Intraday prices

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Intraday prices

Please make sure you have the most updated mfd_dm, mfd_ta and mfd_tex packages for Stata installed for this post.

This post is rather technical. It basically explains the steps of downloading intraday prices from different sources.

NASDAQ

Nasdaq provides real-time prices tick-by-tick throughout the day. Prices are available for pre- and port-market hours as well. This is a free and very valuable service.

Yahoo! Finance

* Reference: http://www.quantshare.com/sa-426-6-ways-to-download-free-intraday-and-tick-data-for-the-us-stock-market
* Format : http://chartapi.finance.yahoo.com/instrument/1.0/[TICKER]/chartdata;type=quote;range=1d/csv
* Example: http://chartapi.finance.yahoo.com/instrument/1.0/GOOG/chartdata;type=quote;range=1d/csv

Netfonds.no.

* Reference: http://www.quantshare.com/sa-426-6-ways-to-download-free-intraday-and-tick-data-for-the-us-stock-market
* Example for tick data:
* http://hopey.netfonds.no/tradedump.php?date=20120423&paper=AAPL.O&csv_format=txt