I require daily high,low,open,close,volume for all stocks on as many stock exchanges as possible going as far back in history as possible. Specifically, I would like to cover US stock markets going back enough to cover the Great Depression of the 1930s. Where would I find such data?

well you can get a decent amount of that from Yahoo Finance but going back that far is going to be next to impossible unless you get it directly from the exchanges or perhaps have access to a Bloomberg B-Pipe?To be honest I have no clue how to go more than 5ish years back but Yahoo Finance will give you everything you need in a .csv for recent history.

it's possible for some "stocks". Dow jones data can be found for yahoo for free...but not since 1929 at the beginning of the great depression...but - from 1936, last time i checked...this was months ago.

Y0dawhat charting software do you use as they may be able to help you

I think I found a good site: http://www.csidata.com/Not cheap of course, but they look good.winstontj: Do you know how much data exactly one can get from Bloomberg? I might be able to find someone I know with access to Bloomberg (or Reuters).Kondratiev: I don't use any special graphing software...

QuoteOriginally posted by: Y0daI think I found a good site: http://www.csidata.com/Not cheap of course, but they look good.winstontj: Do you know how much data exactly one can get from Bloomberg? I might be able to find someone I know with access to Bloomberg (or Reuters).Kondratiev: I don't use any special graphing software...Today, I was able to pull data on ~1,600 securities back to 1995 until I blew out my monthly data cap on both terminals. Good thing it resets in 43min!I'm not sure how far - it depends on the type of data. Usually its 10 years on detail stuff like tick - but have you tried yahoo data? they go back quite a ways. I realize you want back to the 1930's but you are asking for a very large amount of data that few people will own/have/maintain. Also - even when i go back to 1995 for my index I find that the companies/index members change. You are asking a lot because you are litterally going to need EVERy listed security.

Center for Research in Securities Prices at the U. of Chicago.

bloomberg?

I've used TickData for sometime now. They system is efficient and works well. I end up reformatting the data to get it into NT7 or whatever backtest software we're using. I'm guessing they are on the higher cost end, but the data appears to be clean. They don't offer bid and ask however, which you can get right from the exchange if that's what you're after. Its pricy, but the only way to be close to the market.

Can someone here confirm that Bloomberg or Reuters Datastream can provide this data? I might be able to get access to Bloomberg or Reuters somewhere.How easy would it be to just, once and for all, extract all this data from Bloomberg and Reuters into one large database file that I can take home with me? I ask because I probably wouldn't be able to just access those machines at my discretion whenever I wanted, but rather one or two times to just get the data I need.

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.