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need tick data!


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need tick data!

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  #1 (permalink)
baltimore marylnd
 
Experience: Beginner
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Trading: es
 
Posts: 91 since May 2013
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guys! i need tick data for 6a,6j,6e,6s,6n for 10 years. what's a good data provider that HAS upto 10 years worth of data. tickdata.com is too expensive!

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Gits (Hooglede) Belgium
 
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What is the value of testing such a long period using tick data ?

Just a few quick thoughts...

Just to mention one event : some of the instruments have changed their
price to half of the tick value, did you reflect on how you will deal with that ?

How will you deal with the roll ?
Will you test contract per contract ? or will you stitch it together into a continuous
contract ? Doing that over a period of 10 years has a significant impact on the very
first period

Taking all above into consideration, i think it needs some "slice and dice" and hence
the data on the tick thread may give you a good start ... without spending any
penny on it...

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baltimore marylnd
 
Experience: Beginner
Platform: ninja
Trading: es
 
Posts: 91 since May 2013
Thanks: 5 given, 11 received


rleplae View Post
What is the value of testing such a long period using tick data ?

Just a few quick thoughts...

Just to mention one event : some of the instruments have changed their
price to half of the tick value, did you reflect on how you will deal with that ?

How will you deal with the roll ?
Will you test contract per contract ? or will you stitch it together into a continuous
contract ? Doing that over a period of 10 years has a significant impact on the very
first period

Taking all above into consideration, i think it needs some "slice and dice" and hence
the data on the tick thread may give you a good start ... without spending any
penny on it...

yea good points. unfortunately, the sample size for an inefficiency that i'm trying to exploit is less than 30 and i want to see if it exists in older data for me to trade it in the future.

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