Historical Data Source for Intra-day trading?
Author: arthurdent84
Creation Date: 6/24/2009 9:03 PM
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arthurdent84

#1
Does anyone know if a service exists that will give you at least a year of historical intra-day data on any particular stock? My strategy uses 1-minute bars, so that would be ideal, but it would be great to have tick-data or 1-second bars in order to make the simulations more accurate?

I've come across tickdata.com, but they charge thousands of dollars for ASCII data. I'm wondering if there is anything cheaper, or if any brokers allow you to pull historical data through their API's and then manually create ASCII data from that to use with wealth lab?

In my opinion, technical analysis only works on very short time-frames, long term market direction is caused by fundamental economic conditions and the actual performance of the company/entity underlying the particular stock, not by what a chart or indicator tells you. For this reason I've developed intraday strategies and free daily yahoo data is not useful for me.
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DaveAronow

#2
The obvious here on this forum would be Fidelity. You could download a trial of WL Pro and then export to ASCII or whatever and use it.

And now for some shameless self promotion. I produce software called IBCollector which can download data from the Interactive Brokers API and export to ASCII (which can be used in Wealth-Lab). For more info see http://ibcollector.com. Of course you need to have an account with IB to use IBCollector. And you're also limited to the data IB provides.

There are other sources of course, the Wealth-Lab wiki has a list. Some that may not be on there include Tradestation ($100/month although cheaper if you open a brokerage account there) and possibly MBTrading.

Dave
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Eugene

#3
We'll soon release the IQFeed adapter, enabling to download 1-minute stock/futures/indices data going back to May 2007 if you have a subscription.
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arthurdent84

#4
Hey guys, thanks for the timely responses.

I will definitely check out IBCollector. Looks pretty useful.

Eugene, I'm sure you've been asked a thousand times already, but do you have an idea on the ETA of the adapter?

Cheers!
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Eugene

#5
Sorry for being too optimistic but our adapter is delayed. The ETA for the IQFeed adapter is the second half of the next month.