The following data set contains intraday price information for OTC-BB and PinkSheet stocks from Yahoo's market feed. The data for each stock is broken up by year in CSV file format and split in separate chunks based on symbols. It is not trivial to find all of this information for free, so I am listing them here in case somebody else finds them useful.
Update 2017-01-23: The source code for the scripts that I used to collect this data is available here. Be aware that they are old and may not work anymore.
Caveats:
- There are some gaps in the data set for a couple of days in the data from when the CS department's machines went down and I was not able to collect data.
- Some of the stock symbol switching data is incomplete or the dates of the switch are inaccurate.
- I do not have newer PinkSheet stock symbols, nor do we differeniate between OTC-QX, OTC-QB, and OTC-BB stocks (they are included as OTC-BB).
- All price quotes that are zero are filtered out from the results. Please contact me if you think this information is relevant and should be added back in.
File Format
- List of Companies File: <SYMBOL, NAME, # OF QUOTES, FIRST DATE, LAST DATE>
- Quotes File: <QUOTE DATE, PRICE, VOLUME, ASK, ASK SIZE, BID, BID SIZE>
2011
Total Number of Unique Price Quotes: 8,008,406
2010
Total Number of Unique Price Quotes: 8,611,208
2009
Total Number of Unique Price Quotes: 8,435,379
2008
Total Number of Unique Price Quotes: 4,996,773
