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historical tick data with bid size and ask size


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historical tick data with bid size and ask size

  #1 (permalink)
 snusnufreak 
Moscow Russia
 
Experience: Intermediate
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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.

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  #3 (permalink)
 
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 Big Mike 
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snusnufreak View Post
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.

Historical tick data including BBO:


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.

Mike

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  #4 (permalink)
 snusnufreak 
Moscow Russia
 
Experience: Intermediate
Platform: NinjaTrader
Trading: futures
Posts: 127 since Apr 2012
Thanks Given: 44
Thanks Received: 53


Big Mike View Post
Historical tick data including BBO:


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.

Mike

Dear @Big Mike, I do reffer to LVL2 data.

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?

Thank You!

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  #5 (permalink)
 VasilyS 
Moscow, Russia
 
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Hello @Big Mike. Do you have full depth L2 data?

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  #6 (permalink)
 
Big Mike's Avatar
 Big Mike 
Manta, Ecuador
Site Administrator
Developer
Swing Trader
 
Experience: Advanced
Platform: Custom solution
Broker: IBKR
Trading: Stocks & Futures
Frequency: Every few days
Duration: Weeks
Posts: 50,396 since Jun 2009
Thanks Given: 33,172
Thanks Received: 101,533


snusnufreak View Post
Dear @Big Mike, I do reffer to LVL2 data.

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?

Thank You!

See my thread:



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.

Mike

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