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> Source: Have worked in HFT the past 10 years. OT question: how would I get into acquiring market data to try my own backtesting strategies ? Is there anyway

> Source: Have worked in HFT the past 10 years. OT question: how would I get into acquiring market data to try my own backtesting strategies ? Is there anyway to "get in" without putting up $5k + for the data ? I'm not green to this, I worked at a prop shop for a year writing market feed handlers. I know the dangers of overfitting data and how hard it is to make money (so I'm not deluded by a fantasy). I want to start out just for fun doing backtesting and see if I can scrape out a (paper) profit, but accessing historical data seems to be the hard part. I dont think online services that offer this would work for me because I want to use intraday data and replay many times with different parameters. I want access to "the whole firehose" if you will.

kybernetikos 10y ago
Not a personal recommendation as I haven't used it, but you might find quantopian.com fun if you've got any python.
hendzen 10y ago
You are not going to get usable intraday data for free. Best bet is to pony up for NYSE TAQ. http://www.nyxdata.com/Data-Products/Daily-TAQ http://www.nyxdata.com/Data-Products/Daily-TAQ
pliny 10y ago
TickData[1] are cheap and good for US data, I have had bad experience with them for EU data. They have a minimum of (IIRC) $1K but you can get a ton for that. Some exchanges offer free historical data, for instance BM&F BOVESPA[2], trading in some markets (such as Brasil and China) is often difficult if you are a foreigner. [1] https://www.tickdata.com/ https://www.tickdata.com/ [2] http://www.bmfbovespa.com.br/en_us/services/market-data/historical-data/ http://www.bmfbovespa.com.br/en_us/services/market-data/hist...
jmalicki 10y ago
IQFeed has many many years of historical data at the minute level, and tick data for 6 months (for equities), at ~$80/month... they many not have the highest quality data from what I've heard, or the most tick data, but are so much cheaper than any of the more professional solutions a large fund would use that it's a pretty decent start for a hobbyist.
metakermit 10y ago
Not sure how usable it would be for your use-case, but I heard a talk explaining Quandl – they want to do to Bloomberg what Wikipedia did to Encyclopedia Britannica. https://www.quandl.com https://www.quandl.com

kybernetikos 10y ago

Not a personal recommendation as I haven't used it, but you might find quantopian.com fun if you've got any python.

hendzen 10y ago

You are not going to get usable intraday data for free. Best bet is to pony up for NYSE TAQ. http://www.nyxdata.com/Data-Products/Daily-TAQ http://www.nyxdata.com/Data-Products/Daily-TAQ

pliny 10y ago

TickData[1] are cheap and good for US data, I have had bad experience with them for EU data. They have a minimum of (IIRC) $1K but you can get a ton for that. Some exchanges offer free historical data, for instance BM&F BOVESPA[2], trading in some markets (such as Brasil and China) is often difficult if you are a foreigner. [1] https://www.tickdata.com/ https://www.tickdata.com/ [2] http://www.bmfbovespa.com.br/en_us/services/market-data/historical-data/ http://www.bmfbovespa.com.br/en_us/services/market-data/hist...

jmalicki 10y ago

IQFeed has many many years of historical data at the minute level, and tick data for 6 months (for equities), at ~$80/month... they many not have the highest quality data from what I've heard, or the most tick data, but are so much cheaper than any of the more professional solutions a large fund would use that it's a pretty decent start for a hobbyist.

metakermit 10y ago

Not sure how usable it would be for your use-case, but I heard a talk explaining Quandl – they want to do to Bloomberg what Wikipedia did to Encyclopedia Britannica. https://www.quandl.com https://www.quandl.com