Get New Trading & Strategy Ideas

Browse more than 400 attractive trading systems together with hundreds of related academic papers
A comprehensive list of tools for quantitative traders
Company Products Sample pricing
Global Financial DataHistorical data (daily/monthly):

US Equities to 1693, Foreign Stocks to 1693, Delisted Stocks to 1693

Fixed Income to 1520, Commodities to 1252, Real Estate to 1835, Exchange Rates to 1383

Economic Data to 1168, Inflation to 1209

Asset Allocation to 1800

price on request at sales@globalfinancialdata.com

price per data series or complete database

MorningstarInstitutional-class standard, Morningstar provides multiple platforms for historical data:

Morningstar Quotes – point-in-time snapshots or full tick-by-tick data from 2003 (EoD data from 1998), data for global equities, ETFs and listed derivatives (futures, options etc.)

Morningstar Data for Equities – data since 1973, global equity fundamentals, EoD pricing, mutual fund, insider, and institutional ownership

Morningstar Indexes – equity, fixed income, alternatives, multi-asset indexes

Morningstar Data for Commodities – 300+ aggregated data sources, historical prices, fundamental data, MS Excel integration

price on request at productinfo@morningstar.com

Thomson ReutersInstitutional-class standard, Thomson Reuters provides multiple platforms for historical market data:

Lipper – database covers prices and fundamental data for mutual funds, closed-end funds, ETFs, hedge funds, retirement funds and insurance products

Tick History – 2 petabytes of microsecond, time-stamped tick data, from 1996, more than 45 million OTC and exchange-traded instruments worldwide, historical index constituents, integrated corporate actions, exchanges and third-party contributed content

price on request at http://thomsonreuters.com/en/contact-us.html

FactSetHistorical prices (intraday / daily) and other data:

fixed income (since 1984) – approx. 55 000 issues

futures (since 1972) – approx. 900 contracts

equity, index and futures options (since 2004) – approx. 7200 underlying

equities (since 1972) – approx. 25 000+ issues

mutual funds (since 1984) – approx. 28 000 issues

short interest data

company data for international equities – fundamentals, classifications, ESG data etc.

news and research

price on request at http://www.factset.com/weblead

BloombergInstitutional-class standard:

historical data from hundreds of exchanges (all time frames from tick-by-tick), all assets (stocks, bonds, currencies, commodities, derivatives, funds, indexes etc.)

historical macroeconomic data, fundamental data, indicators, financial news, ESG data etc.

integrated risk/portfolio analytics tools, trade execution and analysis etc.

price on request

Capital IQS&P Capital IQ platform provides historical data for:

global macroeconomic indicators (inflation, employment, GDP, balance of payments, trade, retail and industrial indicators etc.)

Compustat database – equity fundamental data from 1950

daily historical price data – world equities, mutual funds, fixed income, indices, commodities, currencies, credit, derivatives and rates

price on request at http://www.spcapitaliq.com/forms/request-a-trial

CRSPAcademic research-quality market databases:

daily prices for US stocks since 1925

intraday price data for various indexes

US Treasuries prices (monthly since 1925, daily since 1961)

Survivor-Bias-Free US Mutual Fund Database since 1962

CRSP/Ziman Real Estate Data Series (REITs prices and fundamental data)

CRSP/Compustat Merged Database – CRSP’s stock data and Compustat’s Xpressfeed fundamental data within a single linked database

price on request at Subscriptions@crsp.ChicagoBooth.edu

Portara CQGHistorical Daily & Intraday Databases:

Futures Forex Cash to inception 1965 Daily |1987 Intraday

CQG Datafactory local modularised databases

Award winning front end Actual Data | Continuous Data creator / extractor

RTH Data | flexible sessions | overnight bars | randomise OHLC

Automatic updates from CQG to your machine 4 x daily

Auto Roll | Auto Compression | Auto Exe logic

256 Global Exchanges – 400 – 10,000 Symbols

Developed by traders for traders

Subscription based model

95% discount on raw CQG Datafactory Pricing

E.g. Continuous data access and build – $220 per symbol per year.

