S&P 500 Index Intraday Data with 1min Interval
Introduced in Taking Over the Stock Market: Adversarial Perturbations Against Algorithmic Traders2020
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.
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
