Skip to content
All library documents

Choosing Historical Equity Data for Quantitative Research

Article Quant Q&A · Author: J.Doe
Read the original

Summary

The document surveys sources of historical stock market data for research and model development, emphasizing coverage, cost, format, and service quality. It describes a paid vendor option with broad consolidated, OTC, and exchange coverage and API access, alongside IEX data offered at no charge but representing only a small share of total market volume. That limited coverage can make its prices differ from the broader market. Other responses mention a vendor with tick, intraday-bar, and end-of-day products, including trade and spread details, and Dukascopy data accessible through a third-party downloader.

These are community recommendations rather than a systematic vendor evaluation. The answers give some descriptions of data granularity, APIs, and coverage, but provide no independent quality benchmarks, licensing analysis, or comparison of historical survivorship and adjustment practices. Pricing, availability, and product features may also have changed since the recommendations were written, so prospective users would need to verify current terms and data characteristics.

Key ideas

  • Historical equity data choices involve tradeoffs among coverage, cost, granularity, and service quality.
  • IEX data is described as free but covering only a small share of overall market volume.
  • Paid vendors are cited for broader market coverage and API access.
  • Available products range from tick data and intraday bars to end-of-day prices.
  • The recommendations are anecdotal and do not benchmark data quality or document current vendor terms.

Tags

EquitiesMachine learningBacktestingMarket microstructure
Full text
# Historical stock data source


# Historical stock data source












I am trying to find historical data (OTCBB, OTC PINK, NASDAQ, NYSE, ...) to use to train/test to eventually grow into a predicting AI. I think eoddata.com is great, but it is unclear. Furthermore, they have an API service with ws.eoddata.com.

Where could the information at an affordable price? Quality of service is at least as important to me as the data itself. Give me your opinion.

## Answer by Quinton Pike (score 1)

https://quant.stackexchange.com/a/41739

https://Polygon.io for full CTA, UTP and OTC feed coverage. It's not free: $199/m. It uses JSON format, not CSV. They provide a websocket and restful APIs.

https://iextrading.com/ if you aren't looking for full market coverage, you can check out IEX exchange which provides historic level 1 and level 2 data for free. However it only represents about 3-4% of total market volume. Which means a lot of the time the prices will be off slightly. They also provide a websocket and restufl APIs as well as financial data for companies ( splits, dividends, etc. )

## Answer by Amanda (score 1)

https://quant.stackexchange.com/a/61952

algoseek.comhas a wide range of historical market data products from tick level data to different versions of minute bars, as well as End of Day data.

algoseek is a high-quality data vendor specialized in providing comprehensive data for machine learning and quantitative trading, and the quality is really good. Their minute bar has separate volume calculations for volumes from FINRA/TRF and odd lots, also has detailed information on market microstructure and dynamics, such as trades at bid/mid/ask, spread information, etc.

## Answer by J_P (score 0)

https://quant.stackexchange.com/a/38495

Dukascopy is widely used and has historic prices for the main stocks, forex and indexes for the last years, tick by tick or M1, M5, etc.

For downloading it there are different SW tools available. I use tickstory.com and I´m pretty happy with it.

You can export from tickstory to a CSV format with your own design of columns, and feed your SW with it.

Take a look to tickstory.com it´s easy to test it and see if it meets your specific requrements. In my case I feed Matlab to do my strategy tests.

Dukascopy allows tickstory to download the data for free, and tickstory charges you a one time fee.

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.