S&p500 intraday data

User_asd

Newbie
2 0
Dear friends,
i'm studying for a research (about volatility).
I need intraday data with frequency 5/10/30 minutes,over a period 3/4 years. Unfortunately i did not find this data. I asked the data to many people, but i found data only for a little period (60 days).

Can you help me to find this data?
 

Junior

Newbie
2 0
You did not specify if you need the index or the constituents. I just purchased the individual symbols of the S&P 500 in a minute frequency last month from Pi Trading.

http://pitrading.com/historical-stock-data.html

If you need the actual index.

http://pitrading.com/historical-market-data.html

Scroll down to the symbol list for minute data under indexes.

Of course you can upscale the 1 minute frequency to 5, 10 or 30 minutes.

I was using Excel, so they sent me an app to upscale the data. Saved me time having to write my own script.
 

Vicorka

Active member
246 7
You will not get it for free. You will have to buy 1-minute data and then compile 5-,10- and 30-minute data.
 
 
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