Registered: Nov 2011
05-03-12 05:13 PM
i have it in a mysql database, but can convert into any format, i use mysql because i can manipulate it or run scenarios pretty well with PHP. this data was a BITCH to get, there was no good way to get it, so it took literally about 3 days to get all the data and it only covers about 2.5 hours of data for one symbol which is FAS (an ETF)... But if someone could find any workable plan with this, then I could set it up to get more data, faster, and on any symbol.
It is a LOT of data, there are 8,400 rows of data, each row has 64 cells of data, so a total of 537,600 bits of information. And this is about just a tad slower than second by second, it's about a 1.2 second delay between each data capture, so it's pretty fast. It is from 9:30 to 12 Pm, I realize this is a rather very small data sample, but before I try to extract more data than this, I wanted to see if anyone could find any use for this, to my knowledge, no one has ever done this.
I'm going to go at it hardcore this weekend. An example of what I might do with this data is....
Look for any anomaly in the bid/ask sizes and prices, see if there are a bunch of BS bids and asks which indicate that there is not a lot of interest in the stock, or if every bid and ask are real bid and asks (close to the actual last prices) then I can assume that there is a lot of interest in the stock at that time. and go from there, I'll report back if I find anything interesting, and if anyone wants this data, just ask for it.