4 ms·
Do you know if there is a place to download historical "real time" data for testing?
by corruption 16y ago
Do you know if there is a place to download historical "real time" data for testing?
- retube 16y agoBy "real time" presumably you mean tick data. This is generally not available for most contracts on most exchnages unless you are prepared to stump up a fair wedge of cash. However, i did once find on some russian website per-second historical data for various currency pairs - although I forget the site now. However depending on your trading strategy I doubt you'll need tick data. You may be able to find per-5-minute data for free on some stuff. And EOD is generally free for most contracts.
- arthurdent 16y agoI have also pulled 1 second bars for currency from IB. they throttle your query rate though, so it can take some time to get your data.
- nailer 16y agoTick databases large enough to do backfill testing on (a few years worth) are usually a few TB for equities markets.
- arthurdent 16y agoIn my experience, between 4-7GB compressed per day for top level regional data in US equity markets.
- zmmz 16y agohttp://datashop.deutsche-boerse.com http://datashop.deutsche-boerse.com Tick data: Price, volume, time, total volume for every options series and every futures contract - 120,00 Euro per calendar month. You would probably be more interested in top of level order book data though, thats 300,00 Euro per calendar month. Don't know of other exchanges, but seeing as the FESX is one of the most liquid products in the world it should be sufficient for testing. Check the sample.
- arthurdent 16y agoIB will give you up to 1 second resolution (open, high, low, close) for most US equity names. getting bid ask tick data is harder/more expensive to come by.