> Can you download a few years of data for all exchanges or is it 
> downloadable by day only? (or long history per symbol?)

Unfortunately only by day or by symbol (long history). However, because 
Stockwatch Canada has partnership agreement with QuoteTracker (see 
Companion Products here):

http://www.stockwatch.com/swnet/subscrip/subscrip_products.aspx

and AB has a QuoteTracker plugin, it should be possible to automate 
downloads and get long history for all symbols:

http://www.amibroker.com/guide/h_rtsource.html
http://www.amibroker.com/guide/h_qtracker.html
http://www.quotetracker.com/

I have never tried that. Just started from scratch, a few years ago. After 
three months you have charts that are usable. Then it's just a matter of 
updating splits, symbol changes and name changes from Stockwatch bulletins:

http://img117.imageshack.us/img117/3690/01032009085724xq9.png
http://img370.imageshack.us/img370/8025/01032009085747hp7.png
http://img370.imageshack.us/img370/6526/01032009085806ba2.png

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