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I am looking for long time historical intraday day data on the S&P500 composite for a time horizon like 10 years with a - for example 10-minutes tick - or prices for call/put options on the S&P500 index itself.

What I tried so far: I checked Bloomberg Terminal and also contacted their Help Desk. They do have intraday data, but not on such a long time basis. They do offer 140 days to export to Excel and 240 days to view in terminal. That's it. I also checked Datastream 5.1, but they don't seem to offer intraday data at all... I am familiar with the Oxford-Man database, which is pretty nice, but I do need the raw data. I already saw the OptionMetrics database, is there any alternative? Maybe Macrobond?

I was wondering whether or not someone has any idea where to get such data from, any tips are highly welcome!

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11 Answers 11

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You are not clear if you want the S&P500 index (SPY), OPRA Options or the Futures. Having spent a lot of time exploring vendors, here is a summary to help you (in alphabetical order):

AlgoSeek.com : Intraday data back to 2007 for US Equities, Futures and Options. So you can get S&P 500 data. Intraday they have tick, 1 sec, 1 min and 5 min OHLC bars. Institutional data and well priced.

BarChartMarketData.com : Been collecting Futures data for 50+ years. Also have Options and some Equity. For Futures data they have a great reputation.

Bloomberg : All the data you ever need BUT you are limited in the amount of intraday data you can export from your Bloomberg and upto about 250 days historically.

Reuters: Great historical dataset but difficult to work with for an individual.

QuantGo.com : New firm where clients rent access to data by the month from multiple data vendors but have to use Amazon AWS cloud computers on QuantGo's platform. Very affordable if you are can/willing to work with virtual cloud computers.

Tickdata.com : Global Equities, Futures and Options. Intraday bar data from 2004. Consolidated tape since 1993. Have tick and bar data with 1 sec/1 min/5 min OHLC. Institutional quality data but very expensive.

CBOE Datashop: Somewhat pricey, but you can get 1 minute data for every strike and every expiration.
Probably more than you need.

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  • $\begingroup$ Thank you that was really helpful. Is there a way we can get the prices that they offer the data for? $\endgroup$ – Nick Mugisha Mar 28 at 19:13
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You can get minutely as-traded prices for all US securities on Quantopian, for free. You can't download the original data, but you can query it, analyze it, and do your research within a hosted IPython notebook on the website.

Once you register, go to https://www.quantopian.com/research and check the get_pricing() demo notebook.

Disclosure: I work at Quantopian. I use the minutely data every day!

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Thomson Reuters Tick History. Reasons you might want to use it:

1) It has just about everything you could possibly imagine, going back a long way, and more.

2) The API is (mostly) straightforward to use, so you can download tons of stuff without mucking around in Excel or spreadsheets of any kind.

3) The data can arrive pre-cleaned.

Of course, it is very not free unless you're an academic, and even then you'll need to persuade your university to purchase a subscription (most of the bigger universities in USA, Europe, and Australia do have a subscription in my experience).

For pure academic work, I also think the T&Q (Trade and Quotations) database has what you are after. It is available through WRDS (Wharton Research Data Services). Again, very not free unless your uni pays for it for you. This database in particular is looked on very favourably by academic journals as there exists a full-time academic position at the NYSE simply to maintain this database and make sure it is fit for use in a research environment.

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Historical intraday data for S&P500 going back to the 1980's is available from Tickdata.com . It is not free.

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  • $\begingroup$ as far as I can see this looks pretty similar to the OptionMetrics database. Since I haven't tried either of them, could you make a recommendation? I just checked Macrobond as well, couldn't find any option data, maybe this is because my institute hasn't acquired the proper license or is this normal? thanks for your suggestion anyway! $\endgroup$ – user190080 Jun 8 '15 at 10:47
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Every exchange in North America sells their historical data. NYSE and Nasdaq are the one's I'm most familiar with. They will sell you the data on a one off instance, ie no monthly fees, just a single flat rate.

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    $\begingroup$ thanks! I guess it might be easier to contact one of the mentioned databases than to contact a stock exchange, I will report as soon as I tried it $\endgroup$ – user190080 Jun 9 '15 at 12:26
  • $\begingroup$ @user190080 I find the exchanges to be surprisingly easy to get historical data from. It's usually one 10 minute phone call a credit card exchange and ftp credentials to suck down the files. 2 -12 hours later the ftp finishes depending on the amount of data you want and your back to work $\endgroup$ – chollida Jun 9 '15 at 15:48
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I would second Colin's proposal of Reuters Tick History or perhaps BB B-PIPE. The pricing model is especially attractive in your case since you are mainly interested in a finite subset of tickers, i.e. the S&P 500 composite, and they cover a very large set of exchanges.

The choice between exchange and data vendor is largely a matter of cost-to-symbols desired tradeoff. For a small number of symbols, a vendor package that gives you say, 1000 stock tickers and 50 options roots etc. is usually priced more competitively than the exchanges. On the other hand, buying directly from the exchange is useful if your goal is to acquire all the symbols. There's other trade-offs if you care about the cleanliness of the data a lot, but I will reserve that for another time since I think it's unlikely conditioned that you're only interested in the S&P 500 composite.

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https://www.cqgdatafactory.com/

CQG Data Factory offers decades of historical data online. Order and download accurate, top-quality data from over 60 exchanges worldwide. Access over 20 years of End Of Day market data and over 7 years of intraday data, including Time & Sales (tick data), intraday bar data, and trade volume. Additional data going back to the 1930s is also available.

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If you are looking for historical data there are a few websites I can think of that provide it. www.eodata.com provides 30 days of historical EOD data for free in various text formats. Additionally, you can purchase up to 90 months of historical intraday data as well. An added benefit is that they cover US Options, Mutual Funds, Currencies, and Commodities.

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  • $\begingroup$ Please post this kind of answer as a comment or be more versatile. $\endgroup$ – lehalle Jul 9 '15 at 5:54
  • $\begingroup$ Can you elaborate on what they exactly sell? From this it's not clear what I can get from them. $\endgroup$ – Bob Jansen Jul 9 '15 at 7:30
  • $\begingroup$ I think the answer is pretty self explanatory. The OP is looking for historical intraday data. eoddata.com provides various historical data, including intraday. I'll edit the answer to make it more wordy, but in the end I think it's a short, proper answer for anyone who views this question looking for historical data. $\endgroup$ – The One Rob Jul 9 '15 at 16:15
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If 15 trading days 1-min data is enough for you, try HQD software http://www.ashkon.com/downloader.html

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  • $\begingroup$ link seems to be broken $\endgroup$ – tagoma Sep 15 '18 at 10:46
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You can try here:

https://www.backtestmarket.com

it is a good provider for historical data both for Futures and Forex. Prices are really affordable and it is possible to get free data samples to check whether they are good or not for you

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http://pitrading.com/historical-data.html

You can backfill 15 to 30 years of M1 price history depending on the symbol and package.

If you need the index/etf or futures/forex, try the market package.

If you need the actual stock components, then the stock package.

The files are standard ascii text/csv, so compatiblity shouldn't be an issue. But check out the samples to be sure. We mainly feed the historical files into NinjaTrader and Adaptrade for back tests and cross with Kinetick.

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