Where can I download all the stock trades for all the stocks each day?

December 20, 2016 4:13 PM

Yeah, crazy I know but I have a need. I want to evaluate stocks based on every 15 minutes so I need the data from say the NASDAQ or NYSE daily. Where can I do this?
posted by usermac to Work & Money (6 answers total)

From NASDAQ for a couple grand a month.

This is a product that people pay lots of money for.
posted by PMdixon at 4:19 PM on December 20, 2016 [5 favorites]

What you are looking for is termed "intraday trading data". I found this post that suggests some places to get it free, I do not know if it is accurate or not.
posted by procrastination at 4:50 PM on December 20, 2016 [1 favorite]

Important distinction - do you want *price* data or *trade execution* data? The former is much easier to get than the latter.
posted by PMdixon at 5:21 PM on December 20, 2016 [1 favorite]

Yes, ditto to what people have said. It's also called "tick data".

Downloadable historic market data is big business and you have to pay for it if you want accuracy. You can purchase it directly from the exchanges.
posted by phunniemee at 5:25 PM on December 20, 2016 [1 favorite]

A Bloomberg terminal will have this data for recent intraday trading. They generally retain less than a year's worth of historical tick data/intraday trades. Most Bloomberg terminals that are accessible by the public limit a user's ability to download or otherwise pull the data off of the terminal. So while you might be able to view the data on the Bloomberg terminal located at NYPL's SIBL for example - you could not download or email or print the data for home use. For that privilege - it's a subscriber fee in the tens of thousands.

I do know of a resource that will sell intraday ticks for a stock in 15 minute increments from the US Exchanges (i.e. not the LSE) at a reasonable price - under 50 USD. But it would not be affordable on an ongoing basis for multiple equities for multiple days. Feel free to memail me if you would like that rec though.
posted by rdnnyc at 5:40 PM on December 20, 2016 [1 favorite]

A couple of free options: Quantopian lets you work with historical data for free, both through their algo interface and through the 'notebook' feature. Interactive Brokers has a nice API which lets you download historical data through it but you have to be a customer (IMO they are amazing)

For a more serious version, check out quantgo which lets you rent market data on their cloud (ec2) cluster. Definitely more expensive then free though.
posted by bsdfish at 6:38 PM on December 20, 2016 [1 favorite]