Something that I need to sort out in the near future is a good source for intraday history. On another forum I read that some people go direct to the exchanges for intraday order book data and pay quite alot for it. That's an option but I'm not sure how useful that kind of order book data would be during testing other than being very accurate.
Another correspondant directed me to data.inetats.com. They seem to have proprietary feeds and file formats. Would this cause a problem with multicharts? I'm not thinking of taking the feed right now, but the backdata does interest me.
Also, is order book data worth going after as opposed to simple intraday OHLC with volume? I suspect it is but having never undertaken a system testing/development project before I'm not sure.
Finally, there seem to be alot of data vendors out there offering intraday history. Are there providers of data out there recognized as being good for testing against?
historical intraday data sources
Questions about MultiCharts and user contributed studies.
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