bid/ask volume data

Discussion in 'Data Sets and Feeds' started by Monty Carlo, Mar 23, 2007.

  1. I would like to do some backtesting on the bid and ask volumes in the 10 year futures , and it appears that esignal can only look at tick data on price and volume traded rather than a snapshot of the bid/ask volumes at any one time .

    Does anyone know of a commercial system that could accomodate this type of data for testing ?

  2. Are you talking about aggregating volumes over a sliding window by length of ticks or time? Coral8 has a free developer version of their event stream processor. You could feed in your data using CSV files, and output a CSV list of trades to analyze in Excel, etc.

    I have more than passing understanding of that software and would be glad to offer anyone assistance...

    On a side note (this is the auto trading forum)... I don't recommend implementing Coral8 in your trading software. I couldn't run more than 50 queries without crashing the server. Use Esper instead ( I'm running 500+ continuous queries in Esper with 1-2% cpu load.
  3. the funny thing about EPF files is that they seem to include both quote and trade data, the former appearing with a Q prefix the latter with a T.