Demo source code XLQ to get Yahoo Finance Bid and Ask in DotNet CSharp Continue reading
High frequency market data in R with realized volatility, spread, trade direction, bid/ask spread, calendar patterns with tick pattern
This is a pretty good tutorial PDF:
Get the data from: http://faculty.washington.edu/ezivot/splus.htm
This is hinted at the bottom of page2.Ensure to load the RTAQ R package from CRAN for use to load the data. Note that the TAQLoad has changed since this PDF so you will need to change the call.
This also contains some great metrics where you can instantly capture things llike realized volatility, spread, trade direction, bid/ask spread, calendar patterns with tick pattern
All I can say is wow!