Yahoo/google finance are decent enough for the last 5-10 years or so but I wouldn't use them for anything more than casual research. For reliable data going back that far you'll need something like thomson-reuters MarketQA.

<t>QuoteOriginally posted by: blackfinHi All,I have an equity based intraday(no overnight holding) algorithmic strategy and I was wondering what size I can scale it to? Right now I'm running live with 400 shares each, but I wonder if I could trade 100,000 or 50,000 shares (# of trades maybe 3-10 tra...

1000 pairs concurrently or a watch list with 1000 potential pairs?

You can get an idea of the half life of the spread by regressing the spread value on the daily change in the spread. Your half life will then be ln(2)/(Beta_spread).

What kind of frequency are you looking for? Bloomberg and Reuters both have pretty good data but it can get very expensive. Historical daily OHLC data for the index is available for free (yahoo, google) and you can calculate the historical vol from that.

<t>There's really no rule of thumb here, but if you don't have any real track record then you shouldn't expect much (if anything) from institutional investors. Depending on the nature of your strategy and how much capital you feel you need to get it off the ground, your best bet may be to scrape tog...