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Best way to obtain market data?

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(Last Updated On: July 13, 2011)

Best way to obtain market data?
Hi, I am starting to test out my market-making algo strategy, and I
need to buy some data. I see that TAQ2 data costs $800/mth, and
that’s a little steep. Can someone suggest where I can get L1 or L2
HFT data, for a large number of stocks, for say, a year?
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Market Exchange give you free data , start using google
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Basically good HFT data is too expensive for individual, available free data is of low quality of course.
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I didn’t have any luck so far googling for

free data, can you point me somewhere?

And what is bad about the free data,
timestamps

are poor? How bad?
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as long as you ignore foolish argues

Euronext give you for each quotes the intraday tic database ( very heavy and big database to plan )
Same goes for NYSE and several others
They all provide a CSV file to be usefull
You also have historical fixing for as long as you can get.

Everything with a ISIN is free to obtain, rest of marketdata are either free from Reuters snapshot baq quality.

Paying for paying, don’t bother use broker of marketdata, use the source, bloomberg, reuter, markit.
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Dave Eliezer> And what is bad about the free data, timestamps are poor? How bad?

It depends on your HFT definition and strategy under consideration, all in all a strategy testing isn’t an end in itself.

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