Historical Tick Data

[alpha_hunt]

Hi all,

Looking for some historical tick data for futures. I Need millisecond time stamp. Need time and sales as well as market depth. If you have any idea where I can get this type of data please let me know, thanks.

 

[alpha_hunt]

Wow, looks like this was a tall order!

 

[rosy2]

did you even try searching?

http://www.cmegroup.com/market-data/datamine-historical-data/index.html

 

[NetTecture]

Quote from alpha_hunt:

Hi all,

Looking for some historical tick data for futures. I Need millisecond time stamp. Need time and sales as well as market depth. If you have any idea where I can get this type of data please let me know, thanks.

NxCore / Nanex, historical tapes.

Expect to pay. Like a lot. They do offer 25ms timestamp, all orders, bid, ask, level 2 etc. API only (i..e. you program against their service aplication. Data content in general is complete exchanges (i.e. EVERYTHING on a specific exchange).

 

[eugene@finemp]

If you need just ticks, I guess you can use eSignal or Ninja Trader and exports data. Level 2 and BID/ASK are provided in real-time only.

 

[gemini]

You may want to contact Trading Physics. They have historical full tick data on all major North American equity, option, futures markets.