source of historical stock data

Question

I m trying to make a stock market simulator  perhaps eventually growing into a predicting AI   but I m having trouble finding data to use  I m looking for a  hopefully free  source of historical stock market data    Ideally  it would be a very fine-grained  second or minute interval  data set with price and volume of every symbol on NASDAQ and NYSE  and perhaps others if I get adventurous    Does anyone know of a source for such info   I found this question which indicates Yahoo offers historical data in CSV format  but I ve been unable to find out how to get it in a cursory examination of the site linked   I also don t like the idea of downloading the data piecemeal in CSV files    I imagine Yahoo would get upset and shut me off after the first few thousand requests   I also discovered another question that made me think I d hit the jackpot  but unfortunately that OpenTick site seems to have closed its doors    too bad  since I think they were exactly what I wanted   I d also be able to use data that s just open close price and volume of every symbol every day  but I d prefer all the data if I can get it   Any other suggestions

User · Answer

Unfortunately historical ticker data that is free is hard to come by. Now that opentick is dead, I dont know of any other provider.

In a previous lifetime I worked for a hedgefund that had an automated trading system, and we used historical data profusely.

We used TickData for our source. Their prices were reasonable, and the data had sub second resolution.

User · Answer

You can use yahoo to get daily data  a much more managable dataset  but you have to structure the urls  See this link  You are not making lots of little requests you are making a fewer large requests  Lot of free software uses this so they shouldn t shut you down    EDIT  This guy does it  maybe you can have a look at the calls his software makes

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We have purchased 12 years of intraday data from Kibot com and are pretty satisfied with the quality    As for storage requirements  12 years of 1-minute data for all USA equities  more than 8000 symbols  is about 100GB    With tick-by-tick data situation is little different  If you record time and sales only  that would be about 30GB of data per month for all USA equities  If you want to store bid   ask changes together with transactions  you can expect about 150GB per month   I hope this helps  Please let me know if there is anything else I can assist you with

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THIS ANSWER IS NO LONGER ACCURATE AS THE YAHOO FEED HAS CEASED TO EXIST  Using Yahoo s CSV approach above you can also get historical data  You can reverse engineer the following example   http   ichart finance yahoo com table csv s YHOO amp d 0 amp e 28 amp f 2010 amp g d amp a 3 amp b 12 amp c 1996 amp ignore  csv  Essentially   sn   TICKER a   fromMonth-1 b   fromDay  two digits  c   fromYear d   toMonth-1 e   toDay  two digits  f   toYear g   d for day  m for month  y for yearly   The complete list of parameters   a   Ask a2  Average Daily Volume a5  Ask Size b   Bid b2  Ask  Real-time  b3  Bid  Real-time  b4  Book Value b6  Bid Size c   Change  amp  Percent Change c1  Change c3  Commission c6  Change  Real-time  c8  After Hours Change  Real-time  d   Dividend Share d1  Last Trade Date d2  Trade Date e   Earnings Share e1  Error Indication  returned for symbol changed   invalid  e7  EPS Estimate Current Year e8  EPS Estimate Next Year e9  EPS Estimate Next Quarter f6  Float Shares g   Day s Low h   Day s High j   52-week Low k   52-week High g1  Holdings Gain Percent g3  Annualized Gain g4  Holdings Gain g5  Holdings Gain Percent  Real-time  g6  Holdings Gain  Real-time  i   More Info i5  Order Book  Real-time  j1  Market Capitalization j3  Market Cap  Real-time  j4  EBITDA j5  Change From 52-week Low j6  Percent Change From 52-week Low k1  Last Trade  Real-time  With Time k2  Change Percent  Real-time  k3  Last Trade Size k4  Change From 52-week High k5  Percent Change From 52-week High l   Last Trade  With Time  l1  Last Trade  Price Only  l2  High Limit l3  Low Limit m   Day s Range m2  Day s Range  Real-time  m3  50-day Moving Average m4  200-day Moving Average m5  Change From 200-day Moving Average m6  Percent Change From 200-day Moving Average m7  Change From 50-day Moving Average m8  Percent Change From 50-day Moving Average n   Name n4  Notes o   Open p   Previous Close p1  Price Paid p2  Change in Percent p5  Price Sales p6  Price Book q   Ex-Dividend Date r   P E Ratio r1  Dividend Pay Date r2  P E Ratio  Real-time  r5  PEG Ratio r6  Price EPS Estimate Current Year r7  Price EPS Estimate Next Year s   Symbol s1  Shares Owned s7  Short Ratio t1  Last Trade Time t6  Trade Links t7  Ticker Trend t8  1 yr Target Price v   Volume v1  Holdings Value v7  Holdings Value  Real-time  w   52-week Range w1  Day s Value Change w4  Day s Value Change  Real-time  x   Stock Exchange y   Dividend Yield

