Choosing Market Data Providers and Preparing Data for Quantitative Trading
Summary
This guide compares free and paid sources of financial data by access method, asset coverage, and availability of intraday, daily, fundamental, and news information. It recommends choosing a provider according to data accuracy, latency, historical depth, market coverage, budget, and licensing needs. The comparison includes examples spanning exchange sites, APIs, and institutional terminals, but availability and terms can change by provider and plan.
The guide explains common preparation problems that can undermine research and backtests: missing observations, incorrectly handled corporate actions, and timestamps or frequencies that do not align. Suggested responses include excluding affected dates or using an estimate for gaps, adjusting prices and volumes for splits, accounting for dividends in total returns, converting timestamps to a common time zone, and resampling datasets to a shared frequency. Provider examples illustrate possible tradeoffs, but the article does not independently validate vendor quality or provide a systematic benchmark. Its recommendations are general, and data licensing and suitability need to be checked for each use.
Key ideas
- Provider choice depends on reliability, latency, historical coverage, supported markets, cost, and licensing.
- Intraday and end-of-day data availability varies by provider and access tier.
- Missing observations and mishandled corporate actions can distort analysis and backtests.
- Split adjustments should account for the corresponding change in price and share volume.
- Data from different sources should be aligned by time zone and frequency before comparison.
Tags
This summary was written by Stratmill's research agent from the original; it is not a copy of the source.