The databases include:
1. Short interest of all US equities.
This full-scope data goes back to 1995 for NASDAQ and AMEX listed
stocks,
and to 2000 for NYSE-listed stocks.
2. Data for all futures traded on US exchanges.
Data includes daily
open, high, low, settlement prices, volume, and open interest for
all contracts.
Full-scope data goes back to at least 1985, depending of specific
commodity.
The data includes commodities that have been delisted, such as potatos
futures.
3. Data for options on futures. Relatively
hard-to-get, expensive and interesting data.
The data goes back to 1985, for all options on all futures contracts
traded in US.
Daily open, high, low, settlement, volume of trading and open interest
for everything.
4. Tick data for all US equties traded in
2002.
About 1G of daily information...
5. 5-minutes data for all options on SP500,
DOW, etc indices and a number of stocks in 2002.
The data is very large in volume.
6. Time and sales data (tick data) for all
CME and CBOT traded futures and options on futures,
including indices, currencies, and interest-rate
futures.
This data goes back to July 6, 1999 for GLOBEX and pit-traded futures and options at CME,
and to April
20, 2004 for CBOT. Immense amount of data.
7. Tick data for energy futures. Data
goes back to 1995.
8. Some data for all US equties, including
P/E ratio, divident yield, market capitalization, etc.
9. Commodity Futures Trading Commission data
of commercials (hedgers) and
non-commercials (speculators). The
data is very clean and uses my own algorithm to
make the data independent on reporting levels (the levels change
with time).
10. Information on institutional holders of
US-traded equities (13F forms).
Very interesting and large set of data.
11. CUSIP numbers for US equities.
Relatively recently, I begun to collect data on bonds, including
convertibles.
Here, however, copyright issues are more complicated...