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A data set of every symbol on the NASDAQ and NYSE on a second or minute interval is going to be massive   Let s say there are a total of 4000 companies listed on both exchanges  this is probably on the very low side since there are over 3200 companies listed on the NASDAQ   For data at a second interval  assuming there are 6 5 trading hours in a day  that would give you 23400 data points per day per company  or about 93 600 000 data points in total for that one day  Assuming 200 trading days in a year  thats about 18 720 000 000 data points for just one year   Maybe you want to start with a smaller set first

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Why not model a fake stock market with Brownian Motion    Plenty of resources for doing it  Easy to implement   http   introcs cs princeton edu java 98simulation

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For survivorship bias free data  the only reliable source I have found is QuantQuote  http   quantquote com   Data comes in minute  second  or tick resolution  link to their historical stock data   There was a suggestion for kibot above  I would do a quick google search before buying from them  you ll find lots posts like this with warnings about kibot data quality problems  It is also telling that their supposedly survivorship bias free sp500 only has 570 symbols for 14 years  That s pretty much impossible  sp500 changes by 1-2 symbols per month

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Let me add a source I just discovered  found here   It has lots of historical stock data in csv format and was gathered by Andy Pavlo  who according to his homepage is an  Assistant Professor in the Computer Science Department at Carnegie Mellon University

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I know you wanted  free   but I d seriously consider getting the data from csidata com for about  300 year  if I were you   It s what yahoo uses to supply their data   It comes with a decent API  and the data is  as far as I can tell  very clean   You get 10 years of history when you subscribe  and then nightly updates afterward   They also take care of all sorts of nasty things like splits and dividends for you   If you haven t yet discovered the joy that is data-cleaning  you won t realize how much you need this  until the first time your ATS  Automated Trading System  thinks some stock is really really cheap  only because it split 2 1 and you didn t notice

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Let me add my 2    it s my job to get good and clean data for a hedge-fund  I ve seen quite a lot of data feeds and historical data providers  This is mainly about US stock data   To start with  if you have some money don t bother with downloading data from Yahoo  get the end of day data straight from CSI data  this is where Yahoo gets their EOD data as well  AFAIK  They have an API where you can extract the data to whatever format you want  I think the yearly subscription for data is a few  100 bucks    The main problem with downloading data from a free service is that you only get stocks that still exist  this is called Survivorship Bias and can give you wrong results if you look at many stocks  because you ll only include the ones that made it so far and not the ones that were de-listed   For playing around with some intraday data I d look into IQFeed  they provide several APIs to extract historical data  although they are mainly an outfit for real-time feeds  But here there are quite a few options  some brokers even provide historical data downloads via their APIs  so just pick your poison    BUT usually all of this data is not very clean  once you really start back testing you ll see that certain stocks are missing or appear as two different symbols  or stock splits are not properly accounted for  etc  And then you realize that historical dividend data is need as well and so you start running in circles  patching data together from 100 different data sources and so on  So to start with a  discount  data feed will do  but as soon as you run more comprehensive backtests you might run into problems depending on what you do  If you just look at  let s say  the S amp P 500 stocks this will not be so much a problem though and a  cheap  intraday feed will do    What you will not find is free intraday data  I mean you might find some examples  I m sure there s somewhere 5 years of MSFT tick data floating around but that will not get you very far   Then  if you need the real stuff  level II order book  all ticks as they have happened at all exchanges  one  affordable   yet excellent option is Nanex  They ll actually ship you a drive with terabytes of data  If I remember right its about  3k-4K per year of data  But trust me  once you understand how hard it is to get good intraday data  you won t think this is very much money at all   Not to discourage you but to get good data is hard  so hard in fact that many hedge-funds and banks spend hundreds of thousands of dollars a month to get data they can trust  Again  you can start somewhere and then go from there but it s good to see it a bit in context     Edit  The answer above is from my own experience  This write-up from Caltech about available data feeds will give more insights  and especially recommends QuantQuote

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I d crawl finance google com  for the quotes  - or finance yahoo com   Both these will return html pages for most exchanges around the world  including historical   Then  it s just a matter of parsing the HTML to extract what you need   I ve done this in the past  with great success   Alternatively  if you don t mind using Perl - there are several modules on CPAN that have done this work for you  - i e  extracting quotes from Google Yahoo   For more  see Quote History

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A former project of mine was going to use freely downloadable data from EODData

