Here are two relatively inexpensive options for tick-by-tick market data: * IQFeed http://www.iqfeed.net/dev/ * Nanex http://www.nanex.net/histori

Here are two relatively inexpensive options for tick-by-tick market data: * IQFeed http://www.iqfeed.net/dev/ * Nanex http://www.nanex.net/historical.html The Nanex data is more expensive and harder to work with, so you might want to start with the IQFeed data.