Where can I find good intraday futures data at good price?

Discussion in 'Data Sets and Feeds' started by mizhael, Mar 7, 2011.

  1. Please give me some pointers!

    Thanks a lot!
  2. bone

    bone ET Sponsor

    Look, the cost for intraday futures data is passed through to the exchange. In fact, the real time data feeds account for 75% of my monthly charting package expenses - be it eSignal or CQG or whatever. CME and Eurex and whomever is getting that fee.

    So, if you want quality data that you could rely upon in terms of either risking capital or making a judgement about how timely or effective an indicator was on an intraday basis, then why the hell would you cheap out and not pay the $66 ?
  3. traderrn


    You can get them for free from Zen/NinjaTrader. Just open a sim acct with Mirus Futures or open a small trading acct with them if you want perm access to the data.
  4. Sadly that data is as crappy as it gets unless you record it real time (GOMRecorder indicator that writes teh data out, or your own) because someone at Ninja made the decision to store:

    * Bid / Ask and Trades in separate streams
    * With second granularity

    So, when you export the data (or to playback) you can not get the original sequence back (only bid/ask and trades separately). You can not even get sub-second timestamps back. now, we can all talk about millisecond being useless practically for most things, but a second is a LOT of time.

    One of many very smart decisions they made.
  5. bone

    bone ET Sponsor

    It stands to reason that this is one place where being cheap is a really poor decision.
  6. Your best source would be opening a trading account with brokers that offer charting for free or import for free/small fee into a 3rd party charting software. However, you aren't going to have too much bells&whistles (e.g. no backtesting capabilities) with such but you will have data which is what you specifically asked about.