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historical tick data with bid size and ask size
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historical tick data with bid size and ask size

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historical tick data with bid size and ask size

Where can i get historical tick data for CME/GLOBEX futures which would include BBO updates on bid/ask. The datacollector thread gathers only trade information (there is no data on changes of volume on best ask). Please advice on where to get such data?

Thank you.

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snusnufreak View Post
Where can i get historical tick data for CME/GLOBEX futures which would include BBO updates on bid/ask. The datacollector thread gathers only trade information (there is no data on changes of volume on best ask). Please advice on where to get such data?

Thank you.

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

If you are referring to level 2 depth history, that isn't tick data and I don't know of anyone that sells the data or gives it away. I store it for personal use in my database, but it's incredibly large dataset. You can download some of it from NT Market Replay, and there are years of Market Replay data posted on futures.io (formerly BMT) as well.

Mike

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Big Mike View Post
Historical tick data including BBO:
https://futures.io/elite-circle/7279-official-gomrecorder-qcollector-tick-data-sharing-thread.html

If you are referring to level 2 depth history, that isn't tick data and I don't know of anyone that sells the data or gives it away. I store it for personal use in my database, but it's incredibly large dataset. You can download some of it from NT Market Replay, and there are years of Market Replay data posted on futures.io (formerly BMT) as well.

Mike

Dear @Big Mike, I do reffer to LVL2 data.

I would appreciate if you could share half a year of LVL2 data for ES, YM, ZN, CL for past half year? (I'm only looking for BBO updates, no need for whole depth)

Also, what DB do you use for these purposes? Have you considered using shared memory for optimizing the speed when dealing with huge amounts of data? What are your thoughts on this? Could you suggest how to design an optimal DB for purposes of collecting and then quickly accessing/backtesting LVL2 data?

Thank You!


Last edited by snusnufreak; May 21st, 2015 at 04:19 AM.
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  #5 (permalink)
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Hello @Big Mike. Do you have full depth L2 data?

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  #6 (permalink)
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snusnufreak View Post
Dear @Big Mike, I do reffer to LVL2 data.

I would appreciate if you could share half a year of LVL2 data for ES, YM, ZN, CL for past half year? (I'm only looking for BBO updates, no need for whole depth)

Also, what DB do you use for these purposes? Have you considered using shared memory for optimizing the speed when dealing with huge amounts of data? What are your thoughts on this? Could you suggest how to design an optimal DB for purposes of collecting and then quickly accessing/backtesting LVL2 data?

Thank You!

See my thread:

https://futures.io/elite-automated-trading/29764-big-mike-s-custom-trading-platform.html

As for sharing my L2 data, I'd rather not. It is a massive data set, plus you have no way to import it into NT from me. You can get it from the other methods I suggested.

Mike

Due to time constraints, please do not PM me if your question can be resolved or answered on the forum.

Need help?
1) Stop changing things. No new indicators, charts, or methods. Be consistent with what is in front of you first.
2) Start a journal and post to it daily with the trades you made to show your strengths and weaknesses.
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4) Accept responsibility for your actions. Stop looking elsewhere to explain away poor performance.
5) Where to start as a trader? Watch this webinar and read this thread for hundreds of questions and answers.
6)
Help using the forum? Watch this video to learn general tips on using the site.

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