S&P 500 Intraday Data
S&P 500 Index Intraday Data with 1min Interval
홈페이지 · 논문 2편
##### Technical Information
Dates range from 2017-09-11 to 2018-02-16 and the time interval is 1 minute.
This is a MultiIndex CSV file, to load in pandas use:
dataset = pd.read_csv('dataset.csv', index_col=0, header=[0, 1]).sort_index(axis=1)
Stocks that entered or exited the Index during the dataset time range are omitted.
##### Collection & Processing
These are the scripts used for collecting the data, and also utilities to clean & scale the dataset & convert it to a numpy array:
https://github.com/nickdl/alpha