For example, Interactive Brokers (IB) offers APIs for fetching historical data at different resolutions. However, some brokerages will give you access to historical data as part of their service offerings. For example, I found that historical 1 minute data for the full S&P 500 going back to 1998 will cost over $750 from several vendors, and will be over 50 GB of data. However, if you want to access intraday data (prices at hourly, minute, or even sub minute levels), or data for other types of securities (futures, bonds, foreign stocks, for example), you will find the data to be a bit more expensive and difficult to find. Equity closing prices for large cap stocks, you’ll probably be able to find this from a number of free or close to free sources. This can be a challenging and possibly expensive process. When exploring the world of quantitative finance or algorithmic trading, you quickly end up facing a very common issue: Where do I get historical market data? No matter what sort of analysis or trading you plan to do, you’ll need access to quality market data for your research and development.
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