Couple of thoughts about the value of private data in trading. A general rule is that free, publicly available data < data you (and everyone else) pay for < data you pay for but not many know about < private data.
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4. If you short stocks, how often were your borrow requests fully filled and at what rates?
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5. Are there websites that update in real time but don’t make history available? Scraping and storing it can build up a private dataset that few have access to.
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6. Even for publicly available data, storing the data yourself as it arrives gives you a point-in-time dataset that you can use to test for look-ahead in the histories that vendors provide.
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Not every private dataset is useful, but when it is useful it can be some of the most powerful and predictive data that you have. Try to get more of it!
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