Anyone need trade and quote data recorded on US or global equities, options, futures, bonds and currencies? I developed a TAQ data recording program for research and need help covering my data feed bills. The program records Level 1 bid/ask, bid/ask sizes, last price, and is available in most file formats. I can set up recordings of single securities or groups of securities for pairs/statarb strategy developments. For pairs recording, the program takes a snapshot of the subset when any change in the underlying variables occurs. Pairs are recorded together to make sure time stamps match up. The data is pretty granular, down to fractions of a second. I don't organize it or manipulate it in any manner. Keep in mind this is not historical. Recordings must be scheduled at least a few hours in advance so I can set up the program.
Whoops, forgot pricing. Recordings are for a minimum duration of one week (or 5 day recording period). Per Unit Prices for the week Currency Pairs: $4/ea Stocks: $6/ea Options: $8/ea Futures: $10/ea For dynamic groups, like dual-listed shares or cross-listed futures coupled with currency pairs, I can negotiate on price.
Here's a sample of the currency TAQ data I've been pulling. Hopefully this screenshot works: http://img27.imageshack.us/i/currencyopen.png/ Recording begins on Jan 31, 16:59:39 CST 2011 and ends primarily at Feb 01 15:59:59 CST, with some residual after market effects trailing on for a few minutes. Anytime one variable (bid volume, bid price, ask price, ask volume) changes, a snap shop of the entire group (listed below) is taken. This is to insure quotes are reliable and executable, which can be verified via the time stamp. The file is about 71,000 rows deep and out to column FY - no clue how many that is. Included are the following currency pairs: GBP/USD /CHF /AUD /CAD /NZD /NOK /HKD /MXN /JPY MXN/JPY SGD/JPY USD/CHF /SGD /DKK /NOK /SEK /HKD /MXN /JPY /CAD EUR/AUD /CAD /USD /GBP /CHF /NZD /SGD /NOK /SEK /HKD /MXN /JPY AUD/NZD /SGD /HKD /USD Anyone working on intraday arbitrage opportunities in the FX markets, you're welcome. This should give you food for days. This should be the zip file. Hope it works: http://www.mediafire.com/?14aow9re6h9bsgi
Just wanted to say ogarbitrage is good to deal with, responsive, and helpful. I went through the process of deciding what data was/was not useful for me with his help. The data was as promised and included what I asked for - unfortunately for me I've had to put my project on hold, but was happy with the professional manner in which I was treated. Thanks.