CME Historical Data with Trade Aggressor Info

Neilsome

Neilsome

Hello Folks,

Do you know of historical time & sales data provider for CME futures (ES) who also provide aggressor side info (e.g. Buy or Sell) with each trade (and hopefully aren't very expensive)?

I currently use DTN IQFeed but they don't provide this info in their historical data (similar to many other top Google results)

Thanks!
 
Neilsome said:
Hello Folks,

Do you know of historical time & sales data provider for CME futures (ES) who also provide aggressor side info (e.g. Buy or Sell) with each trade (and hopefully aren't very expensive)?

I currently use DTN IQFeed but they don't provide this info in their historical data (similar to many other top Google results)

Thanks!
More...

IMHO:

It may be quite difficult to find such a data provider.

Most non-expensive data feeds would filter out the "aggressor side" tag:

https://www.sierrachart.com/SupportBoard.php?PostID=48344#P48344

Sierra Chart Real-Time Feed and CTS feed are two exceptions. Unfortunately, I am not aware of any software that would store the "aggressor side" info from any of these data feeds as historical data.

Please let me know, if you find one.
 
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Thanks for the reply @moonmist

Maybe the data providers' data models are archaic/non-extensible so this feature is difficult to implement?
I really fail to understand why aggressor info is such an issue with all the historical data providers.

Hopefully someone will come along and let us know of a data provider who does have this bit of info.
 
Yes, data providers are light years behind the evolution. But it's mostly due to the fact that 99% of their customers don't care or don't know how to use it. Not sure if it matters, but probably in 99% of the cases you can infer from the quote data who the aggressor was. I would like to know who, in addition to this info, also provides order count in depth data (other than dma feed).
 
Hi @jelite

I know aggressor side can be estimated by comparing trade price to bid/ask but am not entirely sure of the probability of correctness of this method.
 
Hello Folks, Do you know of historical time & sales data provider for CME futures (ES) who also provide aggressor side info (e.g. Buy or Sell) with each trade (and hopefully aren't very expensive)? I currently use DTN IQFeed but they don't provide this info in their historical data (similar to many other top Google results) Thanks!...
 
I haven't analyzed ES but in general I haven't found a good use for the aggressor tag. Any estimation you make WILL differ significantly from the actual tag. And sometimes the tag doesn't make much sense and sometimes it's null. Depending on what you are trying to measure, I've found a "low frequency" measure of aggression to be more useful.

Participant number is useful. I've been pressing CME to move to a full order book feed. Others have been too. If ever that happens maybe vendors will finally step up.
 
garachen said:
I haven't analyzed ES but in general I haven't found a good use for the aggressor tag. Any estimation you make WILL differ significantly from the actual tag. And sometimes the tag doesn't make much sense and sometimes it's null. Depending on what you are trying to measure, I've found a "low frequency" measure of aggression to be more useful.

Participant number is useful. I've been pressing CME to move to a full order book feed. Others have been too. If ever that happens maybe vendors will finally step up.
More...

Estimation accuracy will depend on several factors. If you get a full feed (all quotes), it should be true in majority of cases that trades at current best bid/ask were coinciding with aggressor flag sell/buy. This will be true on ES in particular. Some other instruments that are less liquid will sometimes have trades between best bid/ask where it's not obvious who the aggressor was. Also, implied trades will have no aggressor flag -but in those it doesn't make much sense to look for the aggressor in one of the leg instruments. In any case, similarly to garachen, I don't think it really helps much to know it even if you could.

Garachen, do you mean participant number to be number of orders sitting at each depth level? Unfortunately, I think it will take years for retail feeds to provide this if ever. What do you mean by 'pressing CME to move to a full order book feed', could you elaborate?
 
Hi @garachen, thanks for replying to my post!

I agree that the estimation will differ from the actual tag (maybe less so for very liquid futures like ES, as @jelite also pointed out).
I also want to add that I wasn't able to significantly improve my "edge" with the aggressor tag alone, so I assumed my estimations weren't very noise-free.

BTW by "low frequency" do you mean aggression at a larger scale? Thanks again!
 
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