Futures (CME) Tick data

Discussion in 'Data Sets and Feeds' started by softdown, Mar 12, 2011.

  1. drp7804

    drp7804

    #11     Mar 15, 2011
  2. I can't get historical, but if you're looking for daily TAQ data (level 1 b/a, volume), I can record that for you. PM me if interested.
     
    #12     Mar 16, 2011
  3. sma202

    sma202

    question: are you using your own tool to record this during the day or is there something off-shelf out there?

    Also, do you guys have any suggestions on what tools you're using to look at tick data or how much of a sample you're looking at? i.e. do you cut it up it time slots or days etc. I find squeezing in anything more than a day fills up memory really quickly for something like the eminis.
     
    #13     Mar 17, 2011
  4. #14     Mar 17, 2011
  5. jinxu

    jinxu

    This guy is selling historical data at a relatively cheap price. I recently brought YM data from him and he included a tick file. I don't know how far back it goes though as the tick file is over 2 GB and can't seem to open it to see. Probably because I don't have enough RAM. I do know that 1 day of tick data for the YM is about 2 MB so if you divide 2GB by 2MB that might give you an idea how long it is. Or you can just email him and ask. Link is below.

    http://disktrading.is99.com/disktrading/
     
    #15     Mar 17, 2011
  6. if the tick file is ascii it is a LOT more than 2mb per day. Heck, even compressed it is a lot more than 2mb per day.
     
    #16     Mar 17, 2011