Historical futures quote (best bid/ask) data? - Reviews of Brokers and Data Feeds | futures io social day trading
futures io futures trading


Historical futures quote (best bid/ask) data?
Updated: Views / Replies:261 / 14
Created: by panz Attachments:0

Welcome to futures io.

(If you already have an account, login at the top of the page)

futures io is the largest futures trading community on the planet, with over 100,000 members. At futures io, our goal has always been and always will be to create a friendly, positive, forward-thinking community where members can openly share and discuss everything the world of trading has to offer. The community is one of the friendliest you will find on any subject, with members going out of their way to help others. Some of the primary differences between futures io and other trading sites revolve around the standards of our community. Those standards include a code of conduct for our members, as well as extremely high standards that govern which partners we do business with, and which products or services we recommend to our members.

At futures io, our focus is on quality education. No hype, gimmicks, or secret sauce. The truth is: trading is hard. To succeed, you need to surround yourself with the right support system, educational content, and trading mentors all of which you can find on futures io, utilizing our social trading environment.

With futures io, you can find honest trading reviews on brokers, trading rooms, indicator packages, trading strategies, and much more. Our trading review process is highly moderated to ensure that only genuine users are allowed, so you dont need to worry about fake reviews.

We are fundamentally different than most other trading sites:
  • We are here to help. Just let us know what you need.
  • We work extremely hard to keep things positive in our community.
  • We do not tolerate rude behavior, trolling, or vendors advertising in posts.
  • We firmly believe in and encourage sharing. The holy grail is within you, we can help you find it.
  • We expect our members to participate and become a part of the community. Help yourself by helping others.

You'll need to register in order to view the content of the threads and start contributing to our community.  It's free and simple.

-- Big Mike, Site Administrator

Reply
 
Thread Tools Search this Thread
 

Historical futures quote (best bid/ask) data?

  #11 (permalink)
Elite Member
New York, NY
 
Trading Experience: Beginner
Platform: Vanguard 401k
Broker/Data: Yahoo Finance
Favorite Futures: Mutual funds
 
Posts: 1,002 since Jul 2012
Thanks: 674 given, 2,034 received
Forum Reputation: Legendary


LukePoga View Post
they were my favourite data source too.

PM'ed you.

Reply With Quote
 
  #12 (permalink)
Elite Member
hk
 
Trading Experience: Intermediate
Platform: NinjaTrader
 
Posts: 50 since Apr 2010
Thanks: 16 given, 14 received


artemiso View Post
PM'ed you.

Could you PM me too?

Reply With Quote
 
  #13 (permalink)
Elite Member
New York, NY
 
Trading Experience: Beginner
Platform: Vanguard 401k
Broker/Data: Yahoo Finance
Favorite Futures: Mutual funds
 
Posts: 1,002 since Jul 2012
Thanks: 674 given, 2,034 received
Forum Reputation: Legendary



energetic View Post
Could you PM me too?

OK sure thing.

Reply With Quote
 
  #14 (permalink)
Elite Member
hk
 
Trading Experience: Intermediate
Platform: NinjaTrader
 
Posts: 50 since Apr 2010
Thanks: 16 given, 14 received

thanks


artemiso View Post
OK sure thing.


Reply With Quote
 
  #15 (permalink)
Elite Member
charlotte nc
 
Trading Experience: Master
Platform: ninjatrader
Broker/Data: NinjaTrader
Favorite Futures: Emini (ES, YM, NQ, ect.)
 
Posts: 362 since Jan 2015
Thanks: 65 given, 802 received

Cool topic. Maybe this will help?

I dabble in this space and have built some fairly granular micro structures using NinjaTrader with an extraction program I wrote in C# and some clean up / sequencing scripts in MS SQL. So if you don't mind getting into some basic coding and you don't mind doing the work yourself, you can get the following fairly easily.


Prerequisites are to download Ninjatrader 8 and then download market replay data for whatever instrument / period you want. Then write your code and output it to either the output window or write it to a text file, both are fairly easy.

1. Ninjatrader has a level 1 feed that gives you access to things like: Adds, Cancels (you have to do a little work to distinguish these), and Transactions. The transactions are granular but the basic volume updates come in aggregate, so you have to do a little work to un-bundle these to see the individual order updates, and make sense of everything. It's not as clean as the MBO feed, but it's directionally accurate and can be useful to help you get access to the data in whatever format you want it (By order, by price level, by tick aggregate, etc.). You can work from this event handler to access the level 1 feed: (Major Event Handler below)

protected override void OnMarketData(MarketDataEventArgs marketDataUpdate)
{

}

2. Within the OnMarketData feed you can pull the all the prices and all the level 1 volume updates from the Bid or Ask. These contain not just transactions but adds and cancels as well. So to the OP I believe this would solve your pain point of only seeing bid and ask data when a transaction is in play. This will give you everything.

