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I have started to learn about trading and would like to play around with historical data. I therefor need a dataset, that provides intraday values, not only opening, high and low prices for a specific day and time. I would like to query a web service, db, whatever like this:

getPrice($isin, $date, $time)

Unfortunately I can't find anything or maybe I am just using the wrong search words on google. Yahoo Finance, etc. only provides opening, high and low data which is not sufficient for my need. Specifically I am looking for historical SMI futures data:

http://www.eurexchange.com/exchange-en/products/idx/smi/SMI--Futures/19444

Product ISIN CH0008616432

Underlying ISIN CH0009980894

I already had a look at:

  • www.xignite.com
  • www.quandl.com

which looked promising, but again they do not provide intraday values.

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    $\begingroup$ It's possible to create an intraday dataset by collecting the data yourself. For example, if you go to Yahoo Finance, you can scrape the relevant data out of the webpage. To do this, you need to parse the webpage every so often; say, 1 second (probably too often!), or 1 minute, or however often that allows you do to it stealthily. The piece of code you'll need to look for will look something like this: <span class="time_rtq_ticker"><span id="yfs_l10_esm16.cme">2,099.75</span>. Technology may exist for this purpose in the form of an official API or someone may have created it. Have a search. $\endgroup$
    – Graeme Walsh
    Commented May 31, 2016 at 13:08

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I work at Quandl and we have intraday data here: https://www.quandl.com/vendors/as

The databases include S&P 500 One Minute Bars, NASDAQ 100 One Minute Bars, Dow Jones Transportation Average One Minute Bars, Dow Jones Industrial Average One Minute Bars and Dow Jones Utilities Average One Minute Bars.

The databases cover five years of history and include OHLCV data and all additions, removals and changes to the index.

You can use our API with every dataset. Each database has a section explaining API usage and bulk download. You can also check out our detailed API documentation here: https://www.quandl.com/docs/api

Hope this helps!

Also, we apologize for the shortcomings of our site's search features - we are working very hard to improve this to better help users find the data they need.

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