Further discounted rates for larger portfolios:

E.g. A database of 400 symbols $15,000 down plus $1,200 pcm

Prices include updates

TickDataHistorical prices (quotes & trades, trades or minute data):

equities

futures

equity & index options

forex

cash indexes (over 60 indexes)

market indicators (VIX, NASDAQ TICK etc.)

complete equity database ($98,800 for quotes and trades, $48,400 for minute data)

complete futures database ($27,000 for quotes and trades, $16,500 for minute data)

complete options database ($170,100 for quotes and trades, $83,300 for minute data)

complete forex database ($26,200 for quotes and trades, $13,100 for minute data)

complete indexes database ($16,500 for trades)

complete indicators database ($4,300 for trades)

equities per symbol-year ($30 quotes and trades, $15 minute data)

futures per symbol-year ($500 quotes and trades, $125 minute data)

options per symbol-year ($500 quotes and trades, $200 minute data)

forex per symbol-year ($300 quotes and trades, $150 minute data)

indexes per symbol-year ($125 for trades)

indicators per symbol-year ($125 for trades)

AlgoSeekHistorical intraday prices (including full depth, top-of-book, consolidated and OHLC Bars):

equities (Nasdaq, BATS, ARCA, EDGX, EDGA) since Jan 2007

futures and futures options (CME, CBOT, NYMEX and Comex) since Jan 2007

options (all listed USA options from the official OPRA feed) since Jan 2007

clients from hedge funds, sell side and academia.

complete equities – $36,540 trades”es, $18,270 trades only, $12,180 1s bars

equities per symbol per year – $7 to $20 trades”es, $5 to $15 trades only

complete futures – $28,000 trades”es, $7,000 trades only

futures per symbol per year – $120 to $200 trades”es, $60 to $100 trades only

complete options – $44,400 trades”es, $29,600 trades only, $22,200 1s bars

options per symbol per year – $175 to $250 trades”es, $123 to $175 trades only

AlgoSeek is also a Data Partner with QuantGo, where you can rent data on a monthly basis

IQ FeedHistorical intraday/daily data:

180 calendar days of tick data (includes pre-post market)

Forex 1-minute data since Feb 2005

Eminis 1-minute data since Sep 2005

Stock/Futures/Indexes 1-minute data since May 2007

15+ years of OHLC data (Daily, Weekly and Monthly) for Forex/Stock/Futures/Indexes

DTN IQFeed – Base Service $75/mo, tick by tick and historical market data with access to stocks, futures, forex and option

IQFeed Forex Only – Base Service $30/mo, tick by tick spot forex feed with 180 days of tick history, 10 years of 1 minute history

Tick Data MarketHistorical prices (quotes & trades, tick, trades, minute or daily data):

over 20 years of tick equity data (40 stock exchanges)

over 30 years of tick futures data (1000 futures)

over 15 years of tick forex data (10k parities)

over 20 years of tick index data (1000 indexes)

complete futures – daily $990, 100 futures series tick $11,990 or trade & quotes $44,490

complete forex – daily $470, 900 forex pairs tick $5,030 or bid/ask $8,990

50 indexes – daily $590, tick $4,850

futures per time series – daily $50, tick $380 or trade & quotes $990

forex per time series – daily $50, tick $380 or bid/ask $990

indexes per time series – daily $50, tick $380

stocks & etfs – price on request

XigniteHistorical intraday/daily data:

users access historical data via APIs or download files

US equities since 1994, international equities since 2000, dividend/split adjusted

US equities fundamental data for last 11 years

futures and spot for gold, silver, palladium and platinum

interbank interest rates, treasury and LIBOR based swap and forward rates

monthly/daily futures prices

international indexes

price on request at sales@xignite.com

Quant QuoteHistorical price data:

daily/intraday price data for US stocks & ETFs from 1998

no survivorship bias, dividend/split adjustments

added earnings information

complete DJIA – $150

complete NASDAQ 100 – $400

complete S&P 100 – $400

complete S&P 500 – $895

complete ETFs – $500

complete database – $9,000

NanexHistorical prices (intraday from 2004 – trades, best bid/ask quotes, regional exchange quotes, indexes, level 2):

US and international equities and equity and index options

indexes

futures and futures options

forex

price per data series or complete database on request at NxCoreSales@DTN.com

Quant GoHistorical intraday/daily data:

users rents data instead of buying it, monthly fee

a lot of exchanges worldwide

equities, options, futures, news, events

R, Matlab, Python and Java libraries

price on request at https://quantgo.com/sales/

($250 monthly for 5 years tick data history as an example)

TradeStationHistorical prices (intraday / daily):

US stocks & ETFs (43+ years daily data, 20+ years intraday)

stocks, index and futures options (complete history)

US futures (61+ years daily, 27+ years intraday)

US indexes (40+ years daily, 27+ years intraday)

German stocks (11+ years daily, 11+ years intraday)

German indexes (12+ years daily, 12+ years intraday)

forex (40+ years daily, 8+ years intraday)

free for Tradestation brokerage clients

$249.95 monthly for non-professionals (Tradestation software platform only, without brokerage)