Just set a variable for holding price updates and one for volume updates. For example


if( marketDataUpdate.MarketDataType == MarketDataType.Ask)
{
PriceVariable = marketDataUpdate.Price;
VolumeVariable = marketDataUpdate.Volume;
}

If you ran the code above wide open you would hit hundreds of thousands of rows over a period of just a few minutes. So you will likely want to build some logic to only output key updates at key intervals. I like to capture the starting volume and ending volume of every price level along with the total added volume total canceled volume and total transacted volume. But there are a ton of other things you can do as well.



3. If you want the transaction updates you can get them like this: (Bid Example below)


if (marketDataUpdate.MarketDataType == MarketDataType.Last )

{
#region Bid Update
if (marketDataUpdate.Price <= marketDataUpdate.Bid)
{

BidTransactionPrice = marketDataUpdate.Price;
BidTransactionVolume = marketDataUpdate.Volume;

}


}

4. If you want to cut down the noise and just get the price level changes you can create a basic if statement to measure a variable against the current new price and if it has changed to output it and if it is the same do nothing. This will print all the changes in sequence.

There are a number of ways to slice and dice this, but if you hack around for a bit you can do a quite a bit yourself. I have never found a source to buy fully developed analysis of the market microstructures so I started building them myself to help me learn what the hell was going on under the hood.

I am always willing to share a few lines of code here and there if there is any interest.

Best of luck!

Ian

In the analytical world there is no such thing as art, there is only the science you know and the science you don't know. Characterizing the science you don't know as "art" is a fools game.
Reply With Quote

Reply



futures io > > > > Historical futures quote (best bid/ask) data?




Upcoming Webinars and Events (4:30PM ET unless noted)
 

Journal Challenge $1600 in Prizes & Free Journalytix for all participants!

February
 

Trading Resolutions for 2019 - Avoiding Mistakes w/GFF Brokers

Feb 19
 

3 Excellent Entries, and How To Automate Them w/Kevin Davey

Feb 21
 

The Driving Force Behind the Market w/Earn2Trade

Mar 5
 

TBA w/Stage5 & iSystems

Mar 12
 

TBA w/John Grady @ No BS Day Trading

Mar 19
 

Day Trading Oil Futures: Reducing Risk & Increasing Profits w/DTN IQFeed

Mar 26
     

Similar Threads
Thread Thread Starter Forum Replies Last Post
historical tick data with bid size and ask size snusnufreak Reviews of Brokers and Data Feeds 5 August 4th, 2015 11:34 AM
Bid/Ask historical data for Ninja Trader Surf714 The Elite Circle 2 December 15th, 2014 04:13 PM
Bid Ask Pressure and Quote Mirasol NinjaTrader 0 October 14th, 2014 07:40 AM
Difference between ask, bid and trade quote in IQFeed forexboom Reviews of Brokers and Data Feeds 2 June 4th, 2011 08:20 AM
Is GomCD Delta: Bid/Ask or Bid (-) Ask? An Appropriate Substitute??? tdaman The Elite Circle 3 May 13th, 2011 05:06 PM


Tags
1 min bar, bid and ask, bid/ask, bloomberg, buy, c#, cme, code, coding, continuum, cqg, data, data feed, data provider, data source, dow, dtn_iqfeed, elite, es, futures, gomrecorder, historical data, iqfeed, latency, market replay, market_replay, nanex, ninja, ninjatrader, ninjatrader 8, onmarketdata, qcollector, quotes, replay, replay data, rithmic, sierra chart, slippage, sql, tick, tick data, variable, volume, zenfire

All times are GMT -4. The time now is 04:29 PM. (this page content is cached, log in for real-time version)

Copyright © 2019 by futures io, s.a., Av Ricardo J. Alfaro, Century Tower, Panama, +507 833-9432 WhatsApp Business, info@futures.io
All information is for educational use only and is not investment advice.
There is a substantial risk of loss in trading commodity futures, stocks, options and foreign exchange products. Past performance is not indicative of future results.
no new posts
Page generated 2019-02-18 in 0.14 seconds with 13 queries on phoenix