Historical Intra day DAX data

Discussion in 'Data Sets and Feeds' started by eric341, Oct 6, 2008.

  1. eric341

    eric341

    Hey there, I'm currently in the process of backtesting my trading strategy for the DAX and I require as much 1-min historical data as possible.

    So far I have tested the strategy over the last two months and the results have been good.

    I would like to be on the safe side and back test it over a longer period.

    Does anyone know where I can get a hold of this data? I need 1-min data from as far back as possible.

    I've been getting my data from OEC but they only store DAX data for the previous few weeks....:(

    Cheers
    Eric
     
  2. Tradestation has data back to 2001 or so (not sure of the exact dates). IB has data going back a couple of years.
     
  3. You can buy data directly from eurex. Just go to their website. They sell tick data, and you can convert it to any format that you need.
     
  4. eric341

    eric341

    I just checked the prices on eurex and it's quite expensive- 240 euros for six month's intra day data!

    I might try Tradestation or IB.

    Thanks
     
  5. If you go the Tradestation route look on their forums for "FastFileAppend". If you use IB, IBCollector can download the data and build continuous futures series.

    Also a warning regarding the eurex data -- I remember hearing the exchange data is not very clean (e.g. bad ticks). I never bought it but that was what I heard (like fifth hand so take it with a grain of salt). But for that kind of money I don't want to be filtering bad ticks.

    SSB
     
  6. gk1998

    gk1998

  7. rickty

    rickty

    I'm a bit surprised with the price that CQG charges for data. According to their website one can get about 10 years of 1 minute bar data for the DAX and also ES futures for $1200. Compare this with tickdata.com where you can get tick data for 15 years of data for $750. Further compare that to anfutures.com offering the full ES 1 minute data for $42. Too bad they don't also offer the DAX.
     
  8. CQG also has the "arm and a leg" deal where you get random ticks from 10 different markets for $10,000 and <u>you like it</u>
     
  9. yshterk

    yshterk

    You pay for the quality of data and higher quality costs more. CQG spends a lot of money and hours ensuring the data is maintained withour gaps, all corrections are inserted properly and data matches golden source (exchanges) as much as possible. Be wary of cheap but unrealiable data, mistakes in your system will cost you dearly when you start trading.