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Stock / ETF at 5-minute intervals can be downloaded from Yahoo Finance. See the code below: from urllib import urlretrieve import numpy as np, pandas as pd, sys import datetime as dt, requests import datetime, re, StringIO symbol = sys.argv[1] url='http://chartapi.finance.yahoo.com/instrument/1.0/%s/chartdata;type=quote;range=3d/csv' % symbol response = ...


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For what concerns Forex data which is, however financial data after all, I often use http://www.histdata.com/. Their data is delivered in .CSV format. For timeframes, I quote the website: We can only deliver you time ordered Tick and M1 (1 minute) data. The data that we have available is organized by forex-pair/year/month. They also provide data for ...


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Q1.) Is there anything wrong in principle with this simple sampling strategy? I mean sampling is a valid strategy, it just may not be the best. WOuld a VWAP style price be better? Would just an average be better? Typically when no trade has happened you can model the price as the last, average of the bid/ask spread, etc. The price you want depends ...



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