History Tick (& EOD) Data Source

[Carroll Slemaker <cslemaker1@xxxxxxxx>]

Robert Cummings asked about a source of tick data for S&P futures:

You can get complete, official, daily time-&-sales files directly from
the CME web (actually ftp) site, and it's  FREE!

As of today, 12/25, both time-&-sales files and volume-by-tick files are
available starting March 19, 1997 through the present.

Point your browser to http://www.cme.com/market/prices/ftp/ and click on
the desired link, either "Time & Sales" or "Volume by Tick".  Each of
these takes you to a list of downloadable zip files (I hope you have a
fast internet connection).  You will note that they also have various
other files of possible interest, including end-of-day data.

If you download any of the data files, be sure also to get the text file
which shows the formats of the data files.  It's usually at the end of
the file list.

Carroll Slemaker