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I am looking for a data service that supplies 5 minute stock historical
data, and who cleans and adjusts for splits and errors. Is anyone aware
of such a service? (Quote.com doesn't reliably clean and adjust their
data).
I have spent (with my programmer) oodles of time (many days), and have
multiple perl scripts and pages of processes in order to correctly clean
the 5 minute data I have downloaded from Quote.com. We check for and
adjust for splits, large overnight moves, large intra-day moves (5
minute bar to 5 minute bar), and compare the data against two other
databases. I cleaned the data last year (for the period 1997-2002), and
now I'm in the process of updating and cleaning the most recent year
(now 1997-2003), plus adding new stocks. Egad, if possible I do not
want to repeat this process. It seems a full-time job to do it correctly.
Tick Data Inc. want 35K for their full database and they have 1900
stocks...seems expensive (and I am guessing there is an emphasis on NYSE
stocks at TICK DATA, whereas I am cleaning a lot of NASDAQ stocks).
Suggestions? thoughts?
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