historical bid/ask quotes

Hi,
We need to get historical market data for futures.

Some sites like
http://www.tickdata.com/html/available_data.shtml
provide only trades and volume.

But we need historical bid/ask quotes for the futures as well.

Do you know where we could find this data (going back to 2007) at economical rate?

thanks,
Sam

 

The CME has book data (market depth and top of book) for sale, but you have to contact them for cost information.

See CME DataMine at http://www.cme.com/trading/dta/hist/datamine.html

 

Yes, but we need data for futures trading on comex, nymex, cbot as well.

 

If you can't find the information on the exchange websites then call the exchanges and ask them. All the exchanges are in the data business and want your money.

 

I find it incredible that only OpenTick used to have a somewhat usable service. CQG, for example, has a seemingly good service, but their time stamps have a minute granularity!

 

https://www.cqgdatafactory.com/

 

"tick-by-tick" data has a time granularity of one minute!

 

Any news from the exchange ?

 

Call the CQG, they have the millisecond resolution for ticks as well as complete book changes with millisecond precision. It is just not available on-line.