I followed your recommendation and purchased data from anfutures.com. Before others make the same mistake, please know there is no volume data. I should have read before buying. Why there is no Volume after October 31, 2007 in your data? Beginning November 1st, 2007 CME Group has changed format of the Time and Sales historical data that is available from their archive. From that date ANFutures has no volume data in the historical trade records and provides data products with zero figure in the VOLUME field only.
If you scalping, you absolutely need tick data cause 7-10 ticks is not a day trade where giving up 3 ticks would not be a huge concern, also you need to have a plan of what happens when price goes to the target and you don't get filled cause others in front of you in the que, this happens a great deal actually. If losing 3 ticks doesn't matter in your scalping, then one minute bars are ok, but here is another occurrence, if the open is in middle of long range bar, how do you know if you got filled near the high for entry then markets went below to stop you out and then closed above you first entry, do you buy again? Or what happens if price went to one tick below entry then retraced 20 ticks then came back to close at your entry price, do you still enter or pass on the trade? What happens if price jumps over your entry price by 9 ticks cause some news can out, you never knew what happened with one minute bars. I believe you get what you put into this world, for myself I shelled out the huge money to buy 20 years of tick data of many commodities, and no I am not a data service, traders want to compete, they need to pony up the bucks and buy there own. It is like this, you need brain surgery, you going to a surgeon that only read books on the brain or you going to one who went to med school then learned from a neurosurgeons for another four years? I have developed some methods where I go for less than 7-10 ticks in crude oil, unleaded gas and natgas, so I need more precision and much better stats. They are automated and you have to put in many rules for the "what if". Good luck to you.
There is not my recommendation, but only a sharing of my own experience. I use their service for about six months to test my strategy, several times I compared their data with the data directly from the CME website and I must say I did not find any differenceis. So I consider it quite clean and full, and given their price is quite worthy of attention of the respected public. In fact, only 1.5 years (from November 2007 to March 2009) their history does not contain volume, i.e. they provide more than 10 years of tick data with volume, that is enough to test the strategies of intraday trading, at least for me personally. But in any case, everyone chooses what he needs.
Thank you, I will research CME for tick data costs. You are right, if I am going to put real money to risk, might as well make sure what I have back tested with quality data. Thanks,
I bought my Tick Data from here. https://www.tickdata.com/ Day trading is different than scalping, like if you using five minute bars on crude oil and you get slipped 3 ticks, you usually going for $100-1,000 targets, whereas if you going for 1-5 ticks, 3 tick slip can be a lose to otherwise winning signal.