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PureBytes Links
Trading Reference Links
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Thanks Rajiv,
I found some samples on the CME website.
Jules.
--- In amibroker@xxxxxxxxxxxxxxx, Rajiv Arya <rajivarya87@xxx> wrote:
>
>
> Hi Jules,
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>
> 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.
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> Rajiv
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> To: amibroker@xxxxxxxxxxxxxxx
> From: jooleanl@xxx
> 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.
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> _________________________________________________________________
> Hotmail: Free, trusted and rich email service.
> http://clk.atdmt.com/GBL/go/171222984/direct/01/
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