Where to get long time historical intraday data?
You are not clear if you want the S&P500 index (SPY), OPRA Options or the Futures. Having spent a lot of time exploring vendors, here is a summary to help you (in alphabetical order):
AlgoSeek.com : Intraday data back to 2007 for US Equities, Futures and Options. So you can get S&P 500 data. Intraday they have tick, 1 sec, 1 min and 5 min OHLC bars. Institutional data and well priced.
BarChartMarketData.com : Been collecting Futures data for 50+ years. Also have Options and some Equity. For Futures data they have a great reputation.
Bloomberg : All the data you ever need BUT you are limited in the amount of intraday data you can export from your Bloomberg and upto about 250 days historically.
Reuters: Great historical dataset but difficult to work with for an individual.
QuantGo.com : New firm where clients rent access to data by the month from multiple data vendors but have to use Amazon AWS cloud computers on QuantGo's platform. Very affordable if you are can/willing to work with virtual cloud computers.
Tickdata.com : Global Equities, Futures and Options. Intraday bar data from 2004. Consolidated tape since 1993. Have tick and bar data with 1 sec/1 min/5 min OHLC. Institutional quality data but very expensive.
CBOE Datashop: Somewhat pricey, but you can get 1 minute data for every strike and every expiration.
Probably more than you need.
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