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
  • user1392. Our NYSE Advance/Decline data goes back to 1931. It is available in the US stocks historical data package. premiumdata.net/products/premiumdata/uslayout.php Disclosure: I am a co-owner of Premium Data. – Norgate Data Apr 25 '15 at 2:53
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    opendata.stackexchange.com is a good place to ask for open data sets. – Nicolas Raoul Aug 24 '15 at 1:44

29 Answers 29

up vote 208 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

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

  • 1
    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 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 Dukascopy FX data is tick level and goes back for over a decade. Quality is pretty decent for free data. If you install the free demo of their JForex client, there is a Historic Data manager that enables you to conveniently download a wide variety of time and price based bars. – Tullochgorum May 24 '16 at 7:45
  • knoema has this nice cheatsheet summarizing several data-sources. – zelusp Nov 18 '16 at 2:45

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

  • im all up for quandl, it's the way to go – Xiao Yu Oct 1 '13 at 13:15
  • On Quandl, how do I know which ticker a certain assets have? On quandl.com/tools/python they give the example mydata = quandl.get("FRED/GDP", transformation="rdiff") but how would I know it is "FRED/GDP" that I'm looking for? Do they have a table or some way to search that? – jacob Apr 18 at 12:24

I'm only aware about 3 free data sources of which 1 is still working in June 2018: - GAIN Capital. It contains infomation about FX rates only

Below ones are not available anymore:

  • EuroNext. Bonds and Equities are available. "Search by Criteria" -> select instrument -> "Data downloads".
  • RBS Databank. Interest rates, FX rate, commodities and CPI
  • RBS Databank link is broken, possibly worth removing it, I couldn't find an up to date link. – Tanner Aug 17 '17 at 9:17

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. – 4myle 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
  • So for example the C1315 response. Obviously it's a call but what is the 1315? I would have expected a month/year but that doesn't seem to fit here. – Kelly Aug 11 '16 at 2:29

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.

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

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

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

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.

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

http://www.quandl.com/

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.

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.

  • Do you have a sample code to connect to MBT Quote API ? In C#, for Option chain perhaps ? – Jeson Martajaya May 15 '14 at 21:15

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.

  • if you need accurate prices for accounting, there's no better place – user3232 Jan 27 '13 at 23:14
  • I have used them for years and outside some small issues they have been rock solid. – drobertson Aug 30 '16 at 16:01

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

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

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.

Information on the FOMC Meeting dates can be in the tables of this article and on the FED website but one would need to manually retype the data which takes time and is error prone.

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

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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
  • Why are you posting a question as a solution? – Eric Apr 13 '16 at 23:53
  • @joshayers thanks for the script, did you write it? Any chance you can add it to the answer? – Bob Jansen Apr 14 '16 at 5:36
  • @Eric thanks for the flag, I tried to make the question an answer instead as there is some value here. – Bob Jansen Apr 14 '16 at 5:37

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

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/

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.

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

  • 1
    But this is not an actual data source but rather an API only, right? – RndmSymbl Nov 3 '14 at 9:05
  • Yes, using the API does not give you any access to Bloomberg data. – Olorun Jan 29 '15 at 2:10

Our startup SimFin, provides both historical and actual data for free, since we couldn't afford the pricey premium solutions back when we were students and wanted to overcome the hegemony of the data market.

To this date, we have 70+ financial ratios, Financial statements (directly sourced from the SEC's XBRL data and up to 10y back; quarterly, H1 and 9M) and stock prices for over 1000+ US equities, including big indices like the S&P 500. All the fundamental financial data is freely available and you can instantly download it as excel.

Also, as far as the financial statements go, we display both the original as well as the standardized statements and make it transparent how we transition from one to the other.

Feel free to check it out under simfin.com and hopefully find what you are looking for.

As for the user experience and the quality of data, you shall assure yourselves of how good you estimate it and gladly provide us with valuable feedback so we can further improve our service with the power of the community.

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.

  • 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

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.

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.

There is also a related question on the economics stack: https://economics.stackexchange.com/questions/4679/what-are-some-good-repositories-for-economic-data

Answers from there: The American Economic Association has a list of resources for Economists, including a page for data. There you find links to many institutions that offer all kinds of data, as well as further journals with data archives for the studies they publish.

In the ReplicationWiki (that I work on) we have information on more than 2000 empirical studies and you can search for which one what kind of data, software, and methods were used, if the material is available, and if replications are known. Many studies can be browsed by JEL codes or keywords. The categorization of data sources and geographical origin of data remains very incomplete but it is a wiki, so everyone can contribute and make suggestions.

CQG Inc. https://www.cqgdatafactory.com/ - historical bar and time sales data (ticks) https://develop.cqg.com/qd/?page=ContinuumDocumentation - api for getting realtime, historical data and trade routing.

Here's a snippet of a detailed list of data sources and tools which available on my blog at http://the-world-is.com/blog/resources/general-investor-resources/.

