Globex Time & Sales from CME

Does anybody download the Globex time and sales data files for use in custom backtest apps?

I missed 3 files and was wondering if anybody has them:

gx030224.zip
gx030225.zip
gx030226.zip

Thanks,
Brutus

 

I have those.. unfortunately my missing list is much longer:

11/04/2002
11/05/2002
11/06/2002
11/14/2002
11/15/2002
11/18/2002
11/26/2002
11/27/2002
11/28/2002
11/29/2002
12/12/2002
12/13/2002
01/29/2003

anybody have those?

 

I have all of the files you are missing.

Actually I have every file since August of 2002 with the exception of those 3 already listed. Every weeked I would download the 5 files for the week but for some reason that week they deleted the files early and I only got 2 files. Now I download them everyday.

How do you want to transfer the files?

 

I created an ID and put them in yahoo briefcase. ID = cmedata password = elite1

I think it holds 30 MB. You can delete them when you have downloaded, if you need to make space.

 

Does anyone have a longer range of time & sales data from CME (2+ years)? I have a variety of things that I could trade for it.

-blueberrycake

 

CaroKann,

Thanks for the files. I uploaded the files you requested with the exception of 11/28/02. A data file doesn't exist for that day since it was Thanksgiving and the CME was closed.

Brutus

 

Blue,

Thanks to CaroKann I now have all data from August 2002 until today. I don't have the months of June and July for 2002 but I do have data from Sept 2001 to the end of May 2002. If you want the data that I have I can put it on a FTP site for you to download.

Side Note ...
If anybody has the months of June/July for 2002 that I could download that would be great.

The CME also sells their Time & Sales data but for a high price. For 2 years worth of ES data only it would cost you $1260.00. If you want the ES and NQ double that price for a total of $2520.00. If we could gather up 10 people from ET here who were interested in buying the data the cost per person would be down to $252 for both the ES and NQ. I would be willing to pay that.

Brutus

 

Brutus,

Can I get a copy of the data you have?

BTW, does it include volume information?

Thanks in advance!

Kevinx

 

for e mini's only or is it including

the big contracts as well as volume on those contracts

during Globex hours ?

 

It's for the E-minis only and does inlcude volume information on a per trade basis during the normal trading day. I think the big contracts are in the files but only in afterhours globex (non-pit) trading.

Brutus