I'm interesting in buying tick data for CME futures (esp. FX and commodities). I would need at least the best bid and ask quotes, but Level 2 would be nice to have. I looked at several vendors (TickData, CQG, TradingPhysics, etc.) but none seems to sell it. Does anyone know who sells such data ?
This is the stuff straight from the source... Most of it is in FIX format exactly the way it's sent out in real-time... FIX is updates only... So I've had to write routines that reconstruct each tick. To give you an idea of the data volume for Market Depth data... The leading CL contract had about 5,000,000 updates/day.
Very interesting. How much did you pay for the data ? For example, what's the cost for the data for one future and one year?
I bought 3 months of the Crude Market Depth for about $800... (Market Depth has 10 levels of bid/ask on the front month)... They custom produce it and you download it... The zip files are about 250 MB/day... expand to about 2.5 GB/day... This is FIX format updates in text files... You reconstruct it tick by tick... Then pull out what you want and design database... Start analysis. You can keep this updated daily for $550/month. The BBO Data is same but just top bid/ask... And it's about 60% of the cost... But I'm not trying to save money here... I want to do things like reproduce this work, etc: http://www.stanford.edu/class/msande444/2008/OrderBook.pdf
right, it gives the incremental updates in FIX format so you end up creating an orderbook. Depending in the depth you're after it gets pretty large. I usually just look at top of book or one level deeper.
Thanks for the info. By Crude you mean how many products/contracts ? For starters I'm looking at buying data for 3-10 products (e.g. a few FX futures: EURUSD, EURGBP, USDJPY, a few commodities, etc.) for 1 to 2 years back depending on the price. Any idea how much that would set me back (I'm talking about BBO data not market depth) ?
He's not a CME sales rep. Call the Exchange (assuming you're for real) -- the number's at the link already given.
Interesting paper. Thanks for posting. If you have any other papers on actual HFT trading strats, please post those too.