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Historical Tick Data
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Created: by Ausy Mick Attachments:0

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Historical Tick Data

  #1 (permalink)
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Ausy Mick's Avatar
 
Posts: 69 since Jun 2009
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Historical Tick Data

Gday mates.

I came across this site that has historical tick data for the ES, ER (TF) and many others. Their link is ANFutures - Historical Intraday Futures Tick-by-Tick Data online.

Their prices seem reasonable - $74 for the S&P 500 data from 2003 - 2009 and they have converters which converts the data for NT.

Has anyone used them? and would I be able to create market replays from this data?

Let me know what you think.

Ausy Mick

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  #2 (permalink)
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heres tick for FX GAIN Capital Rate Data Archive its free

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  #3 (permalink)
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tortexal View Post
heres tick for FX GAIN Capital Rate Data Archive its free

Thanx Tortexal

Lots of goodies there.

Mick

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  #4 (permalink)
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What about ticks for CME E-Minis?

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  #5 (permalink)
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Ausy Mick View Post
Gday mates.

I came across this site that has historical tick data for the ES, ER (TF) and many others. Their link is ANFutures - Historical Intraday Futures Tick-by-Tick Data online.

Their prices seem reasonable - $74 for the S&P 500 data from 2003 - 2009 and they have converters which converts the data for NT.

Has anyone used them? and would I be able to create market replays from this data?

Let me know what you think.

Ausy Mick


Mick,

Did you end up trying the service from anfutures? I attempted to test their sample data, converting it with the software they include. I was not able to get Ninja to import the data.

I have scoured search engines and the Ninja site looking for a place to obtain tick data for ES, NZ, etc. I have not had much luck. Mostly I find vague references saying it should work, etc. I also found software from Tradeworks that claim they will download data from a provider such as esignal and then convert it to Ninja. Not sure if anyone has had better luck with that.

I did download all the replay data Mike has graciously provided on this site, however there are several gaps and missing information in those files (especially going back to feb/march.)

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  #6 (permalink)
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The sample data (http://www.anfutures.com/ES0206MG_SAMPLE.ZIP) are minutes data, not tick/tick.
The destination file should have a format like this:

Quoting 
20090807 101732;3441;1
20090807 101735;3441.5;11
20090807 101738;3440.5;8
20090807 101738;3440.5;1
20090807 101739;3440.5;2
20090807 101740;3440.5;32
20090807 101740;3440.5;1

The ANFutures tick file should have a format like:

Quoting 
ticker date time Price Volume

So it won't be very hard to write a small program able to convert it.

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  #7 (permalink)
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Tick Data

Hi guys.

So far I have not used the data from AN futures. I have been caught up in running market replay data which was generously posted here on the forum.

Sam it is always good to know there are ways around these issues. Good job man.

Take care - Mick

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