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harric

Registered: May 2011
Posts: 9

08-20-11 02:21 PM

Who is the best provider of historical tick data on futures across a range of markets and exchanges, also need ongoing updates. Happy to pay, reliability of data is more important than lowest cost.

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Mr_You

Registered: Dec 2010
Posts: 265

08-22-11 06:10 AM

From what I can tell IQFeed... But...

NinjaTrader provides historical tick data for futures for download within NinjaTrader. Both are FREE! Hard to beat that.

Kinetick (NinjaTrader branded data feed) provides an IQFeed sourced data feed cheaper than from IQFeed directly.

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Craig66

Registered: Sep 2006
Posts: 384

08-22-11 06:29 AM

IQFeed does off 120 days of 'tick' data, however if I remember correctly there are a couple of problems.
1. It's time-stamped at second resolution.
2. No ask/bid sizes are supplied.
I think they may deliberately f**k it up so that you'll want to upgrade to NxCore.

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sma202

Registered: Jun 2010
Posts: 41

08-22-11 03:36 PM

Quote from Craig66:

IQFeed does off 120 days of 'tick' data, however if I remember correctly there are a couple of problems.
1. It's time-stamped at second resolution.
2. No ask/bid sizes are supplied.
I think they may deliberately f**k it up so that you'll want to upgrade to NxCore.

Agreed, they want you to upgrade to NxCore for $500+. There is little cost to populate bid/ask sizes or add a couple more zeros to the timestamp for ms resolution.

I saw one post say that it is just a means to backfill data meaning you should be recording 24hrs using your own software.

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Occam

Registered: Apr 2009
Posts: 471

08-22-11 08:52 PM

Quote from harric:

Who is the best provider of historical tick data on futures across a range of markets and exchanges, also need ongoing updates. Happy to pay, reliability of data is more important than lowest cost.

I think that NxCore might be good for this, if you're willing to pay a somewhat significant amount ($1000 per month for the live data, maybe?? Not sure; you would need to ask them.) They have a lot of historical but you have to pay for that separately. All the data are accessed through an API you'd have to learn/use.

By the way, as far as I know NxCore is entirely separate (data-wise and code-wise) from the other products (e.g. IQFeed) owned by the same company.

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PocketChange

Registered: Jul 2008
Posts: 2037

08-22-11 08:56 PM

Checkout CME Data Mine

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