Historical Intraday (1 minute) NQ data

G

Gasparov

I've read through several threads here that suggest various locations to purchase the data for futures. I also heard that NinjaTrader allows you to access and export historical futures data from their platform, so I don't understand why people don't just do that instead of buying the data. Is there something wrong with the data from NT that makes buying it for thousands of dollars worthwhile? What am I missing?

I use TDAmeritrade for my charts and they don't let me export chart data, and end of day data is not enough for me. I don't need it tick by tick (though that might be beneficial) and having 1 minute data would be enough because you can easily create the higher time frames from that.

Does anyone have NinjaTrader and is willing to simply export 1 minute data for me to backtest with? Is this illegal, because I don't understand why it's been so hard to locate free or cheap data. I found this website offering NQ futures data from 2007, and it's $9 for the 1 minute data. At first, I thought "this can't be legit, all those big name sites like Quant sell it for thousands", but according to what I hear about NT allowing exporting as much as you want, it sounds like this is more reasonably priced, saving someone the hassle of creating an account at NT essentially.

Please correct me if I'm wrong and I would appreciate any help.
 
Yes you can get 1min data for free or at low cost pretty easily. As you manage more money, you need to write complex execution scripts that will require you to buy expensive data. If all you do is manage your money and a few friends', it's unlikely you'll need expensive data unless you do HFT (not necessarily UHFT, so anything above 50 trades a day).

For example, if you design a strategy that buys for some reason, is it a good idea to buy market ? or should it be better to buy limit and save a tick ? if you save a tick on every entry and exit, that ends up being a lot.... the answer to that question requires you to have quotes and lasts, and that should be unfiltered data.
 
wintergasp said:
Yes you can get 1min data for free or at low cost pretty easily. As you manage more money, you need to write complex execution scripts that will require you to buy expensive data. If all you do is manage your money and a few friends', it's unlikely you'll need expensive data unless you do HFT (not necessarily UHFT, so anything above 50 trades a day).

For example, if you design a strategy that buys for some reason, is it a good idea to buy market ? or should it be better to buy limit and save a tick ? if you save a tick on every entry and exit, that ends up being a lot.... the answer to that question requires you to have quotes and lasts, and that should be unfiltered data.
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I definitely see the reason to have the more extensive data for HFT, because ticks really add up there. I planned on first testing strategies that use 1/5/10/15 minute patterns and so the ticks wouldn't make much of a difference. But thank you for confirming my thoughts nonetheless. There should be a free service somewhere that lets users specify their time frame and dates and just download the data directly from the site. With so many traders using NT and other brokers that probably offer the same data, I'm surprised it doesn't exist.
 
Gasparov said:
I definitely see the reason to have the more extensive data for HFT, because ticks really add up there. I planned on first testing strategies that use 1/5/10/15 minute patterns and so the ticks wouldn't make much of a difference. But thank you for confirming my thoughts nonetheless. There should be a free service somewhere that lets users specify their time frame and dates and just download the data directly from the site. With so many traders using NT and other brokers that probably offer the same data, I'm surprised it doesn't exist.
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This is due to limitation in the licence granted by the exchanges. NT / TS is great but once that you've back-tested your systems once, you want it to be backtested every day automatically and receive the results by e-mail (for example), so you need some kind of API. And that's another time when you want paid access, as most providers offer APIs or FTP access.
 
Use the Market Replay Downloader.It has as far as 3 or 4 years back data + L2 data.And it costs 6 bucks per month only.Is it too much for you?
 
I will try it fordewind, it's not too much at $6/month but if it's not complete it wouldn't be good enough. I'd like to know if anyone knows how complete it is or a better place to get it.

Also, has anyone tried http://eoddata.com/products/default.aspx? They have a $30/month subscription and offer 1 minute data but again, I'd like to make sure it is complete.
 
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Just saw it some days ago:
pistolpt said:
A little off topic I believe.
Does anyone know of any cheap places to get the minute data for the overnight sessions? I saw ANFutures and that seems to be reasonable. $96. I don't have subscriptions anywhere. But even a cheap one month subscription where I could download that data would work.
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Have no experience with, but looks good enough.
 
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