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I've been looking for a quality historical tick data set for futures, cash
indicies and actively traded equities. The tick data must be actual time of
sale data - I can't use something that's been converted even to 1-min bars.
For futures and cash indicies I've looked at Tick Data, CSI Tick Futures
Data, Cisco Futures, Disk Trading LTD and Genesis Financial Data Services.
For equities, I've seen NYSE's TAQ database.
Could anyone comment on these various vendors. From what I've seen Tick Data
for futures and TAQ for equities look pretty good. Unfortunately, the TAQ
database is rather expensive at $200/mo. Are there any other vendors out
there that anyone can recommend that I haven't listed here?
Thanks in advance,
Mack Smith
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