I am a retail trader and i am looking for a data set that comprehends all us equities, ETF's, ADR's and indices going back at least to January 1st 2007. Data would need to be split + dividend adjusted and be survivorship bias free (i.e. include all the above mentioned asset clases that have been active at some point for trading during the time period between 01/01/2007 until present day and now are delisted). Another requirement would be 1 min bar frequency for the data set. In addition i am looking for fundamental data on the same asset clases and time period mentioned above. (i.e. market cap, P/E, EPS, etc. Finally a data feed to keep the both above mentioned types of data sets updated would also be of my interest. Could anyone help me to find good sources? i am willing to pay for the data.

Thanks for your time and response!

  • $\begingroup$ It is certainly possible, but with so much data it is going to be expensive... Who is paying for it? $\endgroup$ – Alex C Apr 22 '19 at 2:32
  • $\begingroup$ I am paying for it myself. its for personal use only since i am in the transition from being a discretionary trader to a quantitative trader $\endgroup$ – Julien Veyre Apr 22 '19 at 4:57
  • $\begingroup$ I think you will find this post helpful: quant.stackexchange.com/questions/141/… $\endgroup$ – Jacques Joubert Apr 23 '19 at 0:02

I don't know of any single dataset that encompasses everything you're looking for, even including the standard heavyweight commercial sources (which cost $250k+ per year).

Equity data is typically distinct from ETF data, and fundamental data is typically separate still. High-frequency data is a different animal beyond those (eg, 1-min bars).

It kind of sounds like you're looking for a data unicorn without really even knowing what you're looking for, practical costs aside. It's not uncommon for an individual to purchase a Factset or Bloomberg subscription for a personal book (which typically run ~$30k a year for the standard seats), but I don't get the impression that's the kind of cost you're prepared to pay if you're asking a general question for data sources here.

With that, I'd suggest you take a look at the data thread here and figure out what is available. You're almost certainly going to need to piece it together, even using commercial sources, so your best bet will be to figure out your personal sweet spot for cost and convenience.

I will add since I don't see it mentioned in the thread I linked to, Thomson Reuters, Bloomberg and Factset are among the standard commercial sources available. If I misunderstood your intentions and you're planning to go full-bore, Worldscope and either Bloomberg or Factset are a good access point for building something to scale. You're likely looking at +/-$300k for data per year going that direction though.


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