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Historical Tick Data Sources for Research
This is a discussion on Historical Tick Data Sources for Research within the Intraday Data forums, part of the Data Feeds category; I am looking for historical tick data sources for academic research; at present, we use the NYSE monthly TAQ data ...
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Nov 13, 2008, 4:40pm
| #1 |
| Rookie Join Date: Aug 2004 Location: CA, USA Posts: 5
|  Historical Tick Data Sources for Research
I am looking for historical tick data sources for academic research; at present, we use the NYSE monthly TAQ data for options and equities, though this is rather expensive. It is preferable to have something with on-demand data queries and a significant amount of data (> 1 year). Many non-institutional data sources are limited to 10-30 days. The data must include at minimum the date (or some other easy way of seperating trading days such as market open/close flags) and timestamp for NBBO changes and trades. More extensive data such as Level II ECN and market maker changes ("the historical book") would be nice for research purposes, but I have yet to see any companies offer this. Anyone know of products (including institutional) that fit our needs (and maybe include discounts for academic use)? Thank you. |
 
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Dec 11, 2008, 5:08pm
| #2 |
| Newbie Join Date: Oct 2008 Location: New Jersey Posts: 1
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Hi BinaryMan I know Interactive Data Corp, offers Tick data for all Level I Equities. They offer it Intra day as well as End of Day. |
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