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Is there any place to get historical intra-day bid/ask data for stocks? (i.e. pricing information for throughout the trading day, rather than end-of-day prices only?)

Does anyone even keep this data long term?

I expect it probably wouldn't be available for free, but free would be ideal.

closed as off-topic by dg99, keshlam, JoeTaxpayer Sep 16 '16 at 23:45

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5
+100

FreeStockCharts.com keeps some intra-day trading history. You have to create an account to look up individual stocks. Once you create a free account you can get intra-day trading history for the last month (Hourly for past month, 15 minutes for past week, 1 minute for past day). Going back past one month and it only keeps daily close history.

Here is Family Dollary's (FDO) hourly intra-day chart for the past month:

Sample intra-day chart from FreeStockCharts.com

5

Interactive Brokers provides historical intraday data including Bid, Ask, Last Trade and Volume for the majority of stocks. You can chart the data, download it to Excel or use it in your own application through their API.

EDIT: Compared to other solutions (like FreeStockCharts.com for instance), Interactive Brokers provides not only historic intraday LAST**** trades **but also historic BID and ASK data, which is very useful information if you want to design your own trading system.

I have enclosed a screenshot to the chart parameter window and a link to the API description.

enter image description here

  • The only problem with Interactive brokers is that it is very costly. Unless you already have a functioning trading system which gives you decent money, IB is very costly. I would recommend IB only if your existing trading system gives you enough returns to cover the cost of IB data. Again, the cost can be low if you are looking for a very specific market or time frame. So weigh the final costs before using IB – RAVI D PARIKH Sep 16 '16 at 14:47
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Check the answers to this Stackoverflow question https://stackoverflow.com/questions/754593/source-of-historical-stock-data a number of potential sources are listed

0

This amazing site will answer all your data questions. You will need some patience and willingness to spend to get the data that you want. A lot of data is available for free too`

https://www.quandl.com/

  • But the specific data in question is not available for free. – dg99 Sep 16 '16 at 15:29
  • Based on my experience with this site, they frequently update the list of datasets that are available. I was evaluating purchasing intra day order book but was too costly for my analysis. They might have removed it. Did you check using their detailed query search tool or did you simple browse through the catalogue? – RAVI D PARIKH Sep 16 '16 at 15:33
  • I just did the extensive search. They have removed it. Try checking the exchange on which the trades are regulated. Intraday bid /ask (in other words the order book is very huge a data set and is very costly and very rare to get in a downloaded format for free). Wrt to Historical data set , NSE has a option to buy historical data sets for india (but it is prohibitively costly for individuals). Not sure if US exchanges provide this for a reasonable cost. Brokers provide this if you are trading with them on their terminal but not in a downloadable format – RAVI D PARIKH Sep 16 '16 at 15:38

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