FirstRate Data
FirstRate Data LLC · Market & fundamentals data
Bulk intraday bars and fundamentals for US equities, ETFs, futures and FX; the primary raw input.
ProprietaryPaidAcademicNov 2, 2026
High-Frequency Finance Research
A working stack for intraday market-microstructure and asset-pricing research: where the minute bars and fundamentals come from, how to store tens of billions of rows on one machine, and which libraries carry the econometrics. Assembled from tools used in academic finance work rather than trading.
13 tools · updated Nov 2, 2026 · compare the first four
Tools in this collection
- In-depth entry
- In-depth entry
Databento
Databento, Inc. · Market & fundamentals data
Normalized tick and order-book data with point-in-time symbology for exchange-level research.
MixedUsage-basedPaidNov 2, 2026 Massive (formerly Polygon.io)
Massive (Polygon.io, Inc.) · Market & fundamentals data
REST and streaming market data with a developer-friendly API.
ProprietaryPaidEnterpriseNov 2, 2026- In-depth entry
SEC EDGAR
U.S. Securities and Exchange Commission · SEC/EDGAR & corporate filings
Filings, XBRL facts and full-text search from the SEC's own public APIs.
ProprietaryFreeNov 2, 2026 - In-depth entry
FRED (Federal Reserve Economic Data)
Federal Reserve Bank of St. Louis · Market & fundamentals data
Macro series from the St. Louis Fed for event studies and controls.
ProprietaryFreeNov 2, 2026 - In-depth entry
Apache Parquet
Apache Software Foundation · Data catalogs & formats
The columnar on-disk format for a multi-terabyte bar archive.
Apache-2.0Open sourceFreeLocalNov 2, 2026 - In-depth entry
DuckDB
DuckDB Foundation / DuckDB Labs · Analytical engines & OLAP
Query a Parquet lake with SQL from a notebook without a database server.
MITOpen sourceFreeLocalSelf-hostedNov 2, 2026 - In-depth entry
Polars
Polars (Ritchie Vink and contributors) · DataFrames & array computing
Fast DataFrame transformations over Arrow memory for resampling and feature construction.
MITOpen sourceFreeLocalNov 2, 2026 - In-depth entry
ClickHouse
ClickHouse, Inc. · Analytical engines & OLAP
When a single node is not enough: a columnar server for tick-level aggregations.
Apache-2.0Open sourceFreeLocalSelf-hostedNov 2, 2026 arch (Python package)
Kevin Sheppard · High-frequency financial analysis
Volatility models and bootstrap methods for realized-variance work.
NCSAFreeOpen sourceLocalNov 2, 2026- In-depth entry
statsmodels
statsmodels developers (NumFOCUS) · Econometrics & causal inference
Regression, time-series and robust inference in Python.
BSD-3-ClauseFreeOpen sourceLocalNov 2, 2026 linearmodels
Kevin Sheppard · Econometrics & causal inference
Panel, IV and asset-pricing (Fama–MacBeth) estimators missing from statsmodels.
NCSAFreeOpen sourceLocalNov 2, 2026- In-depth entry
Project Jupyter
Project Jupyter (NumFOCUS) · Notebooks & interactive computing
The notebook environment that ties the exploration together.
BSD-3-ClauseOpen sourceFreeLocalSelf-hostedNov 2, 2026