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Historical SPX Intraday data with volume

Quantitative Finance Asked by Tim Kim on October 27, 2021

I am looking for historical SPX 1minute data containing volume.
Anyone knows where to get them from?

Thank you,

2 Answers

Last time I checked, algoseek has that kind of data. Their S&P 500 Trades and Quotes+minute bar data set contains OHLC, FINRA volume and etc. You can find a sample of their dataset here

Answered by Mike Williams on October 27, 2021

If you have an Interactive Brokers account, you can get historical intraday index data, including SPX, through their API.

Many developers find using the Interactive Brokers API to be a challenge, especially for collecting large amounts of data. If you want a more turnkey access, you can check out QuantRocket, which provides data collection tools on top of the Interactive Brokers API (among other data providers).

Disclaimer: I'm affiliated with QuantRocket.

Answered by Brian from QuantRocket on October 27, 2021

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