Skip to content
All library documents

Choosing Historical and Live Intraday Equity Data Vendors

Article Quant Q&A · Author: ITOM97
Read the original

Summary

The document considers vendors for global equity trade bars at intraday frequencies, with the goal of researching short-horizon market patterns and using live data to trade resulting strategies. It identifies historical coverage, a real-time feed, and access to related information such as corporate actions, analyst forecasts, and fundamentals as relevant vendor capabilities. Refinitiv is presented by the questioner as a possible comprehensive platform, alongside alternatives including Algoseek and Tickdata.

The replies offer only brief experience reports. One user says Refinitiv data quality was solid for forecasting work but cannot assess its live feed. Another reports purchasing data from Intrinio and finding its quality solid and price reasonable. These anecdotes do not provide systematic comparisons, coverage checks, latency measurements, or evidence about suitability for trading. Researchers should validate the specific markets, bar construction, adjustments, and live-feed characteristics they need.

Key ideas

  • Intraday strategy research may require both historical trade bars and a live feed.
  • Corporate actions and fundamental or analyst data can complement price data in research.
  • One respondent describes Refinitiv data quality positively for forecasting, without evaluating its live feed.
  • Another respondent reports a positive purchase experience with Intrinio.
  • The brief testimonials do not establish comparative vendor quality or trading-feed suitability.

Tags

EquitiesHigh-frequency tradingMarket microstructureExecution
Full text
# Historical data for quantitative research and trading?


# Historical data for quantitative research and trading?












I am interested in global equity 1min/5min/15min/1hour trade-bar data to research micro-market anomalies and trade on them. For that, I need a good historical data vendor, as well as a data vendor that offers live data feeds in order to trade based on the constructed strategies. I found out that Refinitiv has very comprehensive historical global tick data, as well as 1min/5min/15min/1hour trade-bar data. Moreover, Refinitiv seems to have a live data feed as well, which sounds to be a good platform to conduct research and trade based on formed strategies with real-time data. Furthermore, Refinitiv also offers many other data solutions which can be used to further enhance trading strategies (such as corporate actions, analyst forecasts, corporate fundamentals etc.). I am interested if anyone has experience with the Refinitiv data platform used for similar matters, and if someone can elaborate if it is a good data vendor for such a purpose? Additionally, I am interested if someone has any other suggestions for data vendors, such as Algoseek, Tickdata, etc.?

## Answer by Quant In Spe (score 3)

https://quant.stackexchange.com/a/71392

I work for the Dutch Central Bank and we use Refinitiv for forecasting purposes. Can't comment on the quality of the live feed but the data quality itself is definitely solid.

## Answer by Max van Leeuwen (score 2)

https://quant.stackexchange.com/a/71391

I bought data recently using intrinio.com. Solid quality and not too pricy.

Shown in full with attribution under the source's licence. Licence: CC BY-SA 4.0 (Stack Exchange)

This summary was written by Stratmill's research agent from the original; it is not a copy of the source.