Jump to content

Welcome to the new Traders Laboratory! Please bear with us as we finish the migration over the next few days. If you find any issues, want to leave feedback, get in touch with us, or offer suggestions please post to the Support forum here.

  • Welcome Guests

    Welcome. You are currently viewing the forum as a guest which does not give you access to all the great features at Traders Laboratory such as interacting with members, access to all forums, downloading attachments, and eligibility to win free giveaways. Registration is fast, simple and absolutely free. Create a FREE Traders Laboratory account here.

metamp

Need Tick Volume Data ...any Ideas

Recommended Posts

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

Share this post


Link to post
Share on other sites

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

Share this post


Link to post
Share on other sites
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

Share this post


Link to post
Share on other sites
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.

Share this post


Link to post
Share on other sites
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

Share this post


Link to post
Share on other sites
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.

Share this post


Link to post
Share on other sites
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

Share this post


Link to post
Share on other sites
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

Share this post


Link to post
Share on other sites
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.

Share this post


Link to post
Share on other sites
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

Share this post


Link to post
Share on other sites
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?

Share this post


Link to post
Share on other sites

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

 

BidChanges.png

 

Chad

Share this post


Link to post
Share on other sites

Join the conversation

You can post now and register later. If you have an account, sign in now to post with your account.
Note: Your post will require moderator approval before it will be visible.

Guest
Reply to this topic...

×   Pasted as rich text.   Paste as plain text instead

  Only 75 emoji are allowed.

×   Your link has been automatically embedded.   Display as a link instead

×   Your previous content has been restored.   Clear editor

×   You cannot paste images directly. Upload or insert images from URL.


  • Topics

  • Posts

    • MNST Monster Beverage stock, top of range breakout above 60.45, from Stocks to Watch at https://stockconsultant.com/?MNST
    • ...hallucinates.... Student: “What if we gave the monkey LSD?” Guru: “The monkey already did LSD”
    • Question: To those that had/have cancer, what were the signs that made you think “something is not right here” to make you go see a doctor? Answer: So, 5/25/2018, I woke up, got ready for work, and as I walked to my car, I started gagging. Like something was stuck in my throat and I needed to clear it. And then it went away.   But 10 minutes after that, I was T-boned at 40mph on the driver side door. But what made me see a doctor was while my muscles felt better and bruises were going away, the gagging still continued, I started having fevers, my neck felt swollen, I was having such a hard time breathing, and I'd have random sharp pains in my chest, but not from where the seat belt saved me.   2 weeks after the accident, I finally see an urgent care doctor, who looks me over, tells me I'm fine, but luckily requests a neck X-ray. And I ask for a chest X-ray, which he rolls his eyes but let me have (most of my pain was in the neck, so I understand).   The very next day, he calls and says “So, that chest X-ray shows there's a 4 inch mass on your heart and lungs, and your lungs have been filling up with fluid, as well as in your pericardial (heart) wall. We need you to come in tomorrow.”   Turns out the big mass, due to the accident, caused my heart and lungs to tear and fill with fluid, the swollen neck and gagging was caused by 2 metastasized tumors, and the fevers and weight loss were symptoms. Stage 4b Hodgkin's Lymphoma.   But thankfully, we went very aggressive with chemo (and had a lot of bad side effects that don't normally happen to patients), and now I'm about 16 months cancer-free. Yay lucky X-rays! Rachel Jurina, Quora Source: https://www.quora.com/To-those-that-had-have-cancer-what-were-the-signs-that-made-you-think-something-is-not-right-here-to-make-you-go-see-a-doctor   Profits from free accurate cryptos signals: https://www.predictmag.com/  
    • As a man, the reality of life is the harshest part. I don’t mind looking older or becoming weaker over time; it’s nature.   Have you ever heard that the only people who will be loved unconditionally are women and children? Men will only be loved as long as they can provide until they are no longer needed. It doesn’t matter if you already did your best to get your kids to the best school or get the best things for them, if you stop before they’re done with it, there will be no thank you. The only thing they will remember is that they have to quit school at 15, ignoring all the previous 15 years of life you provided for them. The only people who will accept you, no matter what, are your parents. But in this situation, you might be that ungrateful child.   EDIT: Wow, I didn’t think this would get so much attention.   For those who disagree, I can only say that everyone has their problem. If you don’t get the chance to face such a thing, be grateful. Remember, sometimes what you throw in the garbage is something that someone wishes ever to have.” – ElZee, Quora   Profits from free accurate cryptos signals: https://www.predictmag.com/    
    • The good thing i had noticed so far is that the traderpot value is also on the rise..
×
×
  • Create New...

Important Information

By using this site, you agree to our Terms of Use.