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Hello all,
I just purchased 18 months of E-mini tick data from CISCO futures, and was
surprised to find that the volume field was not present in the data. I was
puzzled because the CME releases the volume on each trade for the e-mini in
real time, unlike with other futures contracts. Anyhow, I also contacted
CQG and Genesis, and they both indicated that their e-mini tick data does
not include volume either.
I am wondering if anyone has several months of e-mini tick data which
includes volume that I could purchase from them, since I can't find this
with any of the data vendors I know of? CISCO charges $3/month, and I'd be
willing to pay the same. Thanks.
Dave
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