historical BID ASK data where to buy?

Discussion in 'Data Sets and Feeds' started by twinx, Aug 13, 2006.

  1. twinx



    where do you get historical intraday BID ASK data for backtesting?
    I can have some over the API from IB, but no expired contracts!

    Until now i found on the web, only tick or other intraday data which are only prices data which were traded. But i want the BID ASK quotes (1 minutes, 2, or 5 minutes) would be nice.

    Look for:
    CME® E-mini® EQUITIES indices
    European EQUITIES indices
    Where do you get historical intraday BID ASK data?

    PS: do you backtest only with traded prices?
  2. RedDuke


  3. twinx


    You misunderstood. I dont want normal tickdata!

    BID ASK data like this:
    BID data example:
    Date		Time		BIDopen	BIDhigh	BIDlow	BIDclose
    01.02.2006	15:45:00	4958.50	4958.50	4958.50	4958.50
    ASK data example:
    Date		Time		ASKopen	ASKhigh	ASKlow	ASKclose
    01.02.2006	15:46:00	4960.50	4960.50	4959.00	4959.00
  4. na3im


    Did you find what you looked for twinx?

    I bought some tick data with bid and ask on DAX but only for a few years...