Need Tick Volume Data ...any Ideas

[metamp 10]

I need some tick volume data ... how many price changes not how many shares or contracts traded

Can someone recommend a good source

 

thx

[laurus12 10]

What market are you going to trade?

 

-Laurus12

[metamp 10]

Index futures and stocks

so index tick volume or future contracts tick volume would be helpful

so far my only option is to sum the tick data

tick data isn't widely available or cheap

[2trade 10]

DTN or CQG both have this available as an API otherwise you can alsways go directly to the futures exchange for this data.

Stocks brokerage feed lightspeed API and they have experience with other data formating requests with there HFT experience.

 

Regards

2trade

[UrmaBlume 10]

Index futures and stocks

so index tick volume or future contracts tick volume would be helpful

so far my only option is to sum the tick data

tick data isn't widely available or cheap

 

You can get six months tick data in any format including; tick charts, tick bars, volume bars plust time and sales for any symbol with a basic subscription to TradeStation.

 

Almost none of the other data sources provide more than a few weeks of historical tick data.

 

TradeStation basic subscription comes with 6 mos tick data and 20 or more years for 1 minute data and up - plus exchange fees.

 

With the new TS 9.0 and the millisecond time stamp it is rumored that they will maintain a 1 yr tick data base available to all subscribers.

 

 

cheers

 

UB

[justtrade01 10]

You can get six months tick data in any format including; tick charts, tick bars, volume bars plust time and sales for any symbol with a basic subscription to TradeStation.

 

Almost none of the other data sources provide more than a few weeks of historical tick data.

 

TradeStation basic subscription comes with 6 mos tick data and 20 or more years for 1 minute data and up - plus exchange fees.

 

With the new TS 9.0 and the millisecond time stamp it is rumored that they will maintain a 1 yr tick data base available to all subscribers.

 

 

cheers

 

UB

 

UB please do not mind. But honestly, that sounds too good to be true.

[UrmaBlume 10]

UB please do not mind. But honestly, that sounds too good to be true.

 

All it will take is a check of the website:

 

Also they maintain continuous/perpetual data for most futures contracts even at the tick level of granularity.

 

Try getting 6 mos futures continuous tick data from any other data service or 10+ years of 1 minute futures, index or stock data. It comes with the platform all you have to do is add exchange fees.

 

Over 18 years of domestic intraday Equities data.

 

Up to six months of tick, intraday and daily Options data

 

Over 27 years of domestic intraday Futures data

 

Over 6 years of intraday Forex data

 

Over 9 years of Eurex Futures and Index Data

 

Over 5 years of German Stock Data

 

 

cheers

 

UrmaBlume

[estrader 10]

I need some tick volume data ... how many price changes not how many shares or contracts traded

Can someone recommend a good source

 

thx

 

 

 

Am I the only one who understands (misunderstands?) what you are asking for?

You don't want just ordinary tick data, you want price change data? I don't know of any company that provides this sort of information. You would have to capture it or figure it out for yourself, but I could be wrong. There may be some company that does this even though I think it's utterly useless data, although you must obviously have a need for it.

[UrmaBlume 10]

Am I the only one who understands (misunderstands?) what you are asking for?

You don't want just ordinary tick data, you want price change data? I don't know of any company that provides this sort of information. You would have to capture it or figure it out for yourself, but I could be wrong. There may be some company that does this even though I think it's utterly useless data, although you must obviously have a need for it.

 

I too think tick bars are entirely useless as they treat each transaction with equal weight regardless of whether it is for 1 contract or 1,000

 

However, I think he wants tick bar information, but no matter as the tick data from TS can be combined/downloaded/charted in almost any combination of formats; ticks/time and sales, tick bars, volume bars, range/tick bars, range/volume bars. These formats can include almost any combination of ticks, volume, price data or price range data.

 

 

UrmaBlume

[BlowFish 10]

Hey UB, do you know if they plan to offer historical best bid / best ask data (or at least flag trades that occurred at BB/BA)?

[UrmaBlume 10]

Hey UB, do you know if they plan to offer historical best bid / best ask data (or at least flag trades that occurred at BB/BA)?

 

I don't undersand. Doesn't every trade take place at either the best bid or best asked? What trade doesn't take place at either the top bid or bottom asked?

 

 

UB

[estrader 10]

I don't undersand. Doesn't every trade take place at either the best bid or best asked? What trade doesn't take place at either the top bid or bottom asked?

 

 

UB

 

1) Trades that occur inside the spread

2) Trades that occur above the best Ask

3) Trades that occur below best Bid.

 

I think BlowFish is asking for the best Bid/Ask to note where the last trade was filled.

[UrmaBlume 10]

1) Trades that occur inside the spread

2) Trades that occur above the best Ask

3) Trades that occur below best Bid.

I think BlowFish is asking for the best Bid/Ask to note where the last trade was filled.

 

In ES and other very liquid markets where the spread is 1 tick #1, #2 & #3 happen some small fraction of 1% of trades. IMHO as useless as tick bars.

 

UB

[estrader 10]

In ES and other very liquid markets where the spread is 1 tick #1, #2 & #3 happen some small fraction of 1% of trades. IMHO as useless as tick bars.

 

UB

 

It is strange that you say this because now you contradict yourself. Nothing should be considered useless when it comes to time and sales data. Do you think that 1000+ contracts traded outside/inside the spread isn't worth considering even if it happens <1% of the time?

[LS_Chad 10]

I added two new options to the Volume Breakdown indicator in Investor/RT 10.3.5, giving the user the ability to accumulate the number of bid/ask changes or price changes within each bar, and further the ability to accumulate those for entire session or chart.

 

Here is a chart (with definition) showing the per-bar bid/ask changes in the middle pane, and the accumulated bid/ask changes for the day session in the lower pane. According to chart, there were 2091 bid/ask changes during day session on Friday compared w/ 2697 on Thursday. By comparison (not shown) there were 14,875 price changes on Friday.

 

Images | ChartHub.com

 

 

Chad