Futures intraday bar(30min ish) data

StockBoss · Post by **StockBoss** » Thu Jun 21, 2012 12:24 pm

Hi all. I'm looking for intraday bar data for liquid index futures(ES, VG, GX, TP etc) for as long back as possible. We have a tick data base that can generate this for us at my shop, but it only has data for 2-3 years back, and the High and Low prints in the Bar data are too often unreliable.

Where is the best place to get reliable Open-High-Low-Close-Volume bar data for liquid futures? And what do you think is a fair price?

Thanks vm for your help.

jslade · Post by **jslade** » Fri Jun 22, 2012 6:30 am

Looking for something like this myself at present. The NP archives list tickdata and CQG as the two serious contenders. The consensus in the old threads seemed to be that CQG was better for futures, though that may have changed. Tickdata is cheaper. From looking around, I haven't found anything else that passes the sniff test.

mtatrader · Post by **mtatrader** » Fri Jun 22, 2012 10:24 am

Hi,

If budget is lacking (as in my own case doing this as a hobby!!) http://disktrading.is99.com/disktrading/ for some data.

Personally i have used this data and verified data points against the actual market. Its continuos futures setup (as in most active vol).

Unfortunatly doesnt have all index futures so maybe no good to yourself:

Indices:

$COMPQ NASDAQ Composite Index $compq.omz 1988 01/1997

$INDU Dow-Jones Industrial Average $indu.omz 1970 04/1998

$NDX NASDAQ 100 Index $ndx.omz 1990 02/1998

$OEX S&P 100 Index $oex.omz 1983 01/1997

$RUT Russell 2000 Index $rut.omz 1987 11/1997

$SPX S&P 500 Index $spx.omz 1970 11/1997

CR A0 CRB Index cra0.omz 1986 05/1997

DX A0 US Dollar Index dxa0.omz 1985 04/1998

LX A0 FTSE 100 Index lxa0.omz 1998 08/1998

MM A0 Major Market Index mmx0.omz 1997 02/1998

If you see anywhere with cash pricing for commodities let me know im looking for that!

Im sure if you email them they will give u a sample of there data so as u can verify before buying.

Im using this myself for Commodity futures 45 minutes imported using the 1 min as i read issues about actual tick data somewhere dont remember where. 1 min good enough for my own purpose....

StockBoss · Post by **StockBoss** » Fri Jun 22, 2012 10:57 am

Wow, how can disktrading be so cheap? Are the bars really reliable with Open-High-Low-Close? If so it must be the cheapest place to buy for instance E-minis historical intraday data.

What abt CQG vs Tickdata... Hear so many ppl are uber-bullish on CQG, but it seems they have higher price for the same data vs Tickdata. Anyone w experience?

mtatrader · Post by **mtatrader** » Fri Jun 22, 2012 11:27 am

I dont know how they can be so cheap. But then again i dont know how the others can be so expensive ! Literally what is needed to do this a decent API feed to tear down the data, however i guess there must be some restrictions on reselling data but then again i dont know and am no lawyer.

I have verified a random collection of the bar's personally (commodities) by taking my own feed (from interactive brokers) and then looking at there update service and plotting and checking, there was very little difference.

Some of the data is intrinsically wrong i do know that from parsing it out and having to correct it on an import. For my purposes it sufficed (not using tick tock data) (minute bars).

Luciender · Post by **Luciender** » Fri Jun 22, 2012 1:06 pm

eSignal is also very cheap - but intraday data only goes back ~5 years. Its about $50/month for the delayed data product (15 min. delay). The lowest resolution is 1 minute ohlc data, no ticks. I am using QCollector at the end of the week to update all CSV files, exporting from eSignal itself is painful for more than a few symbols. With QCollector its just a click to update all files.

jslade · Post by **jslade** » Sun Jun 24, 2012 7:21 am

Disktrading is OK for what they are (aka for retail trader types), but, like, what happens if you want to trade the spread? FWIIW, they do provide some Roll information here:

http://disktrading.com/Renames.zip

I did find some discrepancies with their data and things I know about, in particular with respect to volume numbers, but none of the problems were real recent.

FWIIW, I seem to recall they're based in Bulgaria (return address on the DVDs), which probably helps on the cheap front.

mtatrader · Post by **mtatrader** » Mon Jun 25, 2012 1:35 pm

Jslade recently looking at spreads myself and was interested to know where i would get that data. Any ideas ?

Luciender · Post by **Luciender** » Mon Jun 25, 2012 2:46 pm

You can download individual contract data with esignal and construct the spread yourself, as well as historic data of exchange-traded implied spreads (atleast from CME - not entirely sure about other exchanges).

jslade · Post by **jslade** » Mon Jun 25, 2012 10:30 pm

Tickdata and CQG provide individual contracts. If you can make do with daily, a lot of people say nice things about CSI.

http://www.csidata.com/

Edit add: I'll add some nice things about CSI myself. Very broad data coverage; cheap too (in particular right now: there is a sale on). I'm assuming they're close to gold standard for daily data.