Where can I find high resolution financial data

Question

I'm writing some Machine Learning software for equity and would like to find some tick data or at least 3 or 5 minute data.

I would like to have a year or two for testing.

I don't really care about what exchange the data is from, as long as its from a major exchange somewhere.

Also is there anywhere where one can get connect to a data stream of delayed 'live' data?

The data does not have to be free, but free is better :-)

Answer 1

http://finance.yahoo.com

you can download the stock market data for any company in csv format. for example, if you want to download the data for microsoft, the csv is located at - http://download.finance.yahoo.com/d/quotes.csv?s=MSFT&f=sl1d1t1c1ohgv&e=.csv

Similarly, you can download the data for any company, just replace MSFT in the above URL with the stock quote you need.

I don't know any place you can get a stream of live data for FREE ;)

Answer 2

A good source is AutomatedTrader. The provide Level1 (trade and top of book) and also have histories for NASDAQ ITCH, NYSE OpenBook, ArcaBook, BATS, and DirectEdge.

For live data try IQFeed. IQFeed also has years of 1 minute bars available. It is also very inexpensive.