Probably start with some api. Check out Quantopian <a href="https://www.quantopian.com/help" rel="nofollow">https://www.quantopian.com/help</a> or IEX <a href="https://iextrading.com/trading/market-data/" rel="nofollow">https://iextrading.com/trading/market-data/</a>.<p>This subreddit has a lot of information <a href="https://www.reddit.com/r/algotrading" rel="nofollow">https://www.reddit.com/r/algotrading</a>
Type: Prices/Volume, Company Fundamental Data (EPS Growth, P/E Ratio, ROI), News (Earnings, New CEO, Divestiture, Weather), "Alternative Data" (Satellite Images, Transactions)<p>Vendors: Bloomberg, Thomson (Refinitiv), Factset, Compustat, CapitalIQ, Quandl<p>Quality: varies, you get what you pay for, cost anywhere from $100's to $100,000's/yr<p><a href="https://www.quantopian.com/" rel="nofollow">https://www.quantopian.com/</a><p>^ probably good place to start