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Where can i get historical tick data for CME/GLOBEX futures which would include BBO updates on bid/ask. The datacollector thread gathers only trade information (there is no data on changes of volume on best ask). Please advice on where to get such data?
Thank you.
Can you help answer these questions from other members on NexusFi?
I keep getting requests for people to share their GomRecorder data. A few threads have been started on the subject but not many are following thru it would seem.
I am collecting data from IQFeed via QCollector. All data contains bid/ask and is tick …
If you are referring to level 2 depth history, that isn't tick data and I don't know of anyone that sells the data or gives it away. I store it for personal use in my database, but it's incredibly large dataset. You can download some of it from NT Market Replay, and there are years of Market Replay data posted on nexusfi.com (formerly BMT) as well.
I would appreciate if you could share half a year of LVL2 data for ES, YM, ZN, CL for past half year? (I'm only looking for BBO updates, no need for whole depth)
Also, what DB do you use for these purposes? Have you considered using shared memory for optimizing the speed when dealing with huge amounts of data? What are your thoughts on this? Could you suggest how to design an optimal DB for purposes of collecting and then quickly accessing/backtesting LVL2 data?
So I've written several posts about this all over the place but I keep getting questions and PM's so it makes more sense for this to have its own thread.
First, I need to tell you that while I have no problem sharing a great deal, …
As for sharing my L2 data, I'd rather not. It is a massive data set, plus you have no way to import it into NT from me. You can get it from the other methods I suggested.