Source for historic intra-day quotes

vikana -

quote:
"the CME has about 3 month of free intraday data. So that's a starting point."


I looked all over the CME site for this and could not find it. Would you please include a link or tell me what section that it is in.

Thanks, Haas

 

TradeStation has intraday data for S&P e-mini since mid February 2001.
However, what I found, is that historical intraday data from different sources can give you very different results when testing a system. For this reason, I think, it's best to have historical data from the same source that you trade from in real time.

 

They have hidden it quite well after the new site went up. Here is a link to the the ftp-downloadable tick data.

http://www.cme.com/prices/historical_ftp_datafiles/prices_historicalftpdatafiles_timesales.cfm

the main link is in the "Quotes" menu. I selected the ftp data, since that what I use. http://www.cme.com/prices/index.cfm

 

TriPack

whats the ignore button comment about

 

Another easy way to get the data is to use a FTP client and FTP to ftp.cme.com using an anonymous login. The data is in the /pub directory. This way you can download multiple files quickly.

Brutus

 

try ordering the data from Tickdata. I ordered the last 6 years worth of data for the Nasdaq 100 index and am extremely impressed, they managed to collect about 99.99% of all the ticks of the index for the last 6 years. It was well worth the money.

 

What software are you using to import the historical intraday data and create charts?

 

I don't analyze nor trade in what most traders might consider the "normal" way. I only trade QQQ once or twice a day, I don't look to trade all day long.

Analysis is done through just a regualr spreadsheet, looking at various price points at specific times throughout the trading day. Basically I am crunching NDX numbers on a spreadsheet, looking for any possible patterns. I don't work with charts. It works for me and has made money for me, so I stick with it.

I am importing the Tickdata into a spreadsheet my using Tickdata's ASCII file output function. It sounds simple, but its not, because there are so many billions of tick numbers involved, you can only process a bit at a time. Its going to take me a few weeks working a few hours a day to get 6 years of NDX Tickdata into my spreadsheets.

But I think its worth the time invested, like I said, I've made money so far and this improved data will only increase my ability to analyze the data more thoroughly.