Max Dama on Automated Trading: Historical Intraday Equity Data Source

Historical Intraday Equity Data Source

If you have no other option and no brokerage account, you could use this for small projects:

http://www.dukascopy.com/swiss/english/data_feed/csv_data_export/

I'm not sure how clean the data is.

11 comments:

chintan shah said...: This post has been removed by the author.; December 1, 2009 12:50 PM
Emmanuel said...: This is very useful. Do you know what time zone the data is in? I am guessing that it is in Swiss timezone. However, I want to make sure before I jump to conclusions.; December 2, 2009 10:27 AM
Max Dama said...: I don't know Emmanuel. You could ask the company.

Regards,
Max; December 3, 2009 8:31 AM
Anonymous said...: Hi Max.

Do you know of any data source that can be fully automated (as in, downloading the data melodramatically?)

Thanks in advance.; December 8, 2009 1:52 PM
Max Dama said...: Anonymous,

I'm assuming you mean 'automatically'.

The best source is your broker, for example through IB you can get 1 year of historical 5 minute bars on all stocks, and they have an API.

Regards,
Max; December 9, 2009 8:39 AM
Anonymous said...: Hehe, sorry about that. Of course I meant automatically. I was in a big hurry and I misspelled it so I used what Mozilla suggested. Just that I miss-clicked the word :)

I am currently auto-trading Romanian futures. I used my broker's data for backtesting but I want to look into FX and my broker does not have any data available. From my research I saw that Oanda has a decent API through which you can access a few years worth of data, but the price is a little too steep for me. IB sounds good but I want more than one year of data. Do you know of any other cheaper alternatives?

Thanks!; December 9, 2009 12:53 PM
Max Dama said...: Anonymous,

I've heard eSignal is a good inexpensive source, but I can't recommend from my own experience. If you try it, I'd like to know.

Regards,
Max; December 9, 2009 3:49 PM
Anonymous said...: Thanks Max.

My name is Dan by the way.; December 10, 2009 7:50 AM
Max Dama said...: No problem Dan.

Max; December 10, 2009 8:51 AM
Liangyi2012 said...: Hi Max,

I found the data quality is terrible, OLHC is all same number, and volume is 0 for every minute quote. E.g.:
DATE TIME VOLUME OPEN CLOSE MIN MAX
1/6/2010 1:11:01 0 25.31 25.31 25.31 25.31
1/6/2010 1:12:01 0 25.31 25.31 25.31 25.31

Did I download it incorrectly?; January 6, 2010 1:40 AM
trenai said...: I have been able to find a large collection of historical 1-minute data for North American markets at the following web site: http://www.kibot.com/; February 22, 2010 8:30 AM

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