Ask/bid bars?

Discussion in 'Trading Software' started by heech, Jul 29, 2009.

  1. heech


    Hi there,

    Are there any data vendors out there that provide historical ask/bid bars, and not just "last" bars?

    I'm working with some contracts which don't trade overnight, so when I look at the historical chart... it's pretty sparse overnight. A bar here, a bar there... maybe a hand full of minute bars over the course of 8 hours But I know the ask/bid spread is pretty tight, and I *could* have traded.

    I'm looking for this for NYMEX heating oil specifically, just going back a year or two.

    Thanks in advance.
  2. Surdo