Data To Munge: Stock Trading, Exchange Trading

Question

I know that a lot of this information is probably entirely privatized, but does anyone know of a good source of real time information on what kind of trading activity is where in the market? It doesn't need to be fast enough to actually make informed trading decisions based on it, I'm more looking to aggregate it into some beautiful graphics. For fun. Because I have personal problems.

I'd be grateful for any help!

Answer 1

Not sure, but I was of the opinion that Google Finance API was better than Yahoo:

http://code.google.com/apis/finance/

Answer 2

The best I'm aware of is the Yahoo Finance API. It'll give you delayed prices and some bid/ask stuff. There's a description of how it works here: http://www.gummy-stuff.org/Yahoo-data.htm

Answer 3

There was a project called OpenTick that planned on giving access to data from the exchanges themselves (eg., the Chicago Board of Trade), provided you paid the exchanges whatever fees were required. That project quietly died.

You can get some market benchmark data from the St Louis Fed. Aside from that, I haven't found anything better than Yahoo! Finance or Google Finance. Both the NASD and the NYSE give access to historical data on their websites, but I don't see any kind of web service interface.

Answer 4

Bloomberg open api http://www.openbloomberg.com/open-api/ which is recently made free can be used to get historical market data and also real time data. If you are looking for historical stock price there is a nice api http://www.quandl.com/ , you can get even more then 10 year old stock prices for co. in many formats.

Answer 5

I would have subscribed to the suggestion of the Google API, but it is not available anymore.

This post offers the best list of Financial Data accessible from R I've encountered online: http://www.r-bloggers.com/financial-data-accessible-from-r-part-iv/.

Yet this is not an R post. Beyond those sources, I would wholeheartedly recommend TD Ameritrade's Thinkorswim platform (www.thinkorswim.com). It is a trading platform with free real time data to US financial markets. You can open an account and keep just one cent on it if not needed for actual investing/trading.

Furthermore, I would recommend the Ninja Trader platform (http://ninjatrader.com), which offers free end of day historical data for US financial markets. You can export data from Ninja Trader to txt format and then import it into R or Python if so desired.