+5  A: 

"the data is too valuable and that it's not available at my price?"

Correct.

Think about it. Fortunes are made (and lost) with this information. You're competing against giant banks and stock broker services. These are companies with (a) deep pockets to buy, sell and protect this kind of information and (b) incentive to keep this information as private as possible to reinforce their tight control over stock trading.

S.Lott
+2  A: 

You need to be careful. Besides the normal dependencies on the websites ui, I got a warning from a website for doing this. They had a web site policy against screen scraping that I suddenly agreed to by using the site and they saw my regular hits to the site.

Joshua Belden
+8  A: 

Did you look at Google's Market Data API?

Ed Guiness
+1  A: 

I'd recommend IQFeed(pay), esignal(pay) or eoddate.com(free options). My company uses IDC, but I can't seem to find any information on the sub services they offer.

Though I get the impression you are trying to avoid paying for a commercial feed, you need to be careful, you get what you pay for.

Dan.StackOverflow
+3  A: 

There are plenty of low-cost services for this. I like csidata.com.

BUT (and this is a big but)..... if you plan on redistributing the data (posting it on a website, accessing it from an iPhone app, pretty much anything except using it on that one machine), you are going to pay big (as in, bigger than you can imagine) bucks.

The exchanges make their money by selling this data.

If you plan on running a business, do not plan on being able to scrape yahoo or somewhere else and redistributing that. Once they discover you, you will be shut down.

Eric H.