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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?

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Anybody have a link to (downloadable) (historic) CDS data? –  Samo Aug 21 '11 at 10:25
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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. –  user1392 Sep 16 '11 at 9:53
    
Does anyone have any experience with OptionData service? –  Timka Oct 31 '13 at 1:20

24 Answers 24

up vote 106 down vote accepted

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

United States


Foreign Exchange


Equity and Equity Indices


Fixed Income


Options and Implied Volatility


Futures


Commodities


Multiple Asset Classes and Miscellaneous


Specific Exchanges

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I have used eoddata (premium member) and the data quality is horrible. I would suggest you remove it from the list. –  silencer Dec 12 '12 at 4:15
    
The google link says the API's are no longer available. –  Beth - loud ninja - Whitezel Jan 30 '13 at 6:22
    
can I sergest data.gov.uk for data on a wide variety of things in the uk from the NHS to OS maps ect. –  user1810626 Jan 30 '13 at 10:22

The master list already has dukascopy listed for forex historical tick data. Dukas also now has selected CFDs of indices, metal/energy, and individual stocks. The forex data for the majors go back to 1997 or so. It's free, so you get what you pay for. The data that is more recent (last 5 years) has almost 0 gaps on the majors and crosses.

What was also not mentioned was that you need to either use their jForex platform to download the data or you'd have to download the data manually from their website. This could become quite cumbersome. There are two tools that will automate most of this for you:

TickStory
StrategyQuant's Tick Data Downloader

With those free tools, you can also export the data into csv format, which can then be used in most charting applications. In the case of metatrader 4, you need to convert the csv into their binary format (.FXT). Birt's free csv2fxt script can help with that. I also used Birt's TDS to get variable spreads with the backtests done in mt4.

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Quandl is a free one, with good economic and market data and an API

http://www.quandl.com/

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Thinknum.com is a new financial data provider. We have financial time-series data and data for building cashflow models. Thinknum's plotter is similar to tools like GS plottool and JPM data-query in that it allows users to manipulate time-series data using mathematical expressions.

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I have yet to see Bloombergs open API in this thread...

Bloombergs API

This is the link to the actual API on that page.

The second link is the actual link to the latest api

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But this is not an actual data source but rather an API only, right? –  RndmSymbl Nov 3 at 9:05

I have used both Xignite and FinancialContent for economic data and stock quote data feeds. The plus side of FinancialContent is that they have JavaScript widgets (free with ads or paid with no ads).

Both companies offer JSON, XML and CSV formatted feeds.

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Futures and Forex: http://www.tradingblox.com/?page_id=218

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

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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
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@classifire thanks, updated. –  user508 Jun 4 '13 at 0:26

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

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im all up for quandl, it's the way to go –  Xiao Yu Oct 1 '13 at 13:15

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

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

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

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

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

More financial:

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.

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

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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)

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love this. you should post it here so i can upvote it. –  allen Sep 5 '11 at 13:34
    
uhm, yeah, that's amazing! is that public, or did you find a back door? –  user3232 Jan 27 '13 at 23:13

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.

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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. –  joshayers Sep 21 '11 at 6:26
    
Has anyone seen something that is up to date on this? –  Michael WS Aug 8 '12 at 15:31

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

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Any idea on the cost of access for academic users? –  Ryogi Feb 14 '13 at 17:53

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.

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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.

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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

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.

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if you need accurate prices for accounting, there's no better place –  user3232 Jan 27 '13 at 23:14

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.

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Do you have a sample code to connect to MBT Quote API ? In C#, for Option chain perhaps ? –  Jeson Martajaya May 15 at 21:15

-- (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
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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? –  Good Guy Mike Mar 7 '13 at 19:31

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
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protected by chrisaycock Oct 31 '13 at 13:08

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