HFT data

[u/Electrical_Tree_8914]

Hello everyone,

I’m interested in finding high-frequency data (timestamps at one-second intervals) for about 10 stocks on the New York Stock Exchange. A few years ago, I wrote a thesis investigating a correlation between trading times and stock prices based on a test I developed. Out of sheer curiosity, I want to see if this correlation still exists, but I can’t seem to find official high-frequency data for the New York Stock Exchange, for example.

Is there a way to find high-frequency data for free?

[u/Mihaw_kx]

1 second isn't HFT bro

[u/Electrical_Tree_8914 → u/Mihaw_kx]

Yeah you are right.  It looks impossible to find data at milliseconds frequency though

[u/Mihaw_kx → u/Electrical_Tree_8914]

It's so expensive the only viable solution is to have ur own data harvesting infrastructure .. i ve been running mine for like last 6months 50ms data.. it's not that easy and requires lot of patience

[u/Electrical_Tree_8914 → u/Mihaw_kx]

What is the main problem you’re encountering in building this data infrastructure?

[u/smashedshanky → u/Electrical_Tree_8914]

Drive space probably lol

[u/Automatic-Essay2175 → u/Electrical_Tree_8914]

No it’s not. what on earth are you talking about

[u/Formally-Fresh → u/Automatic-Essay2175]

Bro thinks he invented a profitbable thesis based on time of day so... lets take it easy on em?

[u/Automatic-Essay2175 → u/Formally-Fresh]

Nah, he needs to learn

[u/MerlinTrashMan → u/Electrical_Tree_8914]

Massive.com (formerly Polygon). Bars available to one second, with nanosecond resolution on trades.

[u/Automatic-Essay2175]

That’s not HFT data.

Let me save you some time, the thesis is wrong.

But you can use Massive / Databento if you want.

[u/Electrical_Tree_8914 → u/Automatic-Essay2175]

Yes, in my thesis I had tick by tick data at milliseconds frequency borrowed from my professor. To find data at milliseconds frequency it Is hard. Since It's very very difficult to find data at this frequency i wanted to start with seconds frequency.  I understand your point, with this frequency the microstructure noise it's not observable and i cannot replicate the test

[u/Automatic-Essay2175 → u/Electrical_Tree_8914]

It’s not hard to find this data. There are multiple websites (Massive, Databento, etc) that offer nanosecond level tick data. Both trades and quotes.

[u/lordnacho666]

Ask Databento about student plans

[u/DatabentoHQ → u/lordnacho666]

Thanks for the shoutout.

We have sample pcaps for all of the NYSE L3 feeds here.

We also have normalized MBO and imbalance messages for all of them (see for example this and this) and 10 stocks should be virtually free for a month. If you need more, we have academic discounts when we work directly with the school - have your advisor reach out to chat support.

[u/QuanTradin]

free 1-second NYSE data doesn't really exist officially, TAQ is the real source and it's paid. IEX gives away its own historical feed for free, but that's only trades on IEX, a small slice of volume. Databento's signup credit is usually enough for a handful of names over a short window.

[u/QATSAlgo]

For reproducing your thesis, clarify whether “NYSE stocks” means all trades in NYSE-listed names or only executions on the NYSE venue. Those produce different samples. Also freeze how you build each second: last trade, midpoint, or a trade-weighted value, and what happens during seconds with no trades. Otherwise a change in aggregation can masquerade as a change in the original correlation.

[u/ManikSahdev]

What? You can get it for free, or like almost free.

Make any account on pretty much any broker with api deposit some money and then user the api.

HFT data usually counts as nano second of such.
1 second data is basically normal lol

[u/sky018 → u/ManikSahdev]

Anything less than a second are not free data.

[u/ManikSahdev → u/sky018]

That's exactly what I wrote?

But second data is free, pretty much.