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

  #1 (permalink)
Elite Member
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Historical futures quote (best bid/ask) data?

Does any retail data service provide historical quote data (i.e. best bid/ask) for futures (CME and CME owned exchanges), even if there is no trade? Tick or 1 second or 1 minute are all fine.

I have IQFeed subscription but its bid/ask data is attached to trades, i.e. if there is no trade (e.g. in the evening for some less liquid product) there is no bid/ask data, even if bid/ask is changing. That's problematic for our application.

I know for a fact Bloomberg, Reuters, Nanex, TickData.com etc. do provide tick-by-tick or second-by-second quotes data, but those are priced at >= a few hundred $ per symbol per year, or tens of thousands of $ per year subscription. Just wondering if I missed any good retail data provider at the cost level of IQFeed / CQG / Rithmic / Sierra Chart / Continuum / Zen-fire.

Thanks!!!

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  #3 (permalink)
Elite Member
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noone sells it.

most traders stick to trading the high volume periods because of low slippage.

you need to buy Trades + Quotes data, which includes all quote changes, which is tens of thousands of dollars. You then use the quotes data to build your own bars.

its a pain.


Last edited by LukePoga; February 3rd, 2019 at 02:29 PM.
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  #4 (permalink)
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The inside bid/ask is included in some of our 10+ years of tick data in the main tick data Elite thread, for most popular futures instruments:

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

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  #5 (permalink)
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mike the problem he is referencing is that if there are no trades in a period, the bid/ask can still move around, and you have no way to know what it will be. i mean its probably still within range of whats reported in a previous or subsequent trades, but it could be a long time between trades.

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  #6 (permalink)
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LukePoga View Post
mike the problem he is referencing is that if there are no trades in a period, the bid/ask can still move around, and you have no way to know what it will be. i mean its probably still within range of whats reported in a previous or subsequent trades, but it could be a long time between trades.

Yes, OP's issue is addressed here: https://futures.io/elite-circle/46067-historical-market-depth-mbo-data-assess-yo...-quality.html#post704392

@panz Actually, you didn't list my favorite vendors for this: I must say that OnixS and QuantHouse are the best options I've encountered, in descending order of preference. There's also 2 vendors that are inbetween, but wouldn't be suitable for a retail setting. That said, all 4 of them will be above your price point. Sent you a PM.

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  #7 (permalink)
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LukePoga View Post
since when do onix do historic data? its not advertised.

They call their service Nanotick. Another two vendors that I've come across are Algoseek (I think this is just a relabeling of TradingPhysics) and LOBSTER but I've never interacted with them. As far as I can tell, there's issues with all of them, and I can go into more detail if I know your specific use cases - PM me if you are on the cusp of buying anything.

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  #8 (permalink)
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artemiso View Post
They call their service Nanotick. Another two vendors that I've come across are Algoseek (I think this is just a relabeling of TradingPhysics) and LOBSTER but I've never interacted with them. As far as I can tell, there's issues with all of them, and I can go into more detail if I know your specific use cases - PM me if you are on the cusp of buying anything.

nanotick is not operating at present. They directed me to ICE Futures for nanosecond data. ICE Futures is high-end and excellent. I think nanotick got their data from there originally (not sure 100%)

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  #9 (permalink)
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LukePoga View Post
nanotick is not operating at present. They directed me to ICE Futures for nanosecond data. ICE Futures is high-end and excellent. I think nanotick got their data from there originally (not sure 100%)

Oh interesting, I didn't know that they had shuttered.

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  #10 (permalink)
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they were my favourite data source too.

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