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Is it possible to download historical intraday bar data which is filtered by exchange? I want to download intraday data each day after the market closes, 1 minute bars, BUT I want the bars to represent only the NYSE trades - particularly at the opening and closing - not including any ECN or NASDAQ trades of these listed stocks.
It looks like it's possible to filter TIME AND SALES data by exchange, and to display bar CHARTS limited by exchange (using the symbol structure IBM=N, for example), but what about downloading intraday NYSE-only bar data for the whole day, saving it in a historical data file.
I'm thinking of the Active X desktop API, but I don't see exchange as part of the BarData data structure. Unless, the symbol for BarData can be structured the same way as mentioned above for chart data - can the symbol IBM=N be used to limit the bar data returned by the API to NYSE data?
Thanks. Any suggestions on how to do this would be appreciated.
Gary
It looks like it's possible to filter TIME AND SALES data by exchange, and to display bar CHARTS limited by exchange (using the symbol structure IBM=N, for example), but what about downloading intraday NYSE-only bar data for the whole day, saving it in a historical data file.
I'm thinking of the Active X desktop API, but I don't see exchange as part of the BarData data structure. Unless, the symbol for BarData can be structured the same way as mentioned above for chart data - can the symbol IBM=N be used to limit the bar data returned by the API to NYSE data?
Thanks. Any suggestions on how to do this would be appreciated.
Gary
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