Team: I'm back testing some ES Mini strategies over at Trade Station where they only offer 6 months worth of tick data but they say I can import data into their back test environment. So I guess my question is; does anyone know of any financial data services that offer tick data on the ES Mini for let's say two years? Also, in Trade Station's ES Mini DOM they only show the standing orders ten ticks on either side of the spot price. Is their a way/place to see all of the open interest/volume on a particular futures contract? Thanks for the help
Other than tickdata.com, you should try: Algoseek, they have been vending for sometime. They have Intraday data back to 2007 for US Equities, Futures and Options. Intraday they have tick, 1 sec, 1 min and 5 min OHLC bars. Institutional data and well priced. Quantgo.com, here clients rent access to data by the month from multiple data vendors but have to use Amazon AWS cloud computers on QuantGo's platform. Very affordable if you are can/willing to work with virtual cloud computers lastly Barchartmarketdata.com They have quite a large data set, they have been collecting Futures data for over 50+ years. Also they have Options and some Equity. For Futures data they have a great reputation.
www.quantopian.com will allow you to test on their platform. www.tickstory.com has free cfd sp500 tickdata.
Have you actually used QuantGo? I've sent 3 requests via the webform and called them twice ... no reply.
10 ticks up/down is level 2 quotes and I have not found or heard of anything different other than block position holders you can research through the CME.
Yes we used TickData.com for all of our research. They have really high quality data, and its cheap in comparison to other vendors. Our of interest, are you trying to implement the dollar / volume and information driven bars? Hence the need for tick data and volume? If so we are working on a python package to implement these techniques: mlfinlab
Quick question about TickData.com: unlike some vendors like AlgoSeek, they split Trades and Quotes apart in their Level 1 data, and the timestamps aren't consistent with one another (e.g. there are moves in the order book that appear timestamped before the associated trade). How do you deal with that?