Pinnacle is ok but nothing spectacular. The volume data seems totally wrong from checks with other sources I've done. The data itself isn't the raw data so if you plan on using it in real trading you'll be disappointed. Since it comes as continuous contracts there's no planning for rollovers and you have to manually do the work to figure out if limit days are being hit. There are no flags in the data to help. Also, you can't do any work with price levels like "if corn hits $1.75 per-bushel buy at the market". You may also have to figure out how to deal with negative prices if you do the backadjusted method. In short I use pinnacle for some data analysis because it's easy to work with. The daily price differences seem ok as compared to a provider like csi. For real trade entry and testing it's better to get 3 or more sources and run the models against all of them to avoid problems from one supplier.
acrary, Argh. Thanks much for the response, but that's just what I didn't want to read. Volume is central to my trading methodology. I am thoroughly perplexed by futures data and have started a thread hoping to get some answers. I'd be most interested in your thoughts. Here's a link: http://www.elitetrader.com/vb/showthread.php?s=&threadid=32741 Thanks, H