I really need high frequency data for my thesis. The data should contain the following columns:

Time with format: yyyy-mm-dd h:mm:ss; Price; Bid price; Ask price; Bid volume; Aks volume; volume

I tried several different online sources to get the data. The second best solution I found was the dakuscopy website, but they didn't contain the price and volume column which are crucial for my analysis. So pls help!

  • 1
    $\begingroup$ quant.stackexchange.com/questions/60677/… - consolidated tape, quote feed. $\endgroup$ Feb 20, 2021 at 15:31
  • $\begingroup$ Since you’re in university I advice you come up with a plan to get this data together with your professor. $\endgroup$
    – Bob Jansen
    Feb 20, 2021 at 16:48
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    $\begingroup$ You haven't specified what asset class you're looking for! $\endgroup$
    – user42108
    Feb 20, 2021 at 17:08
  • $\begingroup$ well that's the problem, my university has the tool data stream and the finest frequency I have access to is in minutes. This is already too coarse. I am looking for stock market data. Which Company is basically at this point secondary, as long as I get the needed columns and at least a couple of trading day. Only one would be to little but of course better then nothing $\endgroup$
    – Mark
    Feb 20, 2021 at 19:17
  • $\begingroup$ Maybe you can contact authors that have published using HF data or contact firms near you? Unfortunately I don’t think any HF data is downloadable from the open web. If it’s hopefully it will be linked in the linked question. $\endgroup$
    – Bob Jansen
    Feb 20, 2021 at 19:56