[metamp]

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]

What market are you going to trade?

-Laurus12

[metamp]

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]

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]

Originally Posted by metamp »

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]

Originally Posted by UrmaBlume »

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]

Originally Posted by justtrade01 »

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]

Originally Posted by metamp »

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.