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I am working with 4th order Runge-Kutta method to compute a second order differential equation.

For the best accuracy, I need a 10 milliseconds ohlcv time-series data. I know that I can build it from scratch with historical tick data.

What would be the best source for free or paid samples?

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    $\begingroup$ Did you have a look at the many existing questions on data sources? $\endgroup$ – LocalVolatility Feb 10 at 1:08
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    $\begingroup$ Is there a particular asset class that you're targeting? $\endgroup$ – madilyn Feb 15 at 6:13
  • $\begingroup$ @madilyn, just a sample, whatever it is. $\endgroup$ – Bouarfa Mahi Feb 15 at 8:59
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    $\begingroup$ @BouarfaMahi I mean if you're just making sure for correctness of numerical code, can't you just take daily OHLCV time series data, back out the returns series, scale down the returns and volume by taking the min of either the value divided with some factor or the floor function of the original, then cumulate the series again to get your "millisecond" scale data? $\endgroup$ – madilyn Feb 15 at 17:20
  • $\begingroup$ @madilyn no it is not possible because the relative error is 1e-05 and 1 for respectively Runge-Kutta step size h of 10 and 100 milliseconds. $\endgroup$ – Bouarfa Mahi Feb 15 at 18:14

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