I'd like to subscribe to Qcharts data, I've read that they have intraday data available for several years which would be great for backtesting. I require intraday volume for the SP Futures (full size, not eminis) from the CME. I've contacted Qcharts to ask this but I've gotten two different answers: Yes, they do have intraday data for the SP Futures and no they can only provide end of day data. Does anyone here who subscribes to Qcharts know the answer to my question? Could they call up a chart of the SP Futures symbol SP03Z and see if it has intraday volume and post the chart. I notice that Qcharts offers a referral program: http://help.lycos.com/scripts/qcharts.cfg/php.exe/enduser/std_adp.php? p_refno=030326-000000 If this program is for real I'd be glad to help someone get a free month if they could help me get a real answer to my question.
Yes. You you can get SP intraday data going back years. PM me with other questions and tell me how to refer you for this free month.
Vhehn, Market Man, thank you very much for your help. It looks like Qcharts will work for me, I'll give it a try. I'd like to refer both of you for a free month but I doubt that would work. How about the first one that posts or emails a picture of Qcharts for the SP Futures showing intraday volume. My email is elderhmp@hotmail.com or you can post it here.
FYI - no datafeed has accurate intraday volume for the pit traded contracts because of the way the data is captured. The exchange doesn't provide it - just price changes (they don't even necessarily catch every trade tick). The volume for the minis is accurate because it's electronic.
I can get intraday volume with Esignal, see attached chart. I know that the CME only provides end of day volume for the SP Futures. I think Esignal simulates intraday volume using tick volume. I wanted to know if Qcharts has this intraday volume as well before switching to them.
You clipped off the Y-scale of your chart snapshot, so I can't see what the "volume" range is that you're looking at. But since there's no real volume reported for pit traded contracts intraday from the CME, each reported trade (note that ALL trades are NOT reported because they're not necessarily all captured by the exchange) goes out with an implicit volume of 1. So when the quote.com servers aggregate the bars, they just add up all those 1 volume ticks - so the volume for any given bar comes out as the # of ticks reported by the exchange in that time period. Not necessarily having any relationship to volume though. The ES volume would be a more representative measure of real intraday volume.