Hey thanks for bitching to the CME about the missing NQ data. I didn't notice the first issue until a week or so later and it was too late. I did notice it the second time and was about to complain myself but then saw it was fixed a day later. It seems like the whole process at the CME needs some better programming so as to not introduce stupid errors like this. They had problems in 2001 with the data being cut off. All trades after some random time like 1:23 PM were missing from the file. I sent them an email back then but got no where. Brutus
Hi guys, I'm happy to read that CME is now sometimes reacting to complaints about missing data in T&S files. As I recall, this happend once in a while over the years. Never before did I ever succeed to have it corrected. So let's all be happy about this. In all fairness, talking about Eurex though, you havn't seen anything yet. T&S seems to be some kind of an 'old country state secret' although you might think that the public has a right to know about what happened in markets supposedly 'supervised' by government agencies. Did any of you guys ever succeed in downloading even a day's worth of T&S from Eurex? Want to give it a try: http://www.eurexchange.com/index.html So "Sniff, sniff, I smell Eurex" might mean that the US exchanges also could get infected with some more bad habits. In fact talking about T&S, CBOT is almost as bad as Eurex. You have to be a real fast mouse-clicker if you want to catch any of their T&S! A GOOD example for data is the MATIF in Paris, France: http://www.matif.com/index3.htm. They keep everything online for free download, this for years back. I think the US regulatory agencies should set minimum standards for this. We have a right to know!
This old thread used to be some kind of data exchange. Does anybody download the Globex time and sales data files for use in custom backtest apps? I am missing all files from: gx040304.zip -> gx040607.zip As I recorded already from two datastreams, I wrongly decided to give up on CME T&S. Could somebody help me with these? I may be able to help with earlier data. Thanks, nononsense
I downloaded the data since the beginning of this year, but a few of my data are missing. Would you mind sending me the following data ? Thanks. gx040119.zip gx040211.zip gx040212.zip gx040213.zip gx040701.zip gx040806.zip gx041007.zip gx041008.zip gx041011.zip gx041012.zip Please send them to guest289@yahoo.com . The yahoo account should be able to hold 10 M per message and 100M for all messages. Also I am planning to buy the ES data from disktrading. Any one has experience with them ?
Column 31 of the file layout is described as "cancel (X) or correction (C)". How exactly does this work and how do you deal with it when getting data ready for viewing and backtesting?
bump.. My collection is consistent but does not go back all that far, really. Is there anyone able and willing to help out on this? I've been collecting all files from the /pub/gtime and the /pub/time directories but am mostly interested in the /pub/gtime (Globex) files. Thanks. How this is handled has eluded me as of yet - anyone know?