Is it possible to get "historical" Time and Sales data? - futures io
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Is it possible to get "historical" Time and Sales data?

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Is it possible to get "historical" Time and Sales data?

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  #1 (permalink)
Posts: 58 since Aug 2010
Thanks: 2 given, 32 received


Basically I would like to backtest a system that I have been trading live where I look at block trades of the Time and Sales data.

In the last few months I have been using a live feed of Zenfire and recording this data with Market Replay.

I tried to download this data using the "Download Replay Data..." in NT7 however comparing the live data and recorded data there are massive errors (sells appear as buys, etc)

So I was wondering if I join eSignal do they provide historic Time and Sales data for the last 6 months or so.

I have went on the live chat but they don't know what I am talking about. They assume I am just looking for the tick bid/ask data when infact I need the Time and Sales data.

So does eSignal provide this or is there some other service that provides this data?


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  #3 (permalink)
Italy (IT)
Experience: Advanced
Platform: ATAS, R|Trader, NT8
Broker: Rithmic
Trading: CL, Brent, GC, TF
LukeGeniol's Avatar
Posts: 1,501 since Apr 2010
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Do not think eSignal porvides so long Time and Sales data as they only provides only 10 days of bid/ask data.
DTN IQfeed maybe provides more Time and Sales data.
Anyway I think there's no service that provides so long T&S data like u want.

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Last Updated on September 8, 2010

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