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?

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 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.

12 revs, 5 users 64% Tal Fishman · Accepted Answer · 2013-03-14 15:22:32Z

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/

Foreign Exchange

Equity and Equity Indices

Fixed Income

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

Options and Implied Volatility

Futures

Commodities

Multiple Asset Classes and Miscellaneous

Long live QuantNet! Along with the book list and MFE rankings, this item should be one of the things in our FAQ.
Glad to help, Chris. If there are something that should be on the FAQ, let me know and I can pretty much find the resources on Quantnet that we have cumulated over the years.
I have fixed all the dead links and appended the useful ones from answers submitted below. Please append/replace links as necessary.
I have used eoddata (premium member) and the data quality is horrible. I would suggest you remove it from the list.

Andrey Taptunov · Answer 2 · 2011-02-03 16:57:52Z

up vote 10 down vote

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

answered edited Feb 3 '11 at 16:57

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Andrey Taptunov

2 revs, 2 users 83% user697697 · Answer 3 · 2011-11-15 15:55:20Z

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)

uhm, yeah, that's amazing! is that public, or did you find a back door?

otto · Answer 4 · 2011-02-03 23:23:27Z

-- (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

Would you say Yahoo finance's daily data with adjustment for dividends and splits are reliable in the sense that you could use them for research? Because I'm having trouble finding data thats adjusted for dividends/finding dividends data separately. Do you know if the dividends are adjusted for by the date the dividends are actually paid or on the ex-dividend day?

Jono Newton · Answer 5 · 2011-09-16 05:46:23Z

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

bquast · Answer 6 · 2012-05-16 09:51:41Z

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

More financial:

The IMF

European Union / EFTA / EMU data:

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.

John Carse · Answer 7 · 2011-08-05 01:16:00Z

up vote 3 down vote

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.

answered edited Aug 5 '11 at 1:16

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John Carse

Gravitas · Answer 8 · 2011-05-23 22:23:32Z

up vote 2 down vote

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.

answered edited May 23 '11 at 22:23

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Gravitas

if you need accurate prices for accounting, there's no better place – user3232 Jan 27 at 23:14

user508 · Answer 9 · 2011-07-12 19:18:33Z

up vote 2 down vote

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

answered edited Jul 12 '11 at 19:18

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user508

	Note that the CSI data available on the tradingblox site isn't clean. That is, certain dates are inexplicably missing from some of the series. – spectralcluster Oct 21 '12 at 23:09
	The tradingblox link doesn't work anymore. – classifire May 11 at 12:20

Sam · Answer 10 · 2011-09-20 21:35:09Z

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.

Here's a Python script to parse the meeting dates from the federalreserve.gov page that you linked: pastie.org/2566958. It pulls the dates from the url of the "Minutes" link for each meeting.

babelproofreader · Answer 11 · 2012-11-11 12:34:35Z

up vote 2 down vote

Miscellaneous data, extending back hundreds of years in some cases, is available from Global Financial Data

answered edited Nov 11 '12 at 12:34

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babelproofreader

Suminda Sirinath Salpitikorala · Answer 12 · 2013-04-05 08:26:19Z

up vote 2 down vote

To get a consolidated feed of most of the data feets here use Quandl. This is free for limited amount of requests per day.

answered edited Apr 5 at 8:26

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Suminda Sirinath Salpitikorala

haki · Answer 13 · 2013-04-24 09:44:31Z

up vote 2 down vote

quandl is a new data source for all kind of econometric time series.

answered edited Apr 24 at 9:44

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haki

Marko · Answer 14 · 2011-02-12 09:54:56Z

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.

Ari B. Friedman · Answer 15 · 2011-08-10 23:30:06Z

up vote 1 down vote

General data source:

WRDS

Fixed Income:

Fed historical daily rates

answered edited Aug 10 '11 at 23:30

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Ari B. Friedman

hroptatyr · Answer 16 · 2011-11-15 22:44:44Z

up vote 1 down vote

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

answered edited Nov 15 '11 at 22:44

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hroptatyr

3 revs, 2 users 87% fundamentals · Answer 17 · 2012-11-09 14:16:39Z

up vote 1 down vote

Whether you are an institution or individual you if you want to find some data related to finance, you can check out from here:

edited Nov 9 '12 at 14:16

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3 revs, 2 users 87%
fundamentals

Tal Fishman · Answer 18 · 2011-07-27 16:19:37Z

up vote 0 down vote

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.

answered edited Jul 27 '11 at 16:19

community wiki

Tal Fishman

	I've used Livevol in the past. They gave me a URL that I was supposed to download a CSV from every 30 seconds. I wrote a script to wget the file and check its embedded timestamp, then save to disk. A "subscriber" would monitor the destination directory via inotify() and load any new CSV. Effectively, I had used the file system as a ticker plant, which got around the API issue. – chrisaycock♦ Jul 27 '11 at 18:43
	@chrisaycock Thanks for the info. Was it a good service overall (reliable, accurate, any issues)? – Tal Fishman Jul 27 '11 at 22:59
	A different trader wanted it for a few months for his model. I didn't use the data myself, so I'm not sure what its quality is like. – chrisaycock♦ Jul 28 '11 at 14:26

2 revs, 2 users 77% Emil · Answer 19 · 2012-10-15 22:49:54Z

up vote 0 down vote

For the best historical data on options, go to OptionsDatamine. It has options prices, OHLCV, and open interest over two years historical. Graphs and charts are available too.

edited Oct 15 '12 at 22:49

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2 revs, 2 users 77%
Emil

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What data sources are available online?

19 Answers

Economic Data

Foreign Exchange

Equity and Equity Indices

Fixed Income

Options and Implied Volatility

Futures

Commodities

Multiple Asset Classes and Miscellaneous

www.sirca.org.au

Your Answer

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What data sources are available online?

19 Answers

Economic Data

Foreign Exchange

Equity and Equity Indices

Fixed Income

Options and Implied Volatility

Futures

Commodities

Multiple Asset Classes and Miscellaneous

www.sirca.org.au

Your Answer

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