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I want tick data for the last 10 years. What data provider should I use?
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I want tick data for the last 10 years. What data provider should I use?

  #1 (permalink)
Elite Member
San Diego, California
 
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Platform: NinjaTrader 8
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I want tick data for the last 10 years. What data provider should I use?

For the ES. I decided the best way to be sure my strategy works is to backtest it over 10 years. Which data provider should I use? I took a look online and found out that prices vary A LOT, so I was hoping you guys could point me toward a provider that can give me the most years of ES tick data for the lowest price. Thanks so much in advance! (:

Edit: Okay, so I was unaware of this.. NinjaTrader only accepts data with this formatting:

yyyyMMdd HHmmss;price;volume

Sample data:
20061107 000431;1383.00;1
20061107 000456;1383.25;25
20061107 000456;1383.25;36
20061107 000537;1383.25;14

Maybe I should repost this, but my question has changed:

Is there a way to convert historical data to this format?

or are there any data providers who can give me more than 2 years of tick data in this format? Or any data providers at all other than Kinetick, eSignal, Barchart, and IQFeed?

Is there any way at all to get tick data for more than 2 years?


Last edited by alecsaccount; March 16th, 2017 at 01:06 PM.
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  #2 (permalink)
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  #3 (permalink)
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There is a thread for that, where all data is shared, but you need to be an elite member to have access

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

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  #4 (permalink)
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rleplae View Post
There is a thread for that, where all data is shared, but you need to be an elite member to have access

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

Just had a look at that thread - so the data is under the Gomi umbrella and it's via IQfeed.

What is the difference between that and - say - the tick data I download from NT servers using Continuum, do you know?

(alecsaccount sorry to hijack your thread, I thought it may be relevant to your question)

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  #5 (permalink)
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rleplae View Post
There is a thread for that, where all data is shared, but you need to be an elite member to have access

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

Before I pay to become an elite member, does it have what I'm looking for..? 10 years of ES tick data in NT format? If so, I'll upgrade to elite right now.. But I don't want to waste the money otherwise. So sorry for the imposition, but could you possibly take a peek for me, and let me know? I would love to know.

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Just had a look at that thread - so the data is under the Gomi umbrella and it's via IQfeed.

What is the difference between that and - say - the tick data I download from NT servers using Continuum, do you know?

(alecsaccount sorry to hijack your thread, I thought it may be relevant to your question)

Not at all, it absolutely is. If it's in a different format, that's very relevant. And it means that I have to keep searching for a way to convert millions of lines of data to NT format. I've been trying to figure it out for a few hours, and I have come up with nothing.

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alecsaccount View Post
Not at all, it absolutely is. If it's in a different format, that's very relevant. And it means that I have to keep searching for a way to convert millions of lines of data to NT format. I've been trying to figure it out for a few hours, and I have come up with nothing.

@rleplae is way more clued up than me on this but I'll share what I know: the data in there is for NinjaTrader. It's probably just in a format I am not familiar with (This Gomi I talked about is actually a user. He created an array of tools for NinjaTrader including the above. I have not used it yet so I'm not the best person to advise on how it works.)

As far as I can see data does not go as far back as you want - data starts from 2011.

ES is definitely there given it's the most popular product, but there's several others.

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  #8 (permalink)
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xplorer View Post
@rleplae is way more clued up than me on this but I'll share what I know: the data in there is for NinjaTrader. It's probably just in a format I am not familiar with (This Gomi I talked about is actually a user. He created an array of tools for NinjaTrader including the above. I have not used it yet so I'm not the best person to advise on how it works.)

As far as I can see data does not go as far back as you want - data starts from 2011.

ES is definitely there given it's the most popular product, but there's several others.

There is ES tick data back to May 2003 (so 14 years), but I don't want anyone "buying" membership just to get the tick data -- especially not with an attitude of paying for it/expecting it -- that goes against what the community stands for.

So I recommend you do not become an Elite Member and go buy the data elsewhere. I only want you to become an Elite Member if you want to support the community and what it stands for.

Mike

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  #9 (permalink)
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Big Mike View Post
There is ES tick data back to May 2003 (so 14 years), but I don't want anyone "buying" membership just to get the tick data -- especially not with an attitude of paying for it/expecting it -- that goes against what the community stands for.

So I recommend you do not become an Elite Member and go buy the data elsewhere. I only want you to become an Elite Member if you want to support the community and what it stands for.

Mike

Thanks. I'll look around elsewhere for my data for now, but (and I think this may be a stupid question, please let me know) what do you mean by "support the community and what it stands for"? That sounds great, and I would love to do that, but I'm not exactly sure what it means.. Testing indicators and sharing them? Or helping other users solve their problems? Because I'm kind of new to this and I'm not sure who I could help, if anyone. So far I've been the one being helped. :\

Just for the record, I've gotten so much help from this forum, I feel like I owe it $100 anyway..

EDIT: Duh.. You were talking about supporting the community financially. I am very tired.


Last edited by alecsaccount; March 16th, 2017 at 06:09 PM.
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