historical bid/ask quotes

saminny · Sep 11, 2008

Hi,
We need to get historical market data for futures.

Some sites like
http://www.tickdata.com/html/available_data.shtml
provide only trades and volume.

But we need historical bid/ask quotes for the futures as well.

Do you know where we could find this data (going back to 2007) at economical rate?

thanks,
Sam

jeb9999 · Sep 11, 2008

The CME has book data (market depth and top of book) for sale, but you have to contact them for cost information.

See CME DataMine at http://www.cme.com/trading/dta/hist/datamine.html

saminny · Sep 11, 2008

Quote from jeb9999:

The CME has book data (market depth and top of book) for sale, but you have to contact them for cost information.

See CME DataMine at http://www.cme.com/trading/dta/hist/datamine.html

Yes, but we need data for futures trading on comex, nymex, cbot as well.

jeb9999 · Sep 11, 2008

Quote from saminny:

Yes, but we need data for futures trading on comex, nymex, cbot as well.

If you can't find the information on the exchange websites then call the exchanges and ask them. All the exchanges are in the data business and want your money.

Davdse · Sep 27, 2008

I find it incredible that only OpenTick used to have a somewhat usable service. CQG, for example, has a seemingly good service, but their time stamps have a minute granularity!

yshterk · Sep 27, 2008

https://www.cqgdatafactory.com/

Davdse · Sep 27, 2008

Quote from yshterk:

https://www.cqgdatafactory.com/

"tick-by-tick" data has a time granularity of one minute!

fluttrader · Sep 27, 2008

Any news from the exchange ?

yshterk · Sep 27, 2008

Quote from Davdse:

"tick-by-tick" data has a time granularity of one minute!

Call the CQG, they have the millisecond resolution for ticks as well as complete book changes with millisecond precision. It is just not available on-line.