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I'm looking for some intraday stock data. Doesn't really matter what kind of security... I'm just looking for price, volume, bid, and ask. I'm looking to test a model based on the dynamics and kinematics of a body and how it can be applied to stock price movement, however I have no source of sample data to test on. I don't feel the need to purchase any data because I'm not looking for huge quantities... Only a small amount to test on, perhaps just a day's worth, doesn't even matter from what date.

Any source of such sample data? Or should I write up a data scraper and just run it for a week to get this data?

Here is a link to a research publication that models stock movement from Newton's Second Law of motion: http://apmr.management.ncku.edu.tw/comm/updown/DW0904222241.pdf

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Check out Quandl's collection of intraday data from AlgoSeek: https://www.quandl.com/vendors/as

These are historical trade-based minute bars showing OHLCV for stocks.

If you click on each database in the link above, you'll see a tab for "Free Sample Data" to the left.

For example: https://www.quandl.com/data/ASTRAN/documentation/free-sample-data

Note that to download the free sample data, you'll need to create a Quandl account so that you get a Quandl API key. Making an account is free and easy. Our API is also free to use.

Hope this helps!

[Disclosure: I work for Quandl]

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  • $\begingroup$ Nice, I signed up for the free API key... However the sample data does not have any bid/ask data. This is data is critical to my model. $\endgroup$ – denbjornen505 Jul 20 '16 at 21:41
  • $\begingroup$ @denbjornen505 Sorry! My mistake. I missed the bid/ask data part of your request and unfortunately, we don't have any bid/ask intraday data. $\endgroup$ – user37317 Jul 21 '16 at 15:44
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Tick Data has some sample equity data with bid/ask.

First go to the Tick Data equities web site:

https://www.tickdata.com/equity-data/

Then find the Sample Data link.

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You can get it from google finance:

https://www.google.com/finance/getprices?q=LHA&x=ETR&i=60&p=5d&f=d,c,h,l,o,v

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  • $\begingroup$ This does not have bid/ask data. Or else I would have used it in the first place........ $\endgroup$ – denbjornen505 Jul 20 '16 at 21:42
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TickData has institutional quality high-resolution data at around $25 per ticker per year (for bulk orders of around 100+ ticker/years)

If you are ok with 1-min and 1-second bars instead of tick data then FirstRateData has 1-min bars for some stocks and 1-hour bars.

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