#139 - Where To Get Reliable Historical Market Data
Hey everyone, Kirk here again at Option Alpha and welcome back to the daily call. Today, I want to show you where to get reliable historical market data. This is going to be for options data and also for general stock or equity data. I think the first thing I’ll say with this is the keyword here is “reliable.” There’s a lot of data providers out there and a lot of data sources. One thing that we learned in building our back-testing software and our trade optimization software on Option Alpha is that not all data is the same. Even though two people or two different data providers might say that they’re providing the same data, we’ve often found that lots of inconsistencies, it's not like millions and millions of inconsistencies, but a lot of inconsistencies among different data providers on end of day versus open of the day versus middle of the today, tick intervals, volatility metrics and volatility numbers, Deltas, Thetas and sometimes just flat out missing data or incomplete data. I think the key here is that if you’re going to use data and trying to go through and use data for the purposes of back-testing or building models or algorithms, it’s really, really important to go through the data and take some time to really clean or scrub the data as much as possible. I know it was something that took a lot more time than we anticipated when we originally built out back-testing software, is going through and scrubbing and cleaning that database. That said, I think I’ll start with obviously the stock side. On the stock side, there’s a lot of different places that you can go to. Probably one of the most readily available and for the most part, free for most traders is EOD data which is end of day data for a lot of different underlying securities and exchanges, probably a really good one to just start out with and get you some of the regular interval stuff on stock data down to end of day and then also intraday and the one minute quotes, so more readily available like I said than some of the other places out there. But frankly, you can go anywhere and get historical prices, Yahoo, Google. NASDAQ also has a really cool interface where you just type in a couple of symbols separated by commas and you get basically 10 years of historical price and volume for stocks of which then you can download and export. There’s a lot of different sources I think for stock data and I think it’s a lot more readily available and easily available than options data. On the option side, there’s a bunch of different sources. Obviously, you can go to the CBOE, go to the NASDAQ. Another great source is ivolatility.com. They have a lot of historical data and also have Canadian and European options data history. There’s also other providers like Tick Data, Quandl, etcetera that have lots and lots of databases. Again, it just ranges as to how much data they have, how far back it goes, tickers that they offer and then also, the quote levels that they have. So, is it just the bid and ask? Is it the last executed price at the end of the day? Do they have the volumes, open interest? Do they account for dividends and splits? There’s really a lot of things that go into it that you have to be aware of as you start getting into it. The problem with options data though is that in most cases, options data is not complete and free right now. You have a lot of fragmented options data out there and most of it cost money too to download. In some cases, (and I’m just looking right now on one provider) the pricing just for one year of one symbol of options data is $500. Just to get enough data for one year of options trading history for one particular symbol can be as much as $500. Now, this is why you see that when we built our options back-testing software, it’s an incredible value to everyone because it's a couple of hundred dollars one-time and you basically have access to decades of options trading data at your fingertips with different strategies and technology to trade different securities. I think we started with 50 tickers and we’re going to be adding more tickers here in the future. You can see we probably put in the brunt of the expense for you in building this out and then hopefully are providing enough of a resource for you to see how valuable it is because if you try to do this by yourself, just buying one ticker symbol in one year would get you $500 of just raw cost and you still have nothing to do with that. It can provide real no value to you until you start having the ability to back-test and trade different option strategies. As always, you can check that out at optionalpha.com/toolbox and look and see what we have. If you have any questions on data sets that we’ve used before or where we’ve gotten them or any other resources you want to check out or share or if there’s one I didn’t see or say here which I’m sure there is because there’s millions out there and you want to share it with our community, just let us know. As always, hopefully you guys enjoyed this. Until next time, happy trading!
