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.
The exchange should either have the data or refer you to a vendor. http://www.nymex.com/ho_fut_rfi.aspx