need tick data!

October 28th, 2018, 01:37 PM

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!

October 29th, 2018, 04:03 AM

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...

October 29th, 2018, 07:58 PM

rleplae

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.

need tick data!

Discussion in Traders Hideout

need tick data!