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historical tick data with bid size and ask size

  #4 (permalink)

Moscow Russia
 
Trading Experience: Intermediate
Platform: NinjaTrader
Favorite Futures: futures
 
Posts: 127 since Apr 2012
Thanks: 44 given, 53 received


Big Mike View Post
Historical tick data including BBO:
https://futures.io/elite-circle/7279-official-gomrecorder-qcollector-tick-data-sharing-thread.html

If you are referring to level 2 depth history, that isn't tick data and I don't know of anyone that sells the data or gives it away. I store it for personal use in my database, but it's incredibly large dataset. You can download some of it from NT Market Replay, and there are years of Market Replay data posted on futures.io (formerly BMT) as well.

Mike

Dear @Big Mike, I do reffer to LVL2 data.

I would appreciate if you could share half a year of LVL2 data for ES, YM, ZN, CL for past half year? (I'm only looking for BBO updates, no need for whole depth)

Also, what DB do you use for these purposes? Have you considered using shared memory for optimizing the speed when dealing with huge amounts of data? What are your thoughts on this? Could you suggest how to design an optimal DB for purposes of collecting and then quickly accessing/backtesting LVL2 data?

Thank You!


Last edited by snusnufreak; May 21st, 2015 at 04:19 AM.
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