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Sources and Tradeoffs for Historical US Equity Tick and Intraday Data

Article Quant Q&A · Author: mark leeds
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Summary

The document compares vendors for historical US equity tick data and intraday bars, in response to a request for reasonably priced quote data or minute bars with several years of history. It names Bloomberg and Refinitiv as broad data options, then describes TickData, Algoseek, and Nanex in terms of historical coverage and product features.

The cited descriptions distinguish full tick histories and ticker mapping from customizable minute bars and quote coverage that includes national best bid and offer and regional exchange data. The post also flags practical tradeoffs: some providers may be expensive, and one vendor’s software is described as complicated and dated. These are the author’s impressions and product claims at the time of the post, not an independent comparison or current pricing guide; prospective users would need to verify availability, coverage, costs, and terms.

Key ideas

  • Historical equity data vendors differ in whether they focus on tick records, quote data, or customizable minute bars.
  • TickData is described as offering long US equity histories and ticker mapping, with potentially high cost.
  • Algoseek is presented as a source of historical intraday data and customizable minute bars.
  • Nanex is described as covering US equity quotes, including national best bid and offer and regional exchange data.
  • Vendor coverage, software usability, pricing, and historical availability should be checked directly.

Tags

EquitiesUS marketsMarket microstructureBacktesting
Full text
# sort of asked before but would be good to get updated sources of tick data


# sort of asked before but would be good to get updated sources of tick data












Hi: I am looking for reasonably priced quote data or ohlc minute bars for US stocks. I would want the history to go back say 2 or 3 years.

I realize that getting US quote data for reasonable prices is probably hopeless but I'm not even clear on the best vendor for OHLC bars in the US.

quantquote doesn't respond to my queries and I've heard some negative things about pi trading but these negatives may not be true and could just be a product of trolling. Thanks for any updates since this question was last asked.

## Answer by Mike Williams (score 1, accepted)

https://quant.stackexchange.com/a/51659

I think it probably depends on how you define “reasonably priced”. Data from Bloomberg and Refinitiv are a little bit over expensive, but they are for sure options. As to quantquote, I doubt if they still stay in business. Check out this post, where people talked about their experience with quantquote.

For equity tick data, I have experience with three vendors:

TickData.com - US equities listed in NYSE, AMEX, NASDAQ and CTA participants starting from January 1993. Offers custom-built time series and a ticker mapping feature. It can be very expensive though.

Algoseek.com - for intraday historical data starting from 2007. Offers the most comprehensive customizable minute bars in the industry with 50+ fields.

Nanex.net - for intraday data from 2004. Covers all US equity data including NBBO and regional exchange quotes. Data is 90% compressed to save space and time. Their software is a bit complicated to use and outdated though.

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.