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Selling and delivering real-time data seems to be the focus of practically all large data vendors, but I am more interested in acquiring large sets of historical daily data covering, say, 5.000 instruments (equity, rates, fx, commodities, etc) about 15-25 years back. It does not seem to be a priority for any vendor to deliver such a service - is this true? It would seem like an interesting set to mine.

Please note that I am not asking for a free service - I am aware of the typical free sources, but calling them repeatedly seems like a hassle and besides, they often have greatly varying time series lengths depending on the instrument.

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It's not entirely true. The challenge is to obtain a clean and well maintained historical set, not just a prices set.

Typically, there are many vendors that provide historical data sets, but fail to accommodate corporate actions or other adjustments, so in order to use the set in a research, you'd still need to clean the data thoroughly.

Depending on what asset classes you are looking for, here is a short list of vendors with relatively clean historical data:

  1. Equities and indices: MorningStar, SIX Financial, Interactive Data
  2. Options: CBOE, OptionMetrics
  3. Futures: DTN, Barchart

There are more sources indicated here.

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