I am looking for a place to get all NYSE/NASDAQ data for every trade (price/size) on a particular ticker. The data can be delayed by minutes/hours. I am a student and am trying to use this for a project, so I am on a limited budget. So far I know of TradingPhysics offers \$0.20 per stock per day, and IQfeed would be around $100 a month. IEX seems to only report trades executed with IEX, which makes it unusable for my purchases. Are there any better services?
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$\begingroup$ Do you need almost real time data? Or data starting the year before the current would be enough? $\endgroup$– phdstudentJul 26, 2020 at 20:37
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$\begingroup$ I'm guessing I only need around 1-3 months of tick data, but it does not need to be real time, as long as I can retrieve data daily. $\endgroup$– jamesralph8555Jul 27, 2020 at 7:04
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3 Answers
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Check if your university has TAQ (trades and quotes), often available through Wharton Research Data Services (WRDS). Professors who research about market microstructure may use TAQ for research. If so, you can try asking a professor to get you the data for your project.
When I looked, I could not find free intraday data on Quandl.
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Open an an account in TD Ameritrade which is free. You will have to write code to get ticker wise data. Quandl provides data at a cost.
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$\begingroup$ Wouldn't this violate TD ameritrade terms and conditions? $\endgroup$ Jul 26, 2020 at 20:36
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$\begingroup$ As long as you are not publishing this data you are ok, quant traders use these api's to get stock prices at real time $\endgroup$ Jul 28, 2020 at 12:46
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Are you looking for historical intraday data? AlgoSeek might be worth checking out.