Fundamental Financial Data

Institutional:

  1. CompuStat (S&P Capital IQ) – Compustat offers what I believe to be the highest value instutional-level fundamental financial data. The data standardization methodology is unique and robust (on the order of 1000 pages of business rules). Compustat’s long term competitive edge is cemented by the fact that universities, like UPenn’s Wharton Research Data Services (WRDS), are heavily invested in utilizing the data for research. This, of course, means that finance students (i.e., future financial professionals) are heavily steeped in the pedigree and reliability of this data. Portfolio123 offers cost advantaged access to S&P Capital IQ (CompuStat) data albeit with some limitations.
  2. Bloomberg (aka, “The Terminal”) – When I was at the Board of Trade, a limited number of Bloomberg Terminals were provided for members to utilize during the day. These machines are incredibly powerful, but also very pricey.
  3. FactSet – FactSet has, over the years, subsumed many other premium financial data sets, such as Revere Data, which offered very granular corporate revenue data. Investor’s Edge currently receives their core data from FactSet.
  4. Reuters Fundamentals – Reuters offers a number of applications and APIs to access its company financial. Historically, Portfolio123 used Reuters data before it switched to CompuStat (now S&P Capital IQ). I believe that TradeStation and Interactive Brokers’ IBIS platform still offer API access to Reuters’ fundamentals.

Alternative:

  1. Quandl – Quandl has long offered stock market and fundamental equities data. Quandl’s move to premium (curated) data sets responds to concerns about data over-proliferation and quality control. In addition, Quandl has begun to offer premium commodities data, including robust and verbose methodologies for querying continuous futures data.
  2. Damodoran Online – Aswath Damodoran hosts valuable tools, data, and research publications on his site. He teaches at the Stern School of Business at New York University from whence he is regarded as a leading authority on valuation.
  3. Zacks Data – Now offered on the Quandl API.
  4. Robur Investment Research – Robur’s premise is that a family investment office curates fundamental financial data, and offers it through a research platform. The distinguishing feature, in my mind, is that the core offering for (rare) global fundamental data effectively replicates powerful capabilities offered by the Big 3 (i.e., Capital IQ, Bloomberg, and Factset) at a fraction of the cost. A caveat: I’m not saying anything specific about any provider, but you usually get what you pay for.
  5. American Assocation of Individuals Investors (AAII) – Great bargains on fundamental data and a powerful stock screener.

Economic Data

  1. Quandl - Quandl seeks to democratize (i.e., commoditize?) data. The web platform is pretty basic, but there's a hidden amount of versatility which is unlocked through the web API -- API scripts for querying are available for most quantitative languages. On the downside, Quandl has almost too much data. Founder, Tammer Kamel, has responded by introducing premium data sets. In addition, Quandl offers an API for Economic Data. approved  
  2. Multpl.com - Multpl is a fantastic tool for assessing the market's (i.e., S&P 500's) relative valuation through the cycles. S&P 500 data-sets include: Shiller PE Ratio; price to sales ratio; price to book value; earnings yield; S&P 500 Earnings; and more. approved
  3. YCharts  - YCharts is one of the original financial data aggregators. As it is, vast amounts of data are available from its very simple GUI. Somewhat recently, YCharts incorporated custom variables into toolsets, allowing users to create their financial ratio and time series. 
  4. Trading Economics - Popular site for economic indicators. Offers API access.
  5. Estimize Economic Indicators - Estimize recently extended its crowd-sourcing platform for economics indicators.
  6. ShadowStats - "There are lies, damned lies, and then there are statistics". John Williams has operated this site on "shadow government statistics" for several years. The premise is intriguing. Williams alleges that the US federal government, traditional economists, and the media choose to highlight "mean-reverting" economic statistics. I.e., metrics that media and government promotes are "self-normalizing" and based on "moving goal posts". While cherry-picking the data might not be out-and-out fraud, Williams alleges that canonical economic meausure paint a rosier narrative than what the raw data actually suggests. Williams provides alternative economic data points in order to offset the shortcomings of and provide information which is differentiated from conventional (BLS) data points. 
  7. Yardeni Research - Host to a broad range of market market indicators, research, and indicators.
  8. Leuthold Research: Fund Flows Trends - In addition to margin debt, funds flows have been shown to be very prescient in anticipating market tops and bottoms.
  9. Robert Shiller Data Repository - Includes links to: Yale School of Management's Stock Market Confidence Indexes; Shiller Cyclically Adjusted Price-to-Earnings (CAPE-10) data; US housing price indices from 1890; long term inflationary and consumption data; and more.
  10. St. Louis Fed - Essential resource for macro-economic data.
  11. Federal Reserve Data - Essential data sets on numerous facets of interest.
  12. Federal Reserve DDP - The same data sets as above with enhanced ability to perform bulk queries.
  13. U.S. Bureau of Labor Statistics Data - Primary source for the often cited and misunderstood US unemployment and inflation indices. Also sources numerous other statistics.
  14. OECD Stats Library
  15. OPEC Statistical Data
  16. World Bank Statistical Data

Again, there are more information sources available at http://the-world-is.com/blog/resources/general-investor-resources/.

There is some overlap with what has already been mentioned here, but there is also quite a bit of unique content.

For free financial fundamental data, you can use https://invisement.com

It is a collection of csv file.
You can view them online, download, fetch with google sheets or excel or programming languages (R, Python, JS, ...) or embed in your web-page.

It offers SEC data and standardized data.

This is their web-page that explains what data they have:

protected by chrisaycock Oct 31 '13 at 13:08

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