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NASDAQ offers 10 years of historical EOD data for each symbol  http   www nasdaq com aspx historical quotes aspx symbol AAPL amp selected AAPL  You could automate the process of downloading this data

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I use the eodData com  Its pretty decently priced  For 30 dollars a month you get 30 days of 1 5 and 60 minute bars for all US exchanges and 1 year of EOD data for most others

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Take a look at the Mergent Historical Securities Data API - http   www mergent com servius

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Mathematica nowoadays also offers access to both current and historical stock prices  see http   reference wolfram com mathematica ref FinancialData html   if you happen to have a copy of it

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Intro  From yahoo you can get EOD  end of day  historical prices  or real-time prices  The EOD prices are amazingly simple to download  See my blog for explanations on how to get the data and for C  code examples   I m in the process of writing a real-time data feed  engine  that downloads and stores the real-time prices in a database  The engine will initially be able to download historical prices from Yahoo and Interactive Brokers and it will be able to store the data in a database of your choice  MS SQL  MySQL  SQLite  etc  It s open source  but I ll post more information on my blog when I get closer to releasing it  within a couple of days    Another option is eclipse trader    it allows you to record the historical data with granularity as low as 1 minute and stores the prices locally in a text file  It basically downloads the real-time data from Yahoo with a 15 minute delay  Since I wanted a more robust solution and I m working on a big school project for which we need data  I decided to write my own data feed engine  which I mentioned above    Sample Code  Here is sample C  code that demonstrates how to download real-time data     public void Start         string url    http   finance yahoo com d quotes csv s MSFT GOOG amp f snl1d1t1ohgdr         Get page showing the table with the chosen indices     HttpWebRequest request   null      IDatabase database           DatabaseFactory CreateDatabase          DatabaseFactory DatabaseType SQLite          csv content     try               while  true                        using  Stream file   File Create  quotes csv                                  request    HttpWebRequest WebRequest CreateDefault new Uri url                    request Timeout   30000                  using  var response    HttpWebResponse request GetResponse                    using  Stream input   response GetResponseStream                                          CopyStream input  file                                               Console WriteLine  ------------------------------------------------                database InsertData Directory GetCurrentDirectory       quotes csv                 File Delete  quotes csv                Thread Sleep 10000      10 seconds                     catch  Exception exc                Console WriteLine exc ToString             Console ReadKey              Database  On the database side I use an OleDb connection to the CSV file to populate a DataSet and then I update my actual database via the DataSet  it basically makes it possible to match all of the columns from the CSV file returned from Yahoo directly to your database  if your database does not support batch inserts of CSV data  like SQLite   Otherwise  inserting the data is a one-liner    just batch insert the CSV into your database   You can read more about the formatting of the url here  http   www gummy-stuff org Yahoo-data htm

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Yahoo is the simplest option to get preliminary free data  The link described in eckesicle s answer could be easily used in a python code  but you first need all the tickers  I d use the NYSE for this example  but this can be used for different exchanges as well  I used this wiki page to download all company tickers with the following script  I m not a very talented Pythonist  sorry if this code isn t very efficient   import string import urllib2 from bs4 import BeautifulSoup  global f  def download page url       aurl   urllib2 urlopen url      soup   BeautifulSoup aurl read         print url      for row in soup  table   1   tr            tds   row  td           if  len tds   gt  0               f write tds 1  string     n     f   open  stock names txt    w    url part1    http   en wikipedia org wiki Companies listed on the New York Stock Exchange   url   url part1     0-9   download page url   for letter in string uppercase  26       url part2   letter     url   url part1         letter            download page url   f close    For downloading each ticker I used another quite similar script  import string import urllib2 from bs4 import BeautifulSoup   global f  url part1    http   ichart finance yahoo com table csv s   url part2     amp d 0 amp e 28 amp f 2010 amp g d amp a 3 amp b 12 amp c 1996 amp ignore  csv   print  quot Starting quot   f   open  stock names txt    r   file content   f readlines   count   1  print  quot About  d tickers will be downloaded quot    len file content   for ticker in file content      ticker   ticker strip       url   url part1   ticker   url part2          try            This will cause exception on a 404         response   urllib2 urlopen url           print  quot Downloading ticker  s   d out of  d  quot     ticker  count  len file content            count   count   1         history file   open  C   Users  Nitay  Desktop  Historical Data      ticker     csv    w           history file write response read            history file close        except Exception  e          pass  f close    Notice that the major downside to this method is that different data is available for different companies - Companies that don t have data existing in the requested dates  newly listed  will get you a 404 page  Also keep in mind that this method is only good for preliminary data - If you really want to test your algorithm you should pay a bit and use a trusted data supplier like CSIData or others

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