Daily stock data is everywhere for free. Yahoo, Google, and Quandl all provide useful daily stock prices for basic number crunching. However computational analysis for intraday stock data is much harder to find. In fact, Intraday stock data can be very expensive. So what is a cost conscious quant supposed to do?
The Norwegian website Netfonds.no provides free intraday data on stocks and ETF's on the NYSE, Nasdaq, and Amex exchanges. They provide up to 5 days of trade/bid/offer data. I wrote some code to grab that data easily and quickly that I will share with the Python community.
Before I paste the code below let me give a h/t to Yves Hilpisch who wrote the excellent 'Python for Finance' book where I borrowed some of the following code.
I've embedded the entire script using Nike ( NKE ). Feel free to ask questions and/or add your own touches.
Here are the resulting sample plots.