$299.95 monthly for professionals (Tradestation software platform only, without brokerage)

eod dataHistorical prices (Intraday minute data since 2008, daily data depending on security):

world equity prices

equity options data

futures

indexes

forex

prices per exchange (all symbols), starts at $10-$25 for 5 years daily data

intraday data starts at $5 per exchange (all symbols) for one month

CSI DataHistorical prices (daily) and other data:

futures

futures options

indexes & cash markets

forex

US equities & options

mutual funds

interest rates & economic data

COT reports

price per data series or complete database on request at info@csidata.com

CRB TraderHistorical prices (daily):

futures

futures options (plus implied and historical volatility data)

indexes & cash markets

US equities

mutual funds

COT reports

futures & indexes – 1 cent per day per symbol – S&P 500 costs $70 as an example

options data – complete history $200 per symbol

volatility (implied and historical) – $50 per symbol

equities & mutual funds data – on request

CME GroupHistorical data (daily / intraday) from CME, CBOT, NYMEX, COMEX:

market depth

top-of-the-book

time & sales

end of day

block trades

price per data series or complete database on request at dataminesales@cmegroup.com

WhartonWharton Research Data Services (WRDS):

is a hosted research platform with over 300 terabytes of historical data across multiple disciplines including Accounting, Finance, Banking, Economics, Health Care, and Insurance

WRDS supports over 50,000 corporate, academic, government and nonprofit users at 400+ institutions in 30+ countries

for more information and pricing please visit www.whartonwrds.com

Olsen DataHistorical tick-data forex prices since 1986:

futures and indexes tick-data available since 1990s

$45,000 yearly for complete forex tick-data database

per-series pricing available here

SixHistorical price data (daily):

global equities, indices, funds, bonds, foreign exchange data, selected derivatives, structured products, warrants and options

millions of symbols (more than 1000 of exchanges and data contributors), data delivered in a form of .csv, multiple security identifiers

price on request at sales.global@six-financial-information.com

Cambridge FISCambridgeFIS:

Cambridge is a financial information services firm that provides market data and security prices to OTC market participants. Its content includes:

Global yield curves and discount factors

FX option volatility surfaces (33 ccy)

Swaption volatility cubes (20 ccy)

Credit default swap (CDS) spread curves (2000 reference entities)

Prices on 1,000,000 global fixed income securities

for more information and pricing please visit www.cambridgefis.com/contact/

NanotickHistorical intraday price data:

Nanotick | CME Group provides the source of historic data for all group exchanges including NYMEX, COMEX, CBOT and the CME itself.

– Nanotick captures every packet broadcast on all channels for both futures and options and has the unique advantage of having both exchange send time and receive time at co-location with atomic clock < 10 nanosecond PPS precision.

The Nanotick data includes CME Market Data Platform (MDP 3.0) Market By Price (MBP) and Market By Order (MBO) data feeds.

Nanotick offers standard data group complexes for the following product groupings: Agricultural Commodities, Energy Products, Equity Indices, Foreign Exchange, Metals, Treasuries and Interest Rates

These complexes contain all historical data for every future and option contract within the market segment irrespective of the source exchange.

for more information and pricing please visit www.nanotick.com/contact-us

eSignaleSignal Classic allows access to historical price data:

North American stocks (intraday since 1997, daily since 1990)

North American futures (intraday since 2007, daily 31+ years)

North American indexes (intraday since 1997, daily since 1990)

Mutual funds daily since 1997

forex intraday since 2007, daily since 1983

world equities (intraday since 2009, daily up to 10 years)

from $45 / month

CQG DataHistorical price data:

20+ years of daily data for futures, stocks, indexes, bonds and forex

7+ years of tick data

data from 60 world exchanges

$6 to $24 for time&sales data per symbol per month

www.metastock.comMetaStock Datalink (daily data):

data from Thomson Reuters

US and world equity prices from 1980

indexes and mutual funds from 1980

futures from 1973

Datalink Asia/Pacific Stocks – $24.95 /month

Datalink Europe/Middle East/Africa Stocks – $24.95 /month

Datalink North/South American Stocks & Mutual Funds – $24.95 /month

Datalink Worldwide Futures – $24.95 /month

Datalink Worldwide Indices – $9.95 /month

EzeEzeSoftware offers a former RealTick data – Historical price data:

US stocks, ETFs, options, futures, forex, indexes, government and corporate bonds

Intraday, Daily, Weekly, Monthly, Seasonal, and Time and Sales

price on request at contact link

Interactive DataHistorical price data:

US & international stocks, ETFs, funds, options, futures, forex, indexes, government and corporate bonds, derivatives (CMO, ABS etc.)

multiple time horizons (from tick-by-tick to lower frequencies)

price on request at datafeed@interactivedata.com

MTS MarketHistorical price data for European government fixed income markets:

daily data going back to 2003 – tick by tick data going back to 2011

price on request at http://www.mtsmarkets.com/Contact-us

Premium dataHistorical daily (EoD) price data:

US stocks since 1950

complete Singapore and Australia price history for stocks

complete US futures data history

complete forex data history

US stocks $524 for complete history (delisted stocks included)

