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algoisgame
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Posts: 10
Joined: July 8th, 2016, 2:41 pm

Where to look for market data for backtesting?

June 17th, 2016, 8:06 am

Hello Forum members,Since I have just started with my journey in Algorithmic Trading, one of my worries has been getting authentic data which can be used for backtesting purposes. Can anyone here suggest me some sites/platforms/vendors which I can use?Thanks in advance.
 
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roundandround
Posts: 66
Joined: November 18th, 2011, 8:19 pm

Where to look for market data for backtesting?

June 17th, 2016, 8:36 am

quantopian?
 
algoisgame
Topic Author
Posts: 10
Joined: July 8th, 2016, 2:41 pm

Where to look for market data for backtesting?

June 17th, 2016, 8:47 am

QuoteOriginally posted by: roundandroundquantopian?Yes.. but they offer that mostly to premium members. Any free data sources?
 
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Traden4Alpha
Posts: 23951
Joined: September 20th, 2002, 8:30 pm

Where to look for market data for backtesting?

June 17th, 2016, 10:35 am

Why would anyone do all the work to create authentic data so that other people can make money from it and then give it away for free?
 
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JinhuaColin
Posts: 35
Joined: May 30th, 2013, 4:33 pm

Where to look for market data for backtesting?

June 27th, 2016, 5:26 pm

Yahoo finance is a good source. It is free and has API. But not sure how reliable it is.
 
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Hansi
Posts: 3300
Joined: January 25th, 2010, 11:47 am

Where to look for market data for backtesting?

June 27th, 2016, 9:35 pm

QuoteOriginally posted by: JinhuaColinYahoo finance is a good source. It is free and has API. But not sure how reliable it is.Then maybe don't say it's a good source? People pay money for quality data for a reason.
 
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JinhuaColin
Posts: 35
Joined: May 30th, 2013, 4:33 pm

Where to look for market data for backtesting?

June 27th, 2016, 9:46 pm

QuoteOriginally posted by: HansiQuoteOriginally posted by: JinhuaColinYahoo finance is a good source. It is free and has API. But not sure how reliable it is.Then maybe don't say it's a good source? People pay money for quality data for a reason.You are right. But it is good enough if someone is looking for free data to back-test his model.
 
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AnalyticalVega
Posts: 2260
Joined: January 16th, 2013, 5:03 am

Where to look for market data for backtesting?

June 28th, 2016, 3:43 pm

reportedly good quality data at the lowest prices I've seen yet.https://quantquote.com/historical-stock-data
 
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AnalyticalVega
Posts: 2260
Joined: January 16th, 2013, 5:03 am

Where to look for market data for backtesting?

June 28th, 2016, 3:46 pm

free tick data they say..unknown qualityhttp://www.strategyquant.com/tickdownloader/download
 
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rmax
Posts: 6080
Joined: December 8th, 2005, 9:31 am

Where to look for market data for backtesting?

June 29th, 2016, 9:56 am

What is the measure of quality? I looked at one of the links and there was nothing that measured the quality (but I might have missed it). Can you only rely on word of mouth?
 
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AnalyticalVega
Posts: 2260
Joined: January 16th, 2013, 5:03 am

Where to look for market data for backtesting?

June 29th, 2016, 1:11 pm

QuoteOriginally posted by: rmaxWhat is the measure of quality? I looked at one of the links and there was nothing that measured the quality (but I might have missed it). Can you only rely on word of mouth?The only way to know for sure is to get your hands on the data and test it yourself. Anyways I read this. you can decide for yourself:http://quant.caltech.edu/historical-stock-data.html1) QuantQuote ? Based on our own experience and recommendations from Caltech Quant Group alumni now working in industry, QuantQuote is the vendor we most highly recommend. This is the dataset we use for our own research alongside CHSD. Included split/dividend adjustments, symbol change tracking, and excellent software make this the easiest to use research dataset. As an added bonus, pricing is the lowest of the vendors listed in this section so QuantQuote provides the best value (although we wouldn't exactly call the prices cheap). Provides data in minutes, second, and tick resolution. One key differentiator is that QuantQuote is mostly a HFT trading software company and not purely a data company, so they have unique insight into how a Quant dataset should be structured and delivered. As far as we know, QuantQuote is the only vendor which correctly removes out of sequence trades when generating their minute and second resolution datasets.
 
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MHill
Posts: 489
Joined: February 26th, 2010, 11:32 pm

Where to look for market data for backtesting?

June 29th, 2016, 1:14 pm

Just linking two threads with a common theme:http://www.wilmott.com/messageview.cfm? ... adid=14748
 
algoisgame
Topic Author
Posts: 10
Joined: July 8th, 2016, 2:41 pm

Where to look for market data for backtesting?

July 7th, 2016, 5:57 am

Thank you! That was of help.
 
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BryanFletcher
Posts: 1
Joined: February 1st, 2016, 5:18 pm

Re: Where to look for market data for backtesting?

July 12th, 2016, 4:13 pm

Hi, 

If you're looking for free historical/real-time FX/CFD data, here are a few free resources for pulling FXCM's data:

Basic Historical Data Downloader

The data available Includes:
  • 39 currency pairs including majors and exotics
  • Contracts for Difference* (CFDs) including equities, metals, and oil
  • 1min, 5min, 15min, 30min, 1hour, 4hour, 1day, 1week, and 1 month data
  • Bid and Ask data
  • Up to 10+ years of data
  • Paid version available for tick data
FXConnect API
  • Access to full historical and real-time price updates with demo account
FXCM NodeJs/Java Historical Data Downloader + Live Tick Feed
  • Open-source code on Github
  • Application creates a Java server that communicates with a NodeJS client using Redis PubSub
Disclaimer: I work at FXCM. Our service includes products that are traded on margin and carry a risk of losses in excess of your deposited funds. The products may not be suitable for all investors. Please ensure that you fully understand the risks involved.
 
algoisgame
Topic Author
Posts: 10
Joined: July 8th, 2016, 2:41 pm

Re: Where to look for market data for backtesting?

July 13th, 2016, 9:10 am

Hi, 

If you're looking for free historical/real-time FX/CFD data, here are a few free resources for pulling FXCM's data:

Basic Historical Data Downloader

The data available Includes:
  • 39 currency pairs including majors and exotics
  • Contracts for Difference* (CFDs) including equities, metals, and oil
  • 1min, 5min, 15min, 30min, 1hour, 4hour, 1day, 1week, and 1 month data
  • Bid and Ask data
  • Up to 10+ years of data
  • Paid version available for tick data
FXConnect API
  • Access to full historical and real-time price updates with demo account
FXCM NodeJs/Java Historical Data Downloader + Live Tick Feed
  • Open-source code on Github
  • Application creates a Java server that communicates with a NodeJS client using Redis PubSub
Disclaimer: I work at FXCM. Our service includes products that are traded on margin and carry a risk of losses in excess of your deposited funds. The products may not be suitable for all investors. Please ensure that you fully understand the risks involved.
Thanks Bryan!