Does E-signal offer historical E-mini data? How far back is it available? Does the historical data match up with the real-time data? I need an accurate bid/ask for my systems. I guess I'll stick with electronic markets.
I am not sure. I use Investor R/T as my charting program and use E-sig for my feed. I think they only offer 30-90 days of emini historical data.....but they might have CD's with more extensive data. Michael B.
http://www.anfutures.com/index.html Try this, they are inexpensive, bt I am not sure aboutr the best bid and best ask issue. Michael B.
Prophet, Using E-signal, at a given time, you may download 2 weeks (ie 10 working days) of historical tick data for both ES and NQ. Sometimes few days more. For comparison, I think the 1 min bar historical download period is still limited to 60 days of quotes, even if Esignal advertised (back in Aug. last year) that they intend to switch one year of 1 min data or so (i think there is an old thread on ET about that) For the YM, the last time I tried, I could get about 3-4 months of YM H3 tick data and almost the full history for YM M3. Not sure if this is still true. Of course YM has much less data, may be that's why they were offering more.. Based on recent download figures, two weeks represented roughly 650 000 ticks for the ES, and 250 000 for the NQ. By the way, I am an Investor RT user too. In the database area, one of the great feature of IRT is the ability to maintain a large tick database using specific import and export features. For example, you may import data from any ASCII source quite easily as it is possible to fully customize the data import format, ie you may adapt it to any specific ASCII file format. In term of backtesting, you may then evaluate your trading system using a maximum of 1 million bars. So you could backtest at once about 3 weeks of ES data or 8 of NQ data. You could backtest a full year period for example, by doing several consecutive runs (and some data import/export operations in between) Of course, the backtesting period (for a single run) will be much longer if you use rules based on slightly higher timeframe, like constant tick bars (ie 55 tick bar for example) or sub minute bars (like 15 or 20 seconds bar) Using the usual 1 minute bar and restraining yourself to daysession data only, you will be able to backtest ca 10 yrs of data.. Eddy
Absolutely NOT done by RT collection - this was pulled off the historical T&S data - you must be looking at some other data if you're not seeing it. Attached is a snap of the T&S display scrolled back to the morning of 3/28 - bid/asks are in the T&S stream
There are differences between the T&S of Qcharts, as presented in ArchAngel's es-ts.gif, and that of CME, attached as cme.gif. Apart from the occasional 1-second time differences, there is 1 print missing in Qcharts - 1,4,8,1,2 vs. 1,4,8,1,1,2 - for the 3 seconds in question.
Eddy, Could you post or PM me a small sample of E-signal tick data for NQM3? I'd like to compare it to my real-time collected IB data. I'll look into those backtesting features you mentioned. I already have some backtesting code and real-time algorithms written in Matlab and C. Thanks!