Availability of data over the long-run is crucial to understand capital markets. Political economy and competitive dynamics among stakeholders within economic and financial institutions shape stock market microstructures and then the actual working of stock exchanges. Microstructures are the first determinant of the quantity and quality of stock markets historical sources, even if historical events - like wars and riots - and archival preservation policies contribute to explain the nowadays state of these sources. Developing digital techniques of data collection from historical sources increases quantity of available data but raises peculiar questions on data verification and quality.