Firstratedata quality

M

mikkom

Hello,

I'm looking for 1 minute (second resolution would be even better) data set for futures strategy backtesting. Firstrate data seems like an obvious choice from the price perspective.

I didn't find any information about their data quality anywhere, has anyone done any comparisons to industry standard databases / actual prices?

Besides the futures data, I would also be interested in how good quality the equity data is.

Thank you in advance!
 
Algoseek is a solid choice. Their 1 minute intraday futures data is top-notch and affordable. It's also provided "as is" and survivorship bias free. This makes it quite good for backtesting.
 
Algoseek is about $550 per 10 years of data for single symbol while firstratedata is 200 euros for 70 futures contracts since 2006.

There is no survivorship bias in futures

The price point was the main reason I want to know specifically about firstratedata (unless you specfically know of other options on lower end of the range ie. max 500-1000 euros for a minute/1 second level history for major contracts for at least 10 years)
 
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Okay I ordered the dataset. Lots of the data seems to be okay (I don't have another high quality dataset so I can't cross-validate) but there are points where there is missing and/or invalid data. Some examples attached. (The charts may be a bit messy as they contain some of my proprietary stuff but the candles are candles..) also dates are visible at the bottom.
missingdata1.png
missingdata2.png
missingdata3.png
 
Don't know the quality of FirstRateData, but regarding the screenshots above, I can remind that in March last year the market ran into price limits several times. This seems to be the case.
 
Thank you very much if this is true! Could someone verify if their data has the similar prices at 2020-03-18 or at monday 2020-03-16 -tuesday 2020-03-17 night
 
Checked my archive now, it looks like the truth. I have been using ANFutures data for backtesting for many years, they claim to provide historical data from CME directly.
 

Attachments

  • ES 1 min data Mar 16-19 2020 ANFutures.png
    ES 1 min data Mar 16-19 2020 ANFutures.png
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Hi guys, so does First rate data really sells bundle for 5000 stocks and ETF tickers with 10 years of depth? Did anyone purchase it?

I have a lot of US stock tickers for some years at tick resolution that I used to train my model. I am in high need of more data. Wanted to check if someone got more experience with it.

I could compare it with mine if someone has access.
 
I got the Firstratedata intraday stocks bundle. Benchmarked the last 4 years versus my company's reference dataset (which I think is tickdata.com aggregated bars) , matched very well and data back to 2010 looks robust. Haven't tried their futures data although will probably use that next.
 
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