I am looking for a free source of detailed stock data (bid and ask prices) with an interval of <1m. This is for testing out trading theories - therefore does not have to be live nor up to date. I would ideally like a source that could supply this data over a period of a day.
I know of and have used the Yahoo .csv 'API' for getting quotes; this offers a minimum interval of 1 day (as far as I can see) but I would like a source with an interval of <1 minute. For example, the Yahoo chart http://uk.finance.yahoo.com/echarts?s=BP.L#symbol=BP.L;range=1d actually has a very small interval between plotted prices; is there a way of leveraging this for example?
There is no data source that will provide this. Exchanges increasingly make money by selling this data to clients. The economics of the exchanges pricing structure make it impossible for sites to give you this kind of data for free.
There are low cost sources of information (iqfeed, trading physics). Since it seems like you are just playing around NASDAQ offers samples of its ITCH data which is the ultra low latency feed that HFT firms and many algo firms use.