Globex Time & Sales from CME

Quote from Mr Subliminal:

The CME has amended yesterday's gx031113 file to include NQ data. They didn't see fit to do this for the file of October 8 which also had NQ data missing, despite an email from me. (Sniff, sniff, I smell Eurex.)
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Hey thanks for bitching to the CME about the missing NQ data. I didn't notice the first issue until a week or so later and it was too late. I did notice it the second time and was about to complain myself but then saw it was fixed a day later.

It seems like the whole process at the CME needs some better programming so as to not introduce stupid errors like this. They had problems in 2001 with the data being cut off. All trades after some random time like 1:23 PM were missing from the file. I sent them an email back then but got no where.

Brutus
 
Hi guys,

I'm happy to read that CME is now sometimes reacting to complaints about missing data in T&S files. As I recall, this happend once in a while over the years. Never before did I ever succeed to have it corrected. So let's all be happy about this.

In all fairness, talking about Eurex though, you havn't seen anything yet. T&S seems to be some kind of an 'old country state secret' although you might think that the public has a right to know about what happened in markets supposedly 'supervised' by government agencies. Did any of you guys ever succeed in downloading even a day's worth of T&S from Eurex? Want to give it a try: http://www.eurexchange.com/index.html

So "Sniff, sniff, I smell Eurex" might mean that the US exchanges also could get infected with some more bad habits. In fact talking about T&S, CBOT is almost as bad as Eurex. You have to be a real fast mouse-clicker if you want to catch any of their T&S!

A GOOD example for data is the MATIF in Paris, France: http://www.matif.com/index3.htm. They keep everything online for free download, this for years back.

I think the US regulatory agencies should set minimum standards for this. We have a right to know!
 
This old thread used to be some kind of data exchange. Does anybody download the Globex time and sales data files for use in custom backtest apps?

I am missing all files from:

gx040304.zip -> gx040607.zip

As I recorded already from two datastreams, I wrongly decided to give up on CME T&S.

Could somebody help me with these? I may be able to help with earlier data.

Thanks,
nononsense
 
I downloaded the data since the beginning of this year, but a few of my data are missing. Would you mind sending me the following data ? Thanks.

gx040119.zip

gx040211.zip
gx040212.zip
gx040213.zip

gx040701.zip

gx040806.zip

gx041007.zip
gx041008.zip

gx041011.zip
gx041012.zip

Please send them to guest289@yahoo.com . The yahoo account should be able to hold 10 M per message and 100M for all messages.

Also I am planning to buy the ES data from disktrading. Any one has experience with them ?
 
Column 31 of the file layout is described as "cancel (X) or correction (C)". How exactly does this work and how do you deal with it when getting data ready for viewing and backtesting?
 
Quote from brokershopping:

Column 31 of the file layout is described as "cancel (X) or correction (C)". How exactly does this work and how do you deal with it when getting data ready for viewing and backtesting?
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Initially I could not find a single occurrence of an X or C in column 31, so I elected to ignore it.
 
bump..

My collection is consistent but does not go back all that far, really. Is there anyone able and willing to help out on this? I've been collecting all files from the /pub/gtime and the /pub/time directories but am mostly interested in the /pub/gtime (Globex) files.

Thanks.


Quote from brokershopping:

Column 31 of the file layout is described as "cancel (X) or correction (C)". How exactly does this work and how do you deal with it when getting data ready for viewing and backtesting?
More...

How this is handled has eluded me as of yet - anyone know?
 
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