My First Futures System

[rdg]

Quote from Corey:

I found a pretty cheap data-set for s&p eminis for the last 10 years (only $30!) -- but it is minute bars, which means it would be impossible to create volume-bars, range-bars, or tick-bars. Nobody seems to offer historic level 2 quotes, unfortunately.

You don't need historic level 2 (market depth) data to create volume, range, or tick bars. All you need is tick data. I purchased data from anfutures and it is very good. I bought the 1 minute data set from them, so I can't comment on the quality of the tick data, but I believe it was taken directly from the old CME ftp site, so it should be accurate. It is also very inexpensive.

As an aside, CME does sell historic market depth data, but you can bet it's not going to be cheap.

 

[JimyJam]

Quote from Corey:

My next question would simply be what range, tick-scale, or volume amount to choose

Maybe you can find your answer here.

Why do people use Volume, Range and Tic charts?

JJ