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                                                   Intraday historic data for US stocks for 3-4 years or longer?

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Kiran
2015-04-23 16:03:36


I'm looking for intraday data (5min, 15min, 30min candles) for US stocks going back at least 3-5 years or longer. (10-15days isn't sufficient to test robustness of a system).

Is there some way i can use/modify the existing downloaders to go back 3-4 years? Both these downloaders seem to only go back 10-15 days and modifying the URL parameters doesn't help because Google/Yahoo limit to 10-15 days.
- http://www.quantshare.com/item-1173-historical-intraday-data-for-us-stocks
- http://www.quantshare.com/item-734-intraday-quotes-for-major-stock-exchanges

If not, is there a downloader to buy this data (perhaps from IQFeed or other sources)?



thanks,
Kiran



QuantShare
2015-04-24 02:40:43

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Hi Kiran,

To get several days worth of intraday data you need to buy that data.
You can buy this data from any data provider then import it into QuantShare.
Please search Google for that.



Kiran
2015-04-28 16:30:13

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I'm importing 3rd party intra-day data (5-minute or 1-minute bars, 3 years of data, around 500 symbols, ASCII text file format). Couple of questions -

1) If i import 5-minute data (instead of 1-minute, as it consumes less disk space), can i still run charts and trading systems at 10min, 15min or 30 minute intervals? Not sure if the 1-minute data source is a hard requirement for this.

2) It's very manual to specify the Group, Industry, Index for every symbol during the import of 500 symbols. If i left the fields blank, does it pick it up from the Daily data? Will i be able to run sector() and industry() grouping and filters in my comp queries if i left them blank?
- Also, is there a bulk import capability so i don't have to import each symbol at a time?

3) The data also contains after-hours data - how do i force the trading systems to ignore this and only consider Market-hours data?

thanks
Kiran



QuantShare
2015-04-29 02:58:29

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1/ Yes, you can import 5-min data and then use any multiple time frame (10, 15, 20...)

2/ If the sector/industry is already filled and the symbol is existing then you do not have to update Group, Industry, Index for every symbol during the import.

3/ In the time-frame/period, control, next to "Select a time frame", click on "Options" (link available only when intraday period is used) then uncheck "Use data outside regular hours".



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