Tickdata.com is an excellent source for high-res tick data, but as they charge per ticker per year it can get expensive. Quandl.com has a very easy-to-use API (but only for 1-minute bars) however it can get cumbersome to download multiple datasets (such as all SP500 stocks).
Firstratedata.com has 1-minute and tick datasets for stocks, fx and indices going back 20 years (but no API)
Comment