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I know there are similar questions but I don't think there are any identical ones.

Basically, I'm looking for one of these two things.

  1. Delayed market data feed. A tick by tick feed, but delayed by anything between 0 and 30 minutes. So at 12:30pm I'd be able to get a quote for 12:00pm, but at a tick-by-tick or millisecond resolution.

  2. Market history snapshot. Being able to ask "What was the price of this stock at 12:30:02.35 last Tuesday?".

Either way, the resolution is very important, but when I actually get the data is not as important. Even something as inaccurate as Google Finance, but I'm looking to use it, download/scrape it, store it, and maybe even distribute it.

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I'm pretty sure any data distributor is going to have prohibitions against re-distribution. –  Joshua Ulrich Apr 22 '11 at 14:04
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What if you re-distribute, but in your terms of service, you say that they can't use/store/re-distribute/etc and they can only use it for personal investing. –  arasmussen Apr 22 '11 at 15:28
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@arasmussen No vendor is going to take a chance that your customers are going to follow your restrictive license. Part of the reason companies charge money for a product is to see who's really serious. If you aren't serious enough to even pony-up a few bucks for data, then why would a vendor trust that you'll actually enforce any restrictions? (Or to put it another way, no music label will freely give you a track on the good-faith assumption that you aren't going to share it with your friends.) –  chrisaycock Apr 22 '11 at 17:15
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@arasmussen Does Google get their data from free from the vendor? –  chrisaycock Apr 22 '11 at 18:00
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@chrisaycock It seems so. At least for NASDAQ: googlesystem.blogspot.com/2008/06/…. On the other hand, I wonder who you had in mind when you asked for "the vendor". –  Juliusz Apr 26 '11 at 12:57

3 Answers 3

There's quite a lot of places where you can find free data. Then of course, it really depends on what kind of data you're looking after, as well as what you want to do with it.

  • it's fairly easy to find data on governmental websites : especially true for inflation / currency end of day quotes
    • exchanges often provide historical and end of day data, and some delayed forward quotes may also be available.
    • but when you want to do real stuff, a paid connection to exchanges or news agency is necessary.

Here is a list for commodities, could be extended to other asset classes.

Anyway, the real problem is that each these free data come with their own format, so that's not easy to process.

Also as already stated in a previous answer, free data access doesn't mean you will be able to redistribute data which are not yours without paying the original owner, and that makes perfect sense.

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Thanks for your reply. Define "redistribute". What if you want to use their data for the back end of a web application, but they have no actual way of extracting the data from the site? Technically you aren't redistributing it, but still using it with the public. –  arasmussen May 2 '11 at 4:41

From what I saw, Google Finance only distributes weekly or daily data.

According to what you said in your comments, you are allowed to re-distribute those datasets, but I think this is the case only because the data is at "low frequency".

I don't think you will be able to find a provider giving away free tick data, and there are for me two main reasons.

First of all, it is difficult to provide such dataset with enough reliability. Indeed, when you collect tick data, you get a lot of misprints from the exchanges and it is fairly difficult to remove them.

Second, storing years of history of tick data would be very costly for your provider. I'll let you do the calculation, but I think that it is obvious that such database would need to be particularly powerful and would require a lot of labor for maintenance purposes.

Finally, during my master thesis, I argued that acquiring sufficient technology to work with high-frequency data generates a payoff in the market because you can find more ineffiencies than you would with larger data. Hence, those who have invested in such technology will most likely either keep it for themselves, or a least ask for a fee.

Moreover, you did not specify which assets you were looking for. I guess that some platforms might give you some tick data for free for "common" markets such as FX or maybe the S&P500, but I seriously doubt that you would be able to find even free intraday data for all the commodity futures for example.

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AppliedAlgo.com - they have builtin Http command which fetches/parses webpages and samples fetching everything from SP500/NASDAQ/FTSE to yield curve from US Treasury to GDP/National accounts...etc –  user4732 Dec 10 '13 at 15:54

OpenTick used to have this... alas they are no more. But here's a link to some decent alternatives.

http://blog.fosstrading.com/2009/11/opentick-alternatives.html

Some have free data options, but I don't believe that any include tick level data for free. If you are in school and have access to WRDS you can get the TAQ (NASDAQ trade and quotes) which is quite verbose tick data, but you can't redistribute it, nor can you use it for a commercial enterprise.

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I'm glad someone has found that post helpful. –  Joshua Ulrich Apr 22 '11 at 22:46

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