This article elaborates on our experience of teaching quantitative methods to historians and writing an introductory book on this topic. We promote respect for principles of source criticism as the cornerstone of the constitution of data from historical sources, and argue that a conversation on this constitution is as important for new historians of capitalism as it is for economic historians and business historians, among others. The first part of the article explains what led us to promote constructivist, small-scale, experimental quantitative history. In terms of teaching, this choice translates into a learning-by-doing approach focused on the construction and categorization of data from sources. The article then presents practical methods of teaching and research, borrowing examples from economic history and beyond, as well as from the history of capitalism. The second part also addresses the transformation of sources into quantifiable data, while the third part discusses data categorization and analysis.