Singapore stocks $90, Australian stocks $90

complete futures price database $90

complete forex price database $90

OnetickONEQUANTDATA – Historical price data (daily):

historical global stocks prices, includes data on company and product information, corporate actions, earnings, daily prices and trading volumes

complementary asset classes, including warrants, mutual funds, pink sheets, ETFs, indices, ETFs and stock index futures

price on request at https://www.onetick.com/web/contact-us

BarchartHistorical data (daily/intraday):

intraday US stocks, etfs, indexes, futures, forex for 3 years

end of day US stocks since 1988, ETFs since 1998

end of day world futures, indexes, mutual funds since inception, international stocks since 2000

additionally fundamental data for equities, commodities, ETFs and mutual funds, news and weather

price on request

Activ FinancialActiv:

Activ is a global provider of real-time, multi-asset financial market data and solutions. ACTIV offers neutral, managed services for buy and sell-side firms and technology providers seeking a complete market data solution that encompasses both global content management and data delivery across the enterprise.

With coverage spanning more than 250 global equity and derivatives exchanges, ACTIV is the only truly end-to-end, independent market data utility in the industry. Founded in 2002 by market data specialists, the firm is privately owned and has offices in Chicago, New York, Tokyo, Singapore and London.

In terms of pricing, this varies based on the number of exchanges, how many months, etc. Anyone interested in Activ’s Global Historical Data should reach out to us directly for pricing.

Analyzer XLDownloaderXL Pro is an add-in for MS Excel 2010 and 2013, it helps download historical securities’ price data directly into Excel’s workbook, free (EoD) sources from:

Yahoo Finance – stocks, etfs, indexes, funds

Google Finance – stocks

PiFin – currency FX rates, financial futures, commodity futures, and indices

$49.45 for DownloaderXL Pro

Historical Option DataOption prices (daily):

options on US stocks (since 2002)

options on SPX (since 1990)

complete database (raw data + IV & greeks calculations with dividends) – $8,495

all symbols (raw data with greeks & IV) – $1,175

all symbols (raw price data) – $765

OptionisticsEquity option prices:

daily since 2008

$399 subscription

market data expressEquity & Index options:

daily prices

complete database ($1,250 for one month)

for one symbol ($3 for one month, $180 for complete history)

iVolatilityHistorical data for options on equities, ETFs and indexes:

historical Volatility (both end-of-day and Parkinson’s)

individual Options Contracts Volatilities (daily)

implied Volatility Index (daily)

implied Volatility Surface (daily)

options prices (NBBO) with volume and open interest (daily)

a year of data for single stock costs from $3.60 (option prices) to $15 (volatility surface) based on type of data

Trading EconomicsWorld macro-economic historical data:

GDP growth, inflation, interest rates, labour markets, business indicators etc

“Standard plan” – $199 monthly – historical data for 20 years, up to 500 indicators

“Professional plan” – $399 monthly – historical data for 100 years, all indicators

“Enterprise plan” – $2,999 quarterly – complete database, all APIs, unlimited users

KnoemaWorld macro-economic historical data:

GDP growth, inflation, interest rates, exchange rates, labour markets, business indicators etc.

free

QuandlCollects data from multiple data sources into one database, contains daily prices for:

futures, forex, US & World stocks, ETFs, indexes, US interest rates

macroeconomic indicators (from St. Louis FRED as an example)

free

some premium data are paid

DukascopyHistorical price data:

data in various frequencies (tick-by-tick, minutes, hourly, daily, weekly, monthly)

covers all forex crosses and major pairs, spot silver and gold

free

Fama FrenchFama & French factors:

factor portfolios (market, small/big, value/growth, momentum/reversal) since 1926

free

FREDHistorical long-term macro-economic data:

exchange rates, monetary rates, interest rates etc.

financial indicators, population, employment & labour markets etc.

commodity prices, CPIs, PPIs, house price indexes etc.

free

World BankHistorical world long-term macro-economic data:

exchange rates, monetary rates, interest rates etc.

financial indicators, population, employment & labour markets etc.

commodity prices, inflation indexes etc.

free

Yahoo financeHistorical prices (daily) for:

dividend/split adjusted US stocks, ETFs

indexes

market indicators (VIX, VXV etc.)

forex

free

Measuring worthHistorical data:

daily US equity indexes (starting 1885)

macro-economic series (GDP, CPI, money wage etc.)

US & UK interest rates, gold price, dollar and pound exchange rates

free

ShillerHistorical monthly data for:

US interest rates, credit rates, stock prices & dividends, CAPE ratios since 1871

free

Subscribe for Newsletter

Be first to know, when we publish new content


logo
The Encyclopedia of Quantitative Trading Strategies

Log in