I'm looking to find a service that will allow me to download historical data on stocks, bonds, options, futures, indices, etc and also to pick up new files either on a daily or weekly basis. I've been a software engineer for a couple of years now but I'm new the world of quantitative finance. I've purchased a few books on portfolio theory and I'd like some play data on which to test out some of these ideas and techniques. I've seen a number of different sites that offer data either for free or for a small monthly fee. I'm considering using a company called EOD Data (http://www.eoddata.com/) but there are seemingly countless sites out there that offer market data, how do I go about choosing the best one? For my needs, which is only access to market data, how do I go about evaluating the sites so I can get the best quality for my very limited budget? Does anyone have experience using EOD Data or a similar service?
@chrisaycock agreed that is the most common question (I'm guilty of it myself) -- I realized that even some of my questions were better answered by looking at other posts where people had thrown in their 2 cents.
@miggety I've been researching the availability of data for some time as I wanted to create a model 'free data' web-service (similar to ones that have existed in the past) I even have been trying to get people to donate date (no luck there). So I'm in the process of saving money to purchase a service I can redistribute...not cheap!!!!
Basically the more accuracy and breadth of data (number of markets, order-depth, etc.) you want the more your going to pay! I recommend that you buy a 1-off historical package from one of the smaller data providers (names of which are widely avaliable on here), and than possibly if you need live market data, subscribing to a 'web-service' based service xgnite has a pretty wide offering of services that are reasonably priced.
Maybe you should list how much your willing to spend, and what amount of data you need (markets, depth, etc.) and people can give you a better idea if it's possible?
What language or statistical package are you planning on using? There are multiple free options available. If you are thinking R, then you can just use yahoo finance and directly download the data into the R console. There is plenty of sample code available on the internet and also, this forum.