To All, so I did pull off some .txt tick data from Sierra Charts for sep,dec23 and mar24 for ES it took some time to figure out the procedure + the data file is still 2-4x the size of what it should be if the format was correct, they dump o,h,l,c,t,tv, + bid and ask data into that file making it much larger than it should be, the resulting file for one contract month was about 4+gb ( 3 months ) and I suppose if you delete all that redundant data columns and leave just date,time,close,vol,tradevol that would reduce the file size in half, still very large 2g file. And how many platforms out there use tick data as the base of resolution for min charts ? - unknown or not many. Backtesting on tick data ? year right... maybe for 30 days and would take hours to compute. Anyway, I decided to not use tick data ( an overkill and overload for the task ) and move to 1 second data base resolution, file sizes for same contract months went down to under 200mb, while price path information is good enough to model properly. So I pulled 1sec data off of Sierra Charts as well. And researching just about all tick data providers, found the cheapest one to be $80 per year for ES, straight from the exchange, which was ... tada!- CBOE DataShop, which surprised me a bit at the low price and the sample. You know if those data shops would provide at least 1 month of free ES data for free they would attract more biz, but I found none of them do that, it's like they have some data but not ES, like they avoid it for some reason.
Wait, what? Spooz TaQ data for $80/year from a reputable source - I think you're mistaken (my prior is that $80 was per-month). Could you post a link here?
Throwing a bone to everybody here. Head over to backtestmarket dot com ES 1 min data from 2007 to current. $11 for over 15 years of 1 min ES data , about 300mb file size, decent data ! I bought it an no regrets.
So pouring over the past 15-17 years of data, has any of it helped you in predicting future price movement? I mean, the market now moves totally different from how it did 15 years ago. Surely you know this if you trade real money.
We have tick data up to the max granularity (L2 on FIX/FAST and MBO/L3 on MDP 3.0) for all CME instruments, starting 2010-06-06. See this link. Most people associate "tick data" with only the trades, which we sell for about $120/year if you only need ES.