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Most data providers I find online offer historical market data in time resolutions of 1 minute bars or longer (which is too long), or tick resolution (which is too short). Of course one could get tick data and construct 1 second bars from this information. However, the price for tick data is very excessive.
Is there a data provider offering 1 second bar resolution historical market data for US equities? If there are several, which one is most affordable?
Since this question does not seem to get a lot of answers, for the benefit of other visitors I should mention that it is possible to get 1 second bar resolution historical data from Interactive Brokers API. (Streaming data subscription required.) However, they have a strict data transfer rate in place, such that no more than 1800 bars can be requested per 10 seconds. That download rate is too slow, which is why I am looking for alternatives.
I have never heard of any ready-made 1-second intraday data before. The only way to create 1-second data would be formatting tick data into 1-second bars. If you don't want to format the data yourself, you can ask some suppliers to do it for you. There is a supplier i have used in the past who will handle all of the formatting and rolls for you. Here's their link: PortaraCQG.com
