASDAQ ITCH, NYSE OpenBook, ArcaBook, BATS, and DirectEdge.

For live data try IQFeed. IQFeed also has years of 1 minute bars available. It is also very inexpensive.

Sonar

Answer 3

I've googled this link which provides daily prices for a few equities.

By the looks of your question it seems you are interested in high-frequency trading.

For this I suggest you speak with your quant or expert and generate some training inputs. These should include stop-loss situations and other conditions where you want a specific response.

Next, you should generate some sequences using the same assumptions from the Black-Scholes model (brownian motion of the prices with a certain volatility). Then, you should include dividends in the data.

So, before you even start using "real" data you should generate a lot of artificial training data using all the conditions you can think of.

This will save you money by doing all the cheap tests first and only after they pass successfully do you pay for the real data (which is not that cheap...)

Hereditament

Answer 4

If you want to do serious work at the sub-daily data granularity, you will require a "paid" service. Some good web based ones include:

• DTN IQFeed
• EOData
• AutomatedTrader
• Google / Yahoo Finance

Professional services include:

• Bloomberg Terminal (though intraday / tick data is limited to the most recent 50-60days over the API. You can pay for more, but it is only available via FTP)
• Reuters TickHistory (excellent - lots of programmatic access)
• Direct from the Exchange
• Specialized HFT / Tick providers

The best depends on circumstances - but anything with API access is brilliant - that's why I would recommend DTN if you're non-pro. Berg / Reuters if you are.

Leandraleandre

Answer 5

Check this link.

It streams real-time data to any desktop and mobile web browsers and apps. HTML, HTML5, Ajax, Flex, Silverlight, iOS, Android, BlackBerry, Windows Phone, Java, and .NET technologies are fully supported, with bidirectional data push.

Overripe