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where is the best place to get spx data, all the trades with exact millisecond timestamps a few weeks back? I don't mind paying for such a service

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I usually get it from AlgoSeek. Institutional-quality data, has a wide range of delivery options, and flexible payment options. Their trades data has millisecond timestamp before 12/31/2015.

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    $\begingroup$ its way expensive, like 4000$k for just the SNP500 $\endgroup$ Dec 9 '20 at 14:54
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    $\begingroup$ I feel Algoseek's pricing is pretty reasonable, and not as expensive as you said? $\endgroup$
    – Amanda
    Mar 24 at 13:43
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If you are interested in the effect of major economic announcements on the S&P 500 (link), then you ought to look at S&P 500 emini futures traded on the CME. This is probably the market that reacts the fastest to an economic announcement (before all 500 stocks in the index can individually react and thus the result can show up in the computed index itself).

You can get such futures trade data from many sources, such as Tickdata.Com.

An alternative would be to look at the price of SPY, an ETF which also tracks the overall market closely.

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https://www.nyse.com/market-data/historical/daily-taq

Is usually the best place for the trades and all the quotes for those trades. It can be expensive.

There are other services that provide subsets of the data too. https://quantpedia.com/links-tools/?category=historical-data mabe be of some use

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