Good source for Historical Market Data?

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mikeblas

[H]ard|DCer of the Month - May 2006
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Seems like every summer I get interested in this project again, but I can't find a data source to drive it. I'm looking for financial data on the web. I'd like to find truly historical quotes, CUSIP look up, and dividend information.

Most of the services I've found simply aren't historical; when an issue changes, they drop it and don't provide quotes for it any longer. I was using a few services from StrikeIron for a while, and they worked okay -- but they've dropped those services.

Does anyone have a good source to get historical price information, CUSIP look up, and associated data?
 
I'd be interested too. Stocks - bid/offer prices if possible.

Thanks.
 
Stocks, mutual funds, options, preferred stocks, yes. Dividend reults for the same, too.
 
Yahoo is unacceptable for all the regular reasons. They don't do CUSIP lookups, they don't offer truly historical quotes, and they offer no adequate substitute. They don't seem to report splits, either.

I'd have thought anyone who had tried to do even only casual research or analysis with their data would know of these limitations. I remain searching looking for a good referral.
 
Here's a great example of Yahoo's problems: FNSRD. Finisar makes SFPs, and various other optical networking and fiber equipment.

If you look for historical quotes of FNSRD, then you find nothing; not even an error. There's still a graph, though, on the symbol's main page.

It turns out that FNSR did a one-to-eight reverse split, and the SEC requires an issue to rename itself when that happens. When FNSR split, it renamed to FNSRD, then renamed back to FNSR to indicate this transition. The FNSR page has correct information, but if you don't know about the split and the rename, you're unable to find data for FNSRD directly.

Similar temporary issues are impossible to find. Microsoft's preferred stock, MSFTP, for example, simply isn't at the Yahoo Finance site.

These problems are not unique to Yahoo, and are just the tip of the iceberg. Dividends paid on mutual funds, historical adjustments, transitions from fractional to decimal trading, and so on, are all problems.
 
Xignite looks a little better, but it's expensive. They also don't quote fund prices.
 
I'm fairly sure CBOE has historical option chains, though you may have to dig to find it.

Yahoo and Investopedia have good stock histories.

But those are all chumps compared to Global Financial Data. I use it all the time for egghead research. I believe it's free for anyone, but most Universities have access, so if it's not just go to your local college library and grab a seat at the computer. Keep in mind you'll have to be familiar with Data Sets and the like.

EDIT:
I just checked, and it appears it is a pay-for-service. You can register for free but have to pay for the data access. Like I said, if you are willing, try the university. They'll usually set up any visitor with temporary computer access.
 
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I'm still struggling to find a good source for historical market data, as well as current updates of financial pricing information.
 
Mike, while I don't know of a source myself I can refer you to a forum that may.

www.bogleheads.org

While our passive investing style may clash with yours (no clue what your style is) we do have a lot of people that run their own calculations on all sorts of things such as regressions to calculate 3F loads so they've obviously got a source (or rather sources) of data. Not sure we'll know of a source that will match what your needs are, but can't hurt to ask around.
 
Are you willing to pay for it?

There is a great deal of data out there, from good sources, if the price is right.

Read through here:
http://quant.stackexchange.com/search?q=data+source

Be mindful, though, Quant.SE is a very narrowly-confined SE.

Do you just want stocks and other exchange-trades? Or are you looking for hedge funds?
 
Interesting - the company I work for does a lot of this stuff but we generally work with the intermediaries and manufacturers etc - so we get historical data from their TA's or our customers who get them from their data providers directly.

Sometimes for historical data the charges that they attach to retrieving the data can be astounding.

I think for cusip lookups some of our data managers use finra among other sites. I can ask them for more info. I don't work with the financial side much.
 
I'm looking for full historical data for ticker-to-CUSIP lookup, dividends, splits, and historical open-and-close pricing and volume. I''m looking for this data for domestic large market stocks, ETFs, and mutual funds. Having it for major foreign markets would be a plus. Indexes are a requirement.

I'm willing to pay, but only as a hobbyist; $20,000 for 5000 look ups is not feasible, but a couple hundred bucks for a few thousand quotes each month might be doable.

Yahoo has decent data and acceptable history for currently traded issues. When an issue stops trading or gets renamed, they don't offer quotes on it anymore and their dividend reporting is terrible. Google might have been a contender, but they're shutting down their API.

Eodata looks promising, but their pricing page implies that they only provide historical data to three years -- and that's at the maximum subscription level. I have been investing for much longer than three years.
 
The company I work for, among other things, aggregates and provides data for mutual funds and hedge funds (which is usually not otherwise available) but we don't offer a free service. We don't track stocks, either, because those are readily available from the exchanges themselves.
If you need hedge fund data, PM me. I can't provide it for free, myself, but maybe I can point you in a direction.

If you only want stock data I'd suggest contacting the university. They likely have a subscription you could access for non-commercial purposes.
 
Thanks for the offer, but I'm not involved in hedge funds. I have one really simple one at the moment, but I think it's actually listed as an ETF.

Which university do you mean, BTW?
 
mikeblas said:
Thanks for the offer, but I'm not involved in hedge funds. I have one really simple one at the moment, but I think it's actually listed as an ETF.
Click to expand...

We have ETF data but not really a big part of our data product because it's public market data.

Which university do you mean, BTW?
Click to expand...

Not sure where you're located, but any sizable university with a finance department likely has a subscription to market data providers. Ours uses University of Chicago's database.
 
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