Tick collection

Discussion in 'Automated Trading' started by polee2000, Jul 7, 2005.

  1. is it feasible to collect ER2/ES/EMD/NQ ticks using ACCESS/VB.net/IB ?
    I am running the program on my lowly 1.5M notebook
  2. rfoulk


    Sure lots of people do it. IB doesn't send all the ticks though (only about 25% on ES.) So that could color your data if you're watching smaller timeframes.

  3. ChuckAxe



    I have a question related with this issue. I would like to obtain ticks and intraday data. What's the easiest and the cheapest way to do this?

    Thanks in advance!

    Regards, Chuck
  4. schan


    Hi Chuck,

    For me a cheap way to get tick data is to subscribe to something like DTN iqfeed or Esignal. Personally I use DTN which costs less than $50/month if you sign up for a year. The program allows you to save tick data manually.

    Tick data usually goes back only 8-10 days.

    I wrote a simple program that runs nightly to download the tick data for the stocks/futures that I follow into text files. There are probably many third-party apps that connect to such datafeeds to do the same thing.

    Getting something accurate and reliable is a small price to pay.

    You can also collect data for 1,5,30..etc min timeframes.

    Hope this helps,


  5. Aaron


    When you are saving your futures data, how do you handle contract rollovers? After you save your data, do you then append it to a long historical datafile? Do you make any adjustments for rollovers? Do you save the #f (eSignal notation) continuous contract data?

    Now that I'm trading more contracts, it is getting more expensive to buy data from Tickdata and I'm considering creating my own historical datafiles by saving eSignal data.

    Aaron Schindler
    Schindler Trading
  6. wincorp


    Hi Stephen,

    Do you need to sign up for their API in order to get the tick data?


  7. schan


    Hi Aaron,

    For futures, I just save use DTN's continuous contract @ES#, @YM# etc. (It's in beta so many contracts don't roll over properly and others are missing. Hopefully they will complete it soon)

    I append data to separate files for each stock/future. The tick and minute data are compressed in zip... One month of SPY is 100Megs, 7 compressed.

    This runs as nightly automatically as a Windows scheduled task and I don't have to do a thing.

    If you don't mind collecting your own data, this a very cheap solution.

    I looked at some of the prices for data on the web and discouraged me from studying intraday data.

    I'm kicking my myself for now doing this sooner, because after looking at the intraday data, I think there is a significant tendency to trend that is definitely not random.

    Good luck,


  8. schan


    Hi Chuck,

    You don't need the API to get tick data, if you have a third party program that can already connect to their software.

    The API is just for developers. For esignal I think the api is free, while DTN costs $300, but their monthly fee is cheaper.

    The DTN API for is fairly straightforward. You can use C/Java/VB/Python to open a a tcpip socket connection. You send a text request specifying the symbol, timescale, bars. And you let'er rip... gobs of tick data comes back and you write it to the hard drive.

    If you are interested, I can send you my program.


  9. Aaron


    Thanks, Stephen. That's great that you have it automated!
  10. wincorp


    Hi Stephen,

    Thanks for the info.

    Quick question - Using the API how far back does the tick
    data go? Can you get at least a few days worth?


    #10     Jul 21, 2005