What data sources are available online?

Question

What sources of financial and economic data are available online? Which ones are free or cheap? What has your experience been like with these data sources?

Answer 1

This post is Quant Stack Exchange's master list of data sources.

Please append your links to other data sources to the list below.

Economic Data

See What are the most useful sources of economics data? on Cross Validated.

World

• OECD.StatExtracts includes data and metadata for OECD countries and selected non-member economies.

United Kingdom

• http://www.statistics.gov.uk/

United States

• Federal Reserve Economic Data - FRED (includes URL-based API)
• http://www.census.gov/
• http://www.bls.gov/
• http://www.ssa.gov/
• http://www.treasury.gov/
• http://www.sec.gov/
• http://www.economagic.com/
• http://www.forecasts.org/

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Foreign Exchange

• OANDA Historical Exchange Rates
• Dukascopy - Historical FX prices; XML and CSV
• ForexForums Historical Data - Historical FX downloads via Amazon S3
• GAIN Capital - Historical FX rates (in ZIP format)

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Equity and Equity Indices

• http://finance.yahoo.com/
• http://www.iasg.com/managed-futures/market-quotes
• http://kumo.swcp.com/stocks/
• Kenneth French Data Library
• http://unicorn.us.com/advdec/

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Fixed Income

• LIBOR rates
• FRB: H.15 Selected Interest Rates
• Barclays Capital Live (institutional clients only)

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Options and Implied Volatility

• http://www.ivolatility.com/
• http://www.optionmetrics.com/
• http://www.livevol.com/
• http://www.historicaloptiondata.com/

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Futures

• http://www.simiansavants.com/cmedata.shtml
• http://www.cmegroup.com/market-data/index.html
• http://www.tradingblox.com/tradingblox/free-historical-data.htm
• http://wikiposit.org

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Commodities

• http://www.liffe-commodities.com/
• LIFFE Commodity Derivatives - 15 min delay; free registration

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Multiple Asset Classes and Miscellaneous

• OHIO STATE UNIVERSITY DEPARTMENT OF FINANCE: The Financial Data Finder
• Google Finance APIs and Tools
• QuantNet Master List
• RBS Databank
• http://www.eoddata.com/
• Robert Shiller Online Data

Answer 2

I'm only aware about 3 free data sources:

• EuroNext. Bonds and Equities are available. "Search by Criteria" -> select instrument -> "Data downloads".
• RBS Databank. Interest rates, FX rate, commodities and CPI
• GAIN Capital. It contains infomation about FX rates only

Answer 3

I don't know how interested you are in the CME data, but I have been learning about options and volatility modeling. I have been working with delayed CME data.

I have been able to extract the JSON queries and now have been able to run them in my .NET application to get data for every asset type.

Exmaple of ES options data:

Run the query below in Chrome and you will see the JSON response. In other browsers you will be prompted to download the JSON file.

The link below asks CME server to return back options data for given strikes:

http://www.cmegroup.com/CmeWS/md/MDServer/V1/Venue/G/Exchange/XCME/FOI/OPT/Product/ES?currentTime=1311084303814&contractCDs=,ESU1%20C1315,ESU1%20P1315,ESU1%20C1320,ESU1%20P1320,ESU1%20C1325,ESU1%20P1325,ESU1%20C1330,ESU1%20P1330,ESU1%20C1335,ESU1%20P1335

I have been able to get other data as well by just changing the contract Code.

To parse it you just use the .NET Serialization class (add reference to system.web.extensions and using System.Web.Script.Serialization; on .NET framework 4.0)

Answer 4

-- (historical) stock prices --

What do you mean by that? Nominal, real, corrected due to monetary-base-change, corrections with Y-other-things? What is your goal?

I have been able to download (historical) stock prices via yahoo and google.

Alas looking historical data from Google/Yahoo's screeners can be highly misleading and making conclusion based on it very dangerous. Please, note that you cannot always trust the data, sometimes they are nominal or real, and sometimes you won't know the type of data. Google/Yahoo are only third-parties to provide you the historical data.

