Acquiring and Using Historical Tick Data

[method 10]

Hey there, I need some historical data for the DJ Eurostoxx for backtesting purposes.

 

Data from as far back as possible would be excellent. I've googled some tick data vendors and two prominent ones appear to be http://www.regisdata.co.uk and http://www.tickdata.com.

 

Has anyone here had any experience with any of these vendors?

The only major difference between the two is that the former only seems to offer data from 2003 onwards, whereas the latter seems to have data from as far back as 1999. I'm not really concerned about the cost unless it costs something like 40 euros per month which is what EUREX charges!!

 

After I obtain this data, how do I use it with a charting platform like Ninjatrader? Do I have to convert it?

 

As you can see I'm new to this backtesting business and any help would be appreciated.

 

Cheers

Eric

[Soultrader 12]

Might want to take a look at this also: https://www.cqgdatafactory.com/

 

Why dont you just subscribe to the exchange through your data provider? You are always going to have to purchase data as you will not be receiving real-time datafeed.

[method 10]

Well I'm using OEC demo right now and their eurex data only goes back a few weeks.

 

Also, I'm thinking of opening an account at infinity but apparently Sierra charts can't offer historical intra eurex data for some reason? I'm not sure if this problem exists if you use transact datafeed though.

 

thanks

[Soultrader 12]

Well I'm using OEC demo right now and their eurex data only goes back a few weeks.

 

Also, I'm thinking of opening an account at infinity but apparently Sierra charts can't offer historical intra eurex data for some reason? I'm not sure if this problem exists if you use transact datafeed though.

 

thanks

 

Transact could be an option and pretty cost effective. What about esignal? I think you want to make sure that the datafeed you receive is clean and precise. If you are backtesting a strategy with wrong data, it can lead to disastrous outcomes. So make sure that data provider you decide on is reliable. For example, esignal is known for poor data quality so i personally can not recommend it. Reuters feed as well is not too good as they do not fix bad ticks right away. Maybe good to have two data providers?

[method 10]

Hmm yes I'll think about that.

 

When I get the tick data, how do I convert it so that I can see it in a charting program like ninjatrader?

 

TickData says they bundle all their orders with TickWrite software, which writes a variety of ASCII formats. I gather NT can read one of these formats?

 

thanks

[method 10]

Alright I have purchased tick data and now I need a charting platform, preferably free.

 

I tried Metastock EOD but it it doesn't chart intra day data, only EOD and above. I don't think the Pro version is worth forking out hundreds of dollars for.

 

I've tried NT, but it seems it's quite picky when it comes to data formatting and it only accepts tick data spaced between semi colons only. My tick data program, however, only produces data output with commas or colons!

 

Are there any other options out there? I don't need any complicated indicators, just candlesticks, MACD and ema....

 

cheers

[BlowFish 10]

You could probably run the data through excel to re-format it. Surprised NT requires ; 'standard' delimiters are usually a space or comma.

[janus 10]

Investor RT from linnsoft allows importing Tickdata.com's tick data. I am assuming here that you purchased the data from Tickdata.com.

[method 10]

Yes janus, you're correct

 

Quick and prompt service too, you get what you pay for I suppose.

 

I'll look into Investor RT.

 

Blowfish, how would you run this data through excel? Is there a step by step method available?

 

Much appreciated,

Eric.

[BlowFish 10]

No, you simply use the import and export options to manipulate the data. In the past I have also used a word processor to read a text file, done a search and replace and re-saved it. A bit of a kludge but are possible options.

[tangenttrader 10]

you can try HISTORICAL STOCK DATA | OHLC DATA they seem to have tick data.