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Sources and Constraints for Historical One-Second US Equity Bars

Article Quant Q&A · Author: Kagaratsch
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Summary

The document surveys ways to obtain historical US equity data at one-second resolution, a granularity between conventional minute bars and raw ticks. One suggested route is to build bars from tick data, though the question notes that tick data may be costly. An answer reports that Interactive Brokers offers historical one-second bars through its API when streaming data is subscribed, but its transfer limit makes large downloads slow.

Other answers mention asking a data supplier to format tick data into bars and identify a provider with one-second data dating from 2017, billed according to download size. The discussion offers leads rather than a systematic provider comparison: it does not establish current availability, total cost, coverage, or data quality across vendors. Researchers should verify those details and account for API throughput when estimating acquisition time.

Key ideas

  • One-second bars can be constructed by aggregating tick data.
  • An answer reports that an API provides one-second history subject to a strict request rate.
  • A supplier may handle tick formatting and related data processing.
  • Another answer describes one-second history available from 2017 and priced by download size.
  • The document does not provide a current, comprehensive comparison of provider costs or data quality.

Tags

EquitiesUS marketsMarket microstructureExecution
Full text
# Where to get 1 second bar intraday historical market data?


# Where to get 1 second bar intraday historical market data?












Most data providers I find online offer historical market data in time resolutions of 1 minute bars or longer (which is too long), or tick resolution (which is too short). Of course one could get tick data and construct 1 second bars from this information. However, the price for tick data is very excessive.

Is there a data provider offering 1 second bar resolution historical market data for US equities? If there are several, which one is most affordable?

## Answer by Kagaratsch (score 3)

https://quant.stackexchange.com/a/70022

Since this question does not seem to get a lot of answers, for the benefit of other visitors I should mention that it is possible to get 1 second bar resolution historical data from Interactive Brokers API. (Streaming data subscription required.) However, they have a strict data transfer rate in place, such that no more than 1800 bars can be requested per 10 seconds. That download rate is too slow, which is why I am looking for alternatives.

## Answer by lonelysloth (score 1)

https://quant.stackexchange.com/a/70365

I have never heard of any ready-made 1-second intraday data before. The only way to create 1-second data would be formatting tick data into 1-second bars. If you don't want to format the data yourself, you can ask some suppliers to do it for you. There is a supplier i have used in the past who will handle all of the formatting and rolls for you. Here's their link: PortaraCQG.com

## Answer by mikkom (score 1)

https://quant.stackexchange.com/a/80648

Databento has 1 second (and lower and higher resolution) data available. It's from 2017 and priced per download size.

It's not cheap but not's as expensive as other providers either. See https://databento.com/pricing for details.

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.