Commercial Data

• CSI Data: it claims to be the provider to Google, Yahoo, Microsoft and other resellers
• Yahoo's providers here and notice the small writings at the bottom here

Educational and Research Data

• Shiller Data about stock market data
• the huge data collection by Ibbotson, book, inflation, interest rates and such things which you must take into account to do any serious research
• Yale databases (massive work done) here
• Intelligent Asset Allocator -book, by William Bernstein, in the very end has a summary of very good data sources

Answer 5

I did a fair amount of searching for a good source of historical data and I came across Norgate Investor Services. They provide the data in MetaStock format. I used the data for analysis in MATLAB via Metastockread. They have data for the US, Australia and Singapore.

Answer 6

Academic access to Thomson Reuters Tick History:

www.sirca.org.au

The Thomson Reuters Tick History database provides millisecond-timestamped tick data going back to January 1996, covering 45 million OTC and exchange-traded instruments worldwide. The database currently updates at a rate of 1 million messages per second and is around 3 Petabytes uncompressed. It is a comprehensive, accurate and precise historical record of market behaviour. Includes API and MATLAB API access. Contact Sirca for more information.

For updates on the data offering check: Dinkum Data

Answer 7

I am looking for dates of FOMC meetings. Anybody knows where I could find a list of historical FOMC meeting dates going back to at least 1982?

The best I could find is in tables of this article: http://www.rose-hulman.edu/~bremmer/professional/fed_target_paper.htm and of course here http://www.federalreserve.gov/monetarypolicy/fomchistorical2005.htm but need to manually retype the data which takes time and is error prone.

Any ideas where to find a downladable online source is appreciated.

Answer 8

http://www.mbtrading.com/developersPriceServer.aspx

MBT Quote API was designed for third-party software developers and provides access to the following data feeds:

* NASDAQ Market
* New York Stock Exchange - NYSE
* American Stock Exchange - AMEX
* Toronto Stock Exchange - TSX
* INET and ARCA ECN books
* CBOE Options quotes
* CME Futures Quotes
* CBOT Futures quotes
* Foreign Currencies

Under development.

Answer 9

www.historicaloptiondata.com for CBOE options data stretching back 10 years (EOD only). They also have an FTP service which allows you to download EOD option data on a daily basis after market close.

Answer 10

Futures and Forex: http://www.tradingblox.com/tradingblox/free-historical-data.htm

Indicies, Forex, Futures: http://pitrading.com/free_market_data.htm

Commodities, Forex, Stocks, Interest Rates, Mutual Funds, Hedge Funds and more: http://www.wikiposit.com

Answer 11

General data source:

WRDS

Fixed Income:

Fed historical daily rates

Answer 12

No matter you are institution or individual, if you want to find some data related to finance, you can check out from here:

http://fundamentals.morningstar.com/ http://equityapi.morningstar.com/

Answer 13

Somewhat more economic data can be found at e.g.:

• The World Bank
• The United Nations
• The OECD

More financial:

• The IMF

European Union / EFTA / EMU data:

• Eurostat
• European Central Bank (financial)

Data from these sources is all freely available. You can also play with data from many of these sources using the Google Public Data Explorer.

Answer 14

Does anyone have any experience with or knowledge of livevol? They are the only source I've found for historical intraday options data, especially including implied volatility and Greeks calculation, and pricing seems not bad. Even the real-time service seems decent, although it is unclear how it could potentially be tied in to an API.

Answer 15

Where could I download data for Advance-Decline-Unchanged issues for NYSE, AMEX and NASDAQ as far back in history as possible (NYSE data starts in March 1965, AMEX data starts in February 2002, NASDAQ data starts in January 1978.) The best resource for download I was able to find until now is http://unicorn.us.com/advdec/ which is really great. Unfortunately with data only from 2002. I am looking for NYSE Up/Dn Issues and volume since 1965. Thanks for any hints where to get this.

Answer 16

Mostly (macro-)economic but also stuff from xignite free (as of 2011-11-15): http://datamarket.com