Historic Stock Data (1 min / 5 min bars)

[johnkm]

I just finished an analysis project and have historical datasets (going back 15 years) for S&P500 constituent stocks in 1min and 5min intervals. I was thinking to put it online for download but not sure if this would be of interest (unsure how commonly available the data is...). Just let me know and I'll put the files online if there's interest...

 

[Sharky]

I just finished an analysis project and have historical datasets (going back 15 years) for S&P500 constituent stocks in 1min and 5min intervals. I was thinking to put it online for download but not sure if this would be of interest (unsure how commonly available the data is...). Just let me know and I'll put the files online if there's interest...

Good of you to offer John. How big is the dataset and what soft of analysis project was it?

 

[johnkm]

It's actually in a database right now but trivial to export it to csv files and zip them. Was thinking of annual and monthy files for each ticker (depending on how big these end up).

I was working on a VaR project, calculating correlations.

 

[johnkm]

I put the files up - at firstratedata.com (turned out easier to create a simple site than annotate and describe a bunch of zips). I had some trouble with the 1min bars so most stocks are 1 hour bars back to 2004, some indices have 1 min bars.

I'll try add the 1 min bars and more stocks at the end of the month when I have some time.

 

[TradeKing305]

Thank you for your work John. This is really good stuff!

 

[hatemypips]

You shared great stuff with us. I wonder did you upload all this data or it's a kind of community work on this website?

 

[johnkm]

It was a bunch of files I had left over from several projects. Happy to take contributions if you would like to share some datasets.