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Is sub-second tick data available anywhere?
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Is sub-second tick data available anywhere?

  #1 (permalink)
Trading for Fun
Canada
 
Futures Experience: Advanced
Platform: Ninjatrader Metatrader
Favorite Futures: Forex futures
 
Posts: 58 since Aug 2010
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Is sub-second tick data available anywhere?

With Ninjatrader you can download from most feeds tick data and bid/ask data however they are all compressed down to the second such as.
06:05:00 AM

CME tracks data to the 1/100 second if I recall.

Is it possible to get data to show the sub second?

Such as

06:05:00:125 AM ?

etc, etc.

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  #2 (permalink)
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  #3 (permalink)
Elite Member
New York, NY
 
Futures Experience: None
Platform: Java/C/C# + Sierra
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IQFeed ms resolution


DTN IQFeed v.5.0 has ms resolution available now in beta. Level 1 and 2 messages are in the format HH:MM:SS.fff

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  #4 (permalink)
Site Administrator
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adaseb View Post
With Ninjatrader you can download from most feeds tick data and bid/ask data however they are all compressed down to the second such as.
06:05:00 AM

CME tracks data to the 1/100 second if I recall.

Is it possible to get data to show the sub second?

Such as

06:05:00:125 AM ?

etc, etc.

As mention, IQFeed supports it. However, NinjaTrader 7 does not. You'll have to wait for NT8, Ray confirmed it will support 100 nanosecond resolution (DateTime.Ticks)

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  #5 (permalink)
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Millisecond history and feeds

Check out tradingphysics.com. This website is a little confusing to navigate but they do have millisecond historical data as well as feeds(expensive?)

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  #6 (permalink)
Trading for Fun
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Anyone know if the CQG feed supports milliseconds?

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  #7 (permalink)
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seoul, Korea
 
Futures Experience: Intermediate
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adaseb View Post
Anyone know if the CQG feed supports milliseconds?

I don't believe so.

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