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I looked around for various intra-day data sets a few months ago.
At that time, the data vendor with the most coherent and complete "data
catalog" was clearly CQG. From the CQG home page (www.cqg.com) go to
PRODUCTS and then to "Data Factory".
There are, however, a few issues with getting intra-day tick from CQG for
use with Tradestation:
- The CQG intra-day tick data contains Bids and Asks as well as other
"transaction types" which must be deleted from the data set before using it
with TS.
- The CQG time stamp is the minute number that the bar begins to form.
In TS, the time stamp is the minute number that the bar closes.
- For overnight sessions, the date on the transaction is the close date
of the session. And since the Globex close date for CME data at least is
the following day, the date stamp must be adjusted back a day for all those
timestamps before midnight.
I've just about finished developing a process to make these adjustments
automatically.
Steven Buss
sbuss@xxxxxxxxxxx
Walnut Creek, CA, USA
-----Original Message-----
From: mr_bond@xxxxxx <mr_bond@xxxxxx>
To: omega-list@xxxxxxxxxx <omega-list@xxxxxxxxxx>
Date: Tuesday, September 29, 1998 8:36 AM
Subject: Where to find rare data?
>Hi all,
>
>I have looked all over for some historical 1 minute data for TIKI (Dow
>net ticks) to no avail. My current data provider only has data going
>back a couple of days. Some real time data providers have it -- if you
>are one of their customers and have their software, however I am already
>set up with my data provider. Does anyone have any idea where I can
>purchase this data, preferably in ascii format. Alternately, can anyone
>on the list sell it to me?
>
>Thanks a lot,
>
>Dave
>
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