Iâm looking for 24 hour historical data for ES and NQ that contains: * time, last, bid, ask, volume (plus best bid/ask sizes if possible) * must show every change in the best bid/ask price, regardless of trades The historical tick data from Qcharts and RealTick consists of trade-only ticks, where the last/bid/ask/volume is printed only when trades occur. I need data that shows every change in the best bid/ask regardless of trades. I have been logging this data myself using Medved Quotetracker and a custom app that connects to IB TWS. I have only collected two months so far, for ESM3 and NQM3. I need several months of this data historically, and for other futures contracts. This must be 24 hour data. Gaps in price and time should be minimal. I have an excellent system which makes use of the specific features in this data (bid/ask changes and continuity), although I can still use ordinary 24-hour tick data with some performance penalty. Iâm not sure if I should continue development with this special data or switch over to more commonly available data and deal with the performance penalty. Can anyone suggest a source?