Thank you for the comment. I agree that having sound data is essential to building any trading algorithm. Probably that's why they are so expensive. I won't com

Thank you for the comment. I agree that having sound data is essential to building any trading algorithm. Probably that's why they are so expensive. I won't complain about HistData.com, it's a free service, they only charge a small fee for a convenient ftp access to their site. At the moment, that's the most you can get for free with a millisecond resolution. Despite it's drawbacks, works well for backtesting, IMHO. A great alternative is finance.yahoo.com. It is reasonably rate limited, see http://stackoverflow.com/questions/9346582/what-is-the-query-limit-on-yahoos-finance-api http://stackoverflow.com/questions/9346582/what-is-the-query.... You won't be able to do any high-frequency trading anyway without dedicated hardware in a dedicated data center.