IntraDay Data Project

The aim of the IntraDay Data Project is to collect and make available intraday bar data.

Current Status

5, 10, 15, 30 and 60 minute bars are now available for download.

Frequently Asked Questions

What is 15 minute snapshot intraday data?
Every 15 minutes we record the open, high, low, close, and volume for the previous 15 minute period.

Why deliver it at the end of day - why not provide it during the day?
Any company that provides intraday data before market close must pay license fees to the exchange that the data came from. For US Stocks and Futures we would need a lot more subscribers to pay for the additional license fees.

Why 15 minute snapshots?
Three reasons: Firstly, an end of day NASDAQ file is currently 137k. With 15 minute snapshots the size goes up to 4384k. We are keen to provide 10, 5 and 1 minute data but first we need to know whether our servers and our subscribers can handle 6576k, 13152k and 65760k files. Secondly, most leading charting packages use MetaStock/Computrac format for storing their data. This format has a limitation of 65000 rows of data per symbol. With 15 minute bars you can fit roughly 9 years of history, whereas 1 minute bars you can only have 6 months history. Thirdly, it takes considerable computing horsepower to create 15 minute bars for an entire exchange.