What's your mean exactly? Data collection is depend on your goal

Please specify what kind of data you want

All types of data.. my research topic is cloud monitoring. So i want to collect variety of data. load, resource information, statastics. etc

First collect your data set, second you have to understand what do u want to get exactly, after that you can think about algorithms

Data Mining is a process after data collection. If you do not know how to collect data for your research, you may use secondary data instead.

The followings are my favorite sources of secondary data.

http://archive.ics.uci.edu/ml/

https://www.data.gov/