Historical data source



Does anybody know of a good data source that provides historical intraday data with the following characteristics:

-Provides "as traded" historical prices: The current historical data I'm using is split-adjusted to the current day. Therefore, it will say a stock traded at $0.20 on a given day in history when in fact the actual price on that day was $10. I need a data source that tells me what stocks actually traded at in the past.
-Provides historical index constituency information: Accounts for newly-listed and de-listed securities. For example, if I want to run a backtest on the S&P500 over the last 10 years, the backtest will run on whatever stocks were in the S&P500 at the time of each day in my backtest. Rather than just taking the stocks that are in the S&P500 today and running my test on just those stocks over the last 10 years. This is critical to prevent survivorship bias.

Norgate data would be perfect but it looks like it only provides daily data.

Also, if I import "as traded" prices into Amibroker, will charts show big artificial gaps that are the result of stock splits? I'm worried that will A.) distort indicators that I use in a strategy backtest, and B.) result in some trades in my backtest showing an entry price of say $5.00 and exit price of say $50.00 as a result of a reverse stock split that occurred between the entry and exit.

Is there is a way in Amibroker to use "as traded" data without seeing these discrepancies?



You should look at Premium Data by Norgate. It has options if you want data split and/or dividend adjusted. Also, you can have split and dividend adjusted data in the OHLC fields but also reference the "Actual" historical price contained in other fields, split and dividend info OI, AUX1, AUX2 etc.

Highly organized and highly recommended.


Sorry, I wasn't clear about that you were looking at intra-day data. I can only suggestion I can add is that if you get the split and div adjustment data, you could run your own script to un-adjust your current intra-day datasets etc.