RE: [amibroker] Tick count on es

[Rajiv Arya <rajivarya87@xxxxxxxxxxx>]

Hi Jules,
 
 Try the CME website, I believe they have a time and sale history that can be downloaded.
Also if you use Interactive broker they have a tick count per bar that can be queried in the API.
 
Rajiv
 

---

To: amibroker@xxxxxxxxxxxxxxx
From: jooleanl@xxxxxxxxxxx
Date: Mon, 5 Oct 2009 14:13:07 +0000
Subject: [amibroker] Tick count on es

 

Can anyone tell me what an average and high tick count per day is on the es eminis, and what is the average number of ticks for the life of a contract?
Also if anyone's got it, what is the average number of bid/ask messages to trade ratio. E.g. The SFE Spi averages about 15k ticks per day and has around twice as many bid/ask messages as trades.

I don't have the es instrument but want to get an idea of the amount of data involved to performance test a plugin.

Thanks,
Jules.

---

Hotmail: Free, trusted and rich email service. Get it now.

__._,_.___

**** IMPORTANT PLEASE READ ****
This group is for the discussion between users only.
This is *NOT* technical support channel.

TO GET TECHNICAL SUPPORT send an e-mail directly to
SUPPORT {at} amibroker.com

TO SUBMIT SUGGESTIONS please use FEEDBACK CENTER at
http://www.amibroker.com/feedback/
(submissions sent via other channels won't be considered)

For NEW RELEASE ANNOUNCEMENTS and other news always check DEVLOG:
http://www.amibroker.com/devlog/

Your email settings: Individual Email|Traditional
Change settings via the Web (Yahoo! ID required)
Change settings via email: Switch delivery to Daily Digest | Switch to Fully Featured
Visit Your Group | Yahoo! Groups Terms of Use | Unsubscribe

__,_._,___