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CQG historical tick data missing trade direction (buy/sell)? Need other sources of ti


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CQG historical tick data missing trade direction (buy/sell)? Need other sources of ti

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  #1 (permalink)
fede72bari
Turin Italy
 
 
Posts: 10 since Mar 2021
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I need ticks rough data of futures for playing with Machine Learning algorithms. Obviously, for each trade I need the timestamp possibly down to milliseconds, the price, the direction (buy or sell) and the volume exchanged. Since I am in trouble finding around, I tried to buy one month of ES from CQG. I spent 27$ (!!!) and they delivered the zip folder after 2 days (!!!!!!). When I gave a glance inside I couldn't find the direction of the trade. Is it possible? How could I calculate the CVD, VWAP and Delta Volume Profile without that simple 1 bit long information? Has somebody already worked with historical CQG data? Am I missing something?

Here is an extract of a data sample

F.US.EPZ22,20220531,0,215634788,416000,T,N,N,1
F.US.EPZ22,20220531,0,215634788,416350,A,N,N,1
F.US.EPZ22,20220531,0,215634824,415875,B,N,N,2
F.US.EPZ22,20220531,0,215651060,416250,A,N,N,1
F.US.EPZ22,20220531,0,215703016,415875,B,N,N,1
F.US.EPZ22,20220531,0,215703024,415900,B,N,N,1

and here is the explanation of the data model from CQG documentation

Each record contains eight data fields (nine data fields if you select trade volume). The fields are:
1. CQG Contract Name (6-14 characters)
2. Trade Date YYYYMMDD
3. Session Indicator 1 character – 0=First Session, 1= Second Session, 2=Third Session
4. Transaction Time (U.S. Central Time). For details please see section "Time resolution" below:
HHMM: HH - hour, MM - minute
or HHMMSSMMM: HH - hour, MM - minute, SS - second, MMM - millisecond
5. Transaction Price
6. Transaction Type 1 character – B=Bid, A=Ask, T= Trade, S=Settlement
7. Market Indicator 1 character – F=Fast Market, N=Normal Market
8. Transaction Correction Indicator 1 character – E=Exchange delete I=Insert F= CQG Filter delete N=Normal
9. Trade volume
Example:
1 2 3 4 5 6 7 8 9
F.US.CLEG10,20081210,0,0011,8856,A,N,N,1

Could anyone give any suggestions?

- Am I missing something that could allow at identifying the direction of trading (buy/sell) for "T" exchanges?
- Is there a way to have a subscription to CQG as data feeder through a broker to store and export the real time data and the 1 month historical data available with CQG including the trades directions?
- has anybody some months of ES and Natural Gas futures tick data with volumes and directions to share?

Thank you.

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  #2 (permalink)
 fivewhy 
Fort Lauderdale, Florida, USA
 
Experience: Beginner
Platform: NT8, Bookmap
Trading: ES, MES
 
Posts: 186 since Feb 2017
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I think the T trades are the label given when the transaction occurs at some price other than the Ask or Bid. When this happens, there's no way to tell whether it's an aggressive buy or sell. Some platforms, in the time n sales, color such transactions a different third color because the direction of the trade is not discernable or is undefined.

Remember, the definition of an aggressive buy is when the transaction occurs at the Ask. And an aggressive sell is when the transaction occurs at the Bid. That's it.

Thus, if the transaction occurs at some price other than the Ask or Bid, how would you even go about defining it as a buy or sell? I think your model just has to account for this in the data.

Unless I am just stupid and missing something....anyone?

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  #3 (permalink)
 Trembling Hand 
Melbourne, Land of Oz
 
Experience: Advanced
Platform: Sierra Chart, CQG
Broker: CQG
Trading: HSI
 
Posts: 213 since Jun 2011
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Quoting 
6. Transaction Type 1 character – B=Bid, A=Ask, T= Trade, S=Settlement

fivewhy is right. This is the field that indicates if the trade was on the best bid or best ask and therefore the buyer or seller was the aggressor in the transaction.

T= Trade - is I'm guessing the first trade of the day and therefore indicates the opening auction and cannot be labelled on bid or ask.

I wouldn't get my tick data directly from CGQ. Way too costly. Get a Sierra chart subscription for 1 month and get access to approx 10 years of tick data for all futures for $30!

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  #4 (permalink)
 matthew28 
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United Kingdom
 
Experience: Beginner
Platform: Bookmap
Trading: US Equity Index Futures
 
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As fivewhy said. I remember a Jigsaw tools presentation with Peter Davies talking about the time and sales, or consolidated tape as they call it, saying the data from the exchange doesn't have buy and sell details, just whether it traded at the bid, offer or another price (eg, in between the spread). For the latter it could be buying or selling so it is most accurate to make it a different colour to mark that it is unknown as to whether it was buying or selling.

Time and sales or footprint charts and such like only showing buy or sell presumably use some sort of logic that an order after an aggressive order at the bid will also be at the bid unless it is at the offer, that way unclear trades can be allocated to one side or the other and there are just two options.

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