I would imagine the best thing to do is to own a sizable exchange and save all of the order data (submitted orders, cancelled orders, fulfilled orders, etc.). G

I would imagine the best thing to do is to own a sizable exchange and save all of the order data (submitted orders, cancelled orders, fulfilled orders, etc.). Getting second-hand data sets with coarse-grained information (like price per second) is going to vastly limit how effective your bot can be (since, for example, price per unit time is not raw data).