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Hi Folks,
I've been doing some backtests that require historic daily price bars, historic S&P constituents, and historic fundamentals. I went through a bunch of data providers, before I finally found one that meets my needs. I thought I'd share my path with the hoping of saving the next trader the time and money I spent going down the wrong bath:
* I started with yfinance (Python wrapper to Yahoo! Fianance), but quickly pivoted off this, because they have limited financial data (only 4 years back if I remember correctly), and also yfinance itself is flakey, since it's just a web scraper, and Yahoo! updates often trigger failures, and then you have to wait for the nice folks at yfinance to make a fix.
* I tried Financial Modeling Prep (FMP), but they had major data gaps. This was an expensive experiment, because I paid for the premium subscription (due to wanting to download a bunch of data about the whole market)
* I tried EODHD next, and had the same basic problem, but it was much more pernicious, than the FMP, because they had much better data coverage over the past few years, than FMP, and I convinced myself that they were high quality. When I extended my backtest further back in time (which I needed to do for some tests around lookback length), the data turned out to have major missing gaps. I reported a couple of the gaps to customer service but got responses like "Sorry; you're out of luck", or "We'll get back to you." I ended up writing some code to spot coverage gaps, and the coverage degrades slowly as you go back in time with EODHD. Like, they have some delisted stocks, but not all...not even all the stocks that were at some point in the S&P 500. (For a company called end-of-day historical data, it's a bit crazy they don't have all the historical data!)
* I then switched to Nasdaq Direct Link Sharadar. Using the same tests, they have fairly complete coverage. My understanding is their coverage is fairly complete back to 1998, which is fine for my needs. I read that CRSP has even better coverage, going all the way back to 1957, but they are quite expensive, mostly targeting institutions as customers. As a bonus, Sharadar was a little bit cheaper than EODHD.
My summary: If you need historical data, and are okay with nothing before 1998, just use Nasdaq Direct Link Sharadar. If you need more data, go with CRSP, and be ready to pony up some cash.