I'm thinking about getting the "ES Tick Data since Mar.2003" from http://www.anfutures.com/datasvc.htm Does anybody have any experience with this product, or an alternative I could look at?
I've used their data and had no problems. Last time I used them, however, their data was not continuous. Probably still isn't.
I was satisfied with their data. Not expensive and simple to use and customize for input in tradestation. But I am not an expert on the quality of data.
By the way, I was doing some testing on tradestation, and I just wrote to myself a note, that will be useful if you buy ANF data. I don't know if things changed but with data (on several future contracts) I bought about a year ago I had the following problem. Say you use a 15 minutes timeframe on your data. Some data correctly names as "20.15" a candle that is completed at 20.15 and I identify that time in easylanguage as "time > 20.00 and time < 20.30". Of the data I have, the data using this correct method is DT, IB and PT data. ANF data instead calls "20.15" the candle that begins at 20.15 but whose price information is only known at 20.30, so to correctly identify a 20.15 candle on such data I need to use this EL code "time > 19.45 and time < 20.15", because this will make tradestation use the 20.00 candle which actually gives the prices of 20.15. But I have to say that maybe it could also be just some problem of wrong configuration on my part. I always come across this problem with ANF data, but I can't tell you exactly why. If I think about it hard enough, smoke starts coming out of my head. This stuff is too complicated for me right now. I also have to work at the office all day long. I used to inquire about everything, but recently I have started to set aside some unsolved problems. Too many things to figure out and not enough time. Plus too much stress at work, with colleague-monkeys that disrupt my concentration (that mother fucking mercuri bastard, why can't he just die...). Anyway, regarding that problem I mentioned, if you are using a 1-minute timeframe it would make no difference, but with 15 minutes and beyond, it makes a huge difference, and it is something to be aware of. I also have to add that, each and every time, it takes me a lot of focus not to get confused when I am setting up data, and I have to deal with changes in time zones and this horrible "candle starting time vs candle ending time" problem. It takes me like 15 minutes to figure it out each time. Not to speak of CST vs EST vs CET. I'm having to keep my computer on CST time even though I live in Europe, also not to get in trouble when Daylight savings time begins in the States weeks before it begins in Europe.
I purchased NQ tick data from them but it does not have volume, without volume the data is of no use to me just lost money.