i'm looking for 8+ years of tick data for ninjatrader.

rtw

rtw

regards to everyone,


i would appreciate if anyone has recommendations for data sets of historical tick data ready to import into ninjatrader.

i'm interested both in some individual nasdaq - nyse symbols as well as some nymex, cme, comex, cbot futures contracts.

i realize i will have to pay for this data as it is not possible to get 8+ years of reliable, quality historical tick data for free anywhere and i will appreciate if anyone can share their experience getting such data and/or recommendations for vendors. i have done some research on these fora but there are no recent posts about this subject.


very well, thanks, regards.
 
Depending on the data granularity you are looking for, there are several good options. I’m a university researcher, so if you or some institution you belong to has access to the WRDS database, you can get historical US stock tick-by-tick data for free. Just select “Daily TAQ” from the navigation bar. (This assumes you are using it with the appropriate license - we were using it for academic research so it was fine).

Otherwise, I had the best experience with AlgoSeek. The prices are lower than the other vendors we looked at, and their service was great with delivery that same week. If you are getting tick-by-tick for 8 years, it will probably be delivered by mail on hard-drives (the OPRA feed was almost 200TB for last year). If you get the OHLC minute bars, they deliver quickly via Amazon S3.

I caution against TickData. We went with them first since their website looks so professional. They took the money but never delivered. After wasting hours on the phone being told about unexpected delays and that they would send our data within a few hours, we finally acquired the data from other vendors. I asked for a refund and they refused, claiming they had sent it, even though neither my PI or the students I work with could find it. The university’s legal counsel got involved and sent them a letter which they ignored. The attorney said since the cost was relatively small (under 10k USD), it wasn’t cost effective for the university to pursue a lawsuit. We might report it to the Attorney General, but overall very disappointing.

Finally, if your needs are VERY basic, you might get away with the historical bar data from Interactive Brokers. But from your question, it seems like this won’t meet your needs.
 
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NeuralNet34,



thanks a lot for your extended reply.


i will take a look at algoseek and won't bother with tick data. i'm interested in tick by tick data for less than 40 individual symbols and 20 futures.


ninjatrader does provide 2 years of historical tick data for backtests on futures so i think i can work with this. regarding individual symbols, they only provide 6 months of historical tick data but i think i can make do even with this limitation as well.


very well, thanks again, regards.
 
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