Historical Equity Indexes

AlgoSeek has historical stock index component history from January 2007 to present for

  • S&P 500 Index
  • Russell 1000 Index
  • Russell 2000 Index
  • Nasdaq 100 Index
  • Dow Jones Industrial Average
  • Dow Jones Transportation Average

AlgoSeek's team tracks every Index to ensure the historical Index component changes with all additions, deletions and modifcations are accurate and the index is updated at the correct time, for example before or after the market opens.

AlgoSeek does not sell the historical Index component changes list but will provide a portfolio that matches the index in a data type of your choice, for example S&P 500 Index components for one year in minute bar format or Rusell 1000 Index for three years in Trade+Quotes format.

Index Data Formats

Trades and Quotes/Tick

Consolidated/SIP feed with NBBO, Trades and top-of-book Bid/Ask from each Exchange.

Trades Only

All historical trades from every exchange and FINRA.

Minute Bars

Trades Only or Trades+Quotes minute bars with 50+ fieldss including millisecond Bid/Quote OHLC, trade at Bid/Ask, trade direction, VWAP, etc.

Custom Bars

AlgoSeek parallel cloud framework can quickly build custom bars for any intraday timeframe with custom field calculations.

Full Depth/Tick Data

Full depth direct feeds for ARCA, Nasdaq, BATS and EDGX/Y.

Documentation

Trades + Quotes Trades Only Trade+Quotes
Minute Bars
Trade
Minute Bars
Full Depth
Guides Guide Guide Guide Guide Guide

Sample Data

Trades + Quotes Trades Only Trade+Quotes
Minute Bars
Trade
Minute Bars
Full Depth
Equity Indexes: DJ Transport Sample Sample Sample Sample Contact Us

Pricing

Stock Index Data from January 2007 to present

Index Time Period Trades +
Quotes +
NBBO
Trades Only Trade + Quotes
Minute Bars
Trade
Minute Bars
Full Depth
S&P 500 Index One Year
10 Years
$2,000
$8,000
$1,500
$6,000
$1,500
$6,000
$500
$2,000
Contact
Russell 1000 Index One Year
10 Years
$2,500
$10,000
$2,000
$8,000
$2,000
$8,,000
$750
$3,000
Contact
Russell 2000 Index One Year
10 Years
$3,000
$12,000
$2,500
$10,000
$2,500
$10,000
$1,000
$4,000
Contact
Nasdaq 100 Index One Year
10 Years
$750
$3,000
$500
$2,000
$500
$2,000
$300
$1,000
Contact
Dow Jones Industrial Average One Year
10 Years
$300
$1,200
$200
$900
$200
$900
$100
$400
Contact
Dow Jones Transportation Avearge One Year
10 Years
$300
$1,200
$200
$900
$200
$900
$100
$400
Contact

About The Data

Delisted Symbols

Includes symbols that have been delisted due to bankruptcy, M&A or any other reason.

Data Delivery

Delivery choices include Amazon AWS Cloud, AWS S3, FTP and disk.

As-Is And Adjusted

Stock raw data is provided “as-is” from the trading day to provide the most realistic backtesting and research. An adjustment factor file is available to compensate for corporate events like splits and dividends.

Data Collection

The data is raw without any filtering to provide the most realistic dataset for research and backtesting.

Research

AlgoSeek data is perfect for your institution’s historical research and backtesting.

Clients

Data is used by professional traders, hedge funds, banks and universities.

Pre and Post Market

Data includes all pre and post market trading sessions.

Timestamps

Each event is timestamped to the millisecond.

Updates

Daily and weekly update subscriptions are available.

Data Format

Data is provided in CSV format for easy manipulation.

Updates and Pricing Information

Pricing One-Time Monthly or Quarterly Lease Full Depth
One time payment to buy the historical data. For firms (meeting requirements) to purchase data and pay over time. For firms (meeting requirements) requiring on premise data. Only available for NYSE Arca, Nasdaq, BATS and EDGX/Y
Discounts Education Discount Startup Discount
Discount available for Educational Institutions. Discount available for startups.
Minimum Order Size $500 minimum order size.

Order

Historical Data

Contact Information