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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Hi i there My name is Bryan Downing. I am part of a company called QuantLabs.Net This is specifically a company with a high profile blog about technology, trading, financial, investment, quant, etc. It posts things on how to do job interviews with large companies like Morgan Stanley, Bloomberg, Citibank, and IBM. It also posts different unique tips and tricks on Java, C++, or C programming. It posts about different techniques in learning about Matlab and building models or strategies. There is a lot here if you are into venturing into the financial world like quant or technical analysis. It also discusses the future generation of trading and programming Specialties: C++, Java, C#, Matlab, quant, models, strategies, technical analysis, linux, windows P.S. I have been known to be the worst typist. Do not be offended by it as I like to bang stuff out and put priorty of what I do over typing. Maybe one day I can get a full time copy editor to help out. Do note I prefer videos as they are much easier to produce so check out my many video at youtube.com/quantlabs