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I've been looking for affordable data sources of long-term historical tick data, T&S data, and level 2 data for backtesting purposes. I used to use eSignal which worked well, but it's tick data only goes for 10 days so it becomes very limiting for certain strategies. I know that tick data and...

Thank you for your recommendations.

Anyone know of a reasonably priced tick data source that goes back at least 1 year? It must have information that allows me to identify if the trade was at the bid or the ask. For example, eSignal has the correct data but only for 10 days. To backtest, I need more data than this. 1-Minute...

Main problem is, ESignal only provides last 10 days of data, and I've never found a data vendor for TAQ data over the long term.

More recent data: 050927 : B28% S70% 050928 : B30% S69% 050929 : B30% S69% 050930 : B29% S69% 051003 : B33% S66% 051004 : B30% S68% 051005 : B31% S68% 051006 : B27% S71% 051007 : B32% S66% Initial selloff was from 75-80% sell activity, but its now a bit lower at 65-70%. The price...

I am currently testing the accuracy of a simple indicator that is based on EOD quote and trade data from ESignal. This indicator is not for daytrading, but should be useful for longer time frames and predicting changes in trend. Very simply, is parses ESignal tick files (*.EPF) and compares...

I've been trying to perform strategy back-testing in Meta Trader 4.0, after attaching the expert advisor to the chart. However, the "strategy tester" option is disabled. Is this because you need the full version of the program (I heard it was free though)? This is the stand-alone version of the...

Insofar as I've read, it appears that most of the lock/cross of ECNs are due to the extra charge to take liquidity from the books. For instance, INET charges 0.3c/sh (I think) for taking liquidity. Because of this, the quoted price actually does not reflect the true share price. So, you might...

Here is a screenshot of my implementation of MBars compared to sale plots. It has a sensitivity of +/- $0.04.

I've noticed from extensive research that some sort of relationship exists between more buying than selling and vice versa, but what confuses me is that when measuring it in terms of either volume, weighted exponential volume, or number of transactions, nothing gives a clear indication of the...