CME Futures Historical DATA (FREE) | Reviews of Brokers and Data Feeds


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CME Futures Historical DATA (FREE)

  #4 (permalink)

Tula, Russia
 
Trading Experience: Master
Platform: Sierra Chart, Algovisor
Favorite Futures: 6E, CL, ES
 
Posts: 5 since Jan 2012
Thanks: 4 given, 4 received


Big Mike View Post
Isn't this just a duplicate, and a much smaller amount of data, than what is already here:

https://futures.io/elite-circle/7279-official-gomrecorder-qcollector-tick-data-sharing-thread.html

Mike

No it's not a duplicate. The data I collected much more detailed. They include fully all changes in the DOM (not only the best bid/ask, but full level 2) and all trades, in the order in which they occurred on the exchange. Additionally, my data includes microseconds and the number of orders on a limit level. For example:
"A;17:57:22;11280;10090;10;6;1;"
A changing the limit on the Ask side;
17:57:22 time of the event;
11280 microseconds;
10090 the price at which this event occurred;
10 current size of all limit orders at the current price level;
6 current number of limit orders at the currnt price level;
1 internal flag, which shows that it is a new limit order or old limit order that was moved from one price level to another

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