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PureBytes Links
Trading Reference Links
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You can get the past several months of data from the CME FTP site. SP is in
/pub/time and ES is in /pub/gtime. I have not worked with it. The format
is in a text file in those directories called LAYOUT.TXT.
Kent
-----Original Message-----
From: Mr. Bond <mr_bond@xxxxxx>
To: Omega List <omega-list@xxxxxxxxxx>
Date: Tuesday, July 13, 1999 6:21 PM
Subject: intraday volume on the e-mini
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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