Good source of EOD data


#1

With latest Yahoo developments, it becomes pretty pretty hard to get EOD data.
Google data quality is pretty bad too, with arbitrary history cut offs. Quandl has a hardly manageable non-US stock behavior.
What would be a good data source?

  • not extremely expensive
  • having US stocks/indices and CA stocks
  • correctly split-adjusted

Rotation of 5 Momentum stocks (like Clenow)
#2

Norgate Premium Data is superb.

https://www.premiumdata.net/

See if they provide the data you need.

Richard Dale is the senior Norgate representative. He often posts on this forum, and he is responsive to questions by email.

Best, Howard


#3

If by “CA stocks” you are referring to Canadian stocks then Norgate Premium data is of no use to you. They offer U.S. and Australian stocks.

You can look at Interactive Brokers or DTN IQ feed or eSignal.


#4

I would recommend Norgate Premium Data. I have been using them for several years.

Their new product (currently in Beta testing) will be released later this year. It works seamlessly with AmiBroker and allows you to control which price adjustments are applied. Extensive fundamental data are also provided.

Edit: As portfoliobuilder noted while I was typing… no Canadian stocks. CSI Data might be worth checking out.

-Alan


#5

I am with Howard here, Premium Data should exceed all your expectations and then some. It will take care of all the organization and assignments within AB for you as well.
-Sean


#6

Norgate data is essential if you want to really succeed at this business. There are several of us in Canada that are hoping that Norgate will expand into Canadian data as well. We’ve written and asked for Canadian data but the more people they hear from, the more likely they’ll add it: support@premiumdata.net


#7

Perhaps this is an artifact of trial, but can somebody using Premium Data verify what date AA history starts from?


#8

Oct 18 2016 is the first data point for AA in PremiumData:

This is confirmed as being the first available date by Stockcharts.com:


#9

As @HelixTrader wrote, the current incarnation of Aloca split around Nov 2016 into two companies. So it may be confusing that a company with an operating history since 1888 only has quotes going back a few years.

For what it is worth the other part of the company after the split became Arconic (NYSE: ARNC). Norgate Premium Data seems to go back to the approximate date of 1990 on that one.


#10

I have used PremiumData for 4+ years as the data is clean, reliable and support very helpful. Canadian data is the one thing that I too, am waiting for. Until then I have chosen to research and trade US markets only.
Jim


#11

My Norgate history for ARNC goes back to 6/11/1951.


#12

Norgate US Historical Data is available in 2 tranches

Back to 1985 and back to 1950
Each has a once of licence fee
See https://www.premiumdata.net/products/premiumdata/ushistorical.php


#13

This is the best I found.
https://www.metastock.com/products/endofday/reutersdatalink/?exchanges

Data quality is good because it is from Thomson Reuters, the closest competitor to Bloomberg. Price is the cheapest so far for the amount of eod data provided.

If you can find a more value-for-money vendor, let me know. I can’t find any better ones.


#14

Does Metastock provide historical index constituents along with a single function in Amibroker to determine them, as Norgate does? If not, you might find the cost saving is not the “value for money” it seems at first.

See http://www.investopedia.com/terms/s/survivorship-bias-risk.asp


#15

I am considering www.tiingo.com for inclusion in AmiQuote it is $10/month, dividend and split adjusted.

Update: it is already supported by AmiQuote.


#16

+1 for Tiingo.com as it is one of the few dividend-adjusted services. Works great for U.S. stocks and ETFs.


#17

Try STOOQ: free and the plugin for Amibrokercosts $20 a year: all stocks, fx and futures


#18

And Stooq is also likely to be added to AQ although Tiingo seems to deliver much cleaner and properly adjusted data.


#19

+1 for Stooq - for the good coverage of European markets.


#20

alpha vantage is new on the scene and might be worth a look. The website documentation is not very good, but coverage appears to be global and the price is free.
https://www.alphavantage.co/

I do not understand their business model – how they make money enough to support their service. The list of markets and issues needs to be posted. I have asked them for that. You need a key, which is available free and comes by return email within seconds of the request. The website claims data will be “free forever.”

That said, the historical data is extensive. There are APIs for several applications. Intra-day data requests result in real time (not delayed) prices. For example, if you download SPY at 3:58 Eastern time, two minutes before the close, the price returned is real time. I have a master date list for days the NYSE has been open for trading. After downloading daily data for several liquid issues, and synchronizing dates, I checked for missing data and bad quotes. The data is pretty clean.

The availability of historical data depends on the exchange and issue, but most of the series I have downloaded for testing have 20 years daily data – or from first trade if that is more recent. Granularity is as fine as one minute. More granular implies shorter history.

If anyone knows more about the company, the service, and the data, please port.

Best, Howard


Alpha Vantage api