Tick data is simply too big for my systems to handle, and is not needed for the strategy I have in mind, however minute data is simply too broad, especially when volatility hits. Anyone know of any place that has second by second data of e-mini futures? That should be small enough size for my systems to handle yet big narrow enough to handle volatility. Looking for open/close high/low per second. Can't seem to find it. It's either tick or minute.
Exactly. My systems trade with tick-intervals....so I compute them by counting the ticks, not elapsed time.
Hello, Who is your data provider? In the past, I would use QCollector to rip 1-minute OHLC data from IQFeed with the output being csv (optionally txt) that were used as input in my system. I currently do not have this set-up and I'm considering other options (although this seemed to suit my purposes and ran rather smooth), but I'm wondering if it could be possible to rip for instance 30-second (or any other second interval) OHLC data with the same solution. I tried consulting QCollector's web page right now, but I couldn't confirm it. Incidentally, I'm considering the same thing as you, but 30-seconds would probably be enough for my case. In any event, that's a suggestion for you to look into and I'll be subscribing to this thread and perhaps getting an idea or two myself on the subject. For me, I'm not in a hurry to find out, but it's still something I'd have to consider. Regards.
I actually went with ANFutures and got the tick data. Going to pull it together by second myself. Files are freggin enormous though. Have to get some programs to suck the data I need out of them before I can even work with them. 500k ticks for 1 day. I now have years of this. Good lord.
Cool. What's the cost and how many years did you get? Did you also subscribe such that you can update your files at EOD or live during the market?
Does anyone know if Tickdata.com is finally out of their beta testing of the CME futures price history ? I can't wait to get my hands on it.
Cost $140 for over a decade. I still haven't downloaded it all. Freggin huge. This on the same day I realize my backtesting formula has an error in it and my scalping strategy goes from solid to garbage. Oh well.