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Choosing Market Data for Quantitative Research on a Limited Budget

Article Quant Q&A · Author: miggety
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Summary

The discussion offers practical considerations for choosing historical and recurring market data when starting quantitative research on a limited budget. It suggests weighing the desired accuracy and breadth of coverage, including the number of markets and available order-book depth, against the cost. One proposed approach is to begin with a one-time historical data package from a smaller provider, then consider a subscription if live or regularly updated data becomes necessary. The choice of programming language or statistical package may also affect which data sources are convenient; the answer mentions downloading sample equity data directly into R.

The evidence is personal experience and general advice rather than a comparison of vendors or a data quality evaluation. It does not establish that any named provider is suitable, and it gives no systematic checks for accuracy, survivorship bias, licensing, or update reliability. The practical lesson is to define the required markets, depth, and budget before selecting a service, then verify that its data fits the intended research use.

Key ideas

  • Data cost generally rises with the accuracy and breadth of market coverage required.
  • A one-time historical purchase can help researchers start before committing to a recurring subscription.
  • The required markets and order-book depth should guide provider selection.
  • Available data sources may depend on the research language or statistical package.
  • The discussion gives informal suggestions rather than a systematic vendor comparison.

Tags

Multi-assetEquitiesBacktesting
Full text
# Market Data For Project


# Market Data For Project












I'm looking to find a service that will allow me to download historical data on stocks, bonds, options, futures, indices, etc and also to pick up new files either on a daily or weekly basis. I've been a software engineer for a couple of years now but I'm new the world of quantitative finance. I've purchased a few books on portfolio theory and I'd like some play data on which to test out some of these ideas and techniques. I've seen a number of different sites that offer data either for free or for a small monthly fee. I'm considering using a company called EOD Data (http://www.eoddata.com/) but there are seemingly countless sites out there that offer market data, how do I go about choosing the best one? For my needs, which is only access to market data, how do I go about evaluating the sites so I can get the best quality for my very limited budget? Does anyone have experience using EOD Data or a similar service?

## Answer by jordan.baucke (score 3)

https://quant.stackexchange.com/a/1458

@chrisaycock agreed that is the most common question (I'm guilty of it myself) -- I realized that even some of my questions were better answered by looking at other posts where people had thrown in their 2 cents.

@miggety I've been researching the availability of data for some time as I wanted to create a model 'free data' web-service (similar to ones that have existed in the past) I even have been trying to get people to donate date (no luck there). So I'm in the process of saving money to purchase a service I can redistribute...not cheap!!!!

Basically the more accuracy and breadth of data (number of markets, order-depth, etc.) you want the more your going to pay! I recommend that you buy a 1-off historical package from one of the smaller data providers (names of which are widely avaliable on here), and than possibly if you need live market data, subscribing to a 'web-service' based service xgnite has a pretty wide offering of services that are reasonably priced.

Maybe you should list how much your willing to spend, and what amount of data you need (markets, depth, etc.) and people can give you a better idea if it's possible?

## Answer by GKED (score 2)

https://quant.stackexchange.com/a/1457

What language or statistical package are you planning on using? There are multiple free options available. If you are thinking R, then you can just use yahoo finance and directly download the data into the R console. There is plenty of sample code available on the internet and also, this forum.

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