Need Historic Data

Can anybody recommend a data vendor who sells ASCII files with bid/ask data plus bid/ask sizes ("bidbook") and executions with execution sizes ("time and sales")? I am specifically interested in the major e-minis, ES, NQ, ER2, etc.

Thanks.
 
Quote from squeeze:

dChang0

www.tickplusdata.com has level 1 quote + qsize + transaction data for these contracts.

If you are looking for level2 order book rebuild then this might be hard to find.
More...

Awesome. I *may* be looking for Level 2 orderbook, but I don't know yet. "Level 1 & Quote Size" appears to be exactly what I need for now. Thanks for the tip!
 
Quote from metooxx:

Only source is private trading companies; who might sell it starting in the 7 figure category ...
More...


Do you actually think that people will start selling historic option tick data at those prices?

It doesn't seem like even the big banks with prop desks and limitless resources have this type of data. You would think that the electronic market makers would have this data, but I haven't been able to find it yet.

Is there even a market for this type of stuff? Does anyone have the capabilities to effectively trade using that much data?
 
Quote from Sparohok:

How about historic options end-of-day data going back a few years?

Martin
More...

I found a couple of source for options end-of-day data:

http://www.prophet.net/satellites/marketData/cdrom/index.jsp
http://www.csidata.com/data/options/index.html

I haven't bought either of these, but I would probably choose prophet over csi.

I also found that TradeStation 8 provides 30 days of tick, as well as 1 minute and daily data since each currently traded option started. I think this is of limited use, but better than nothing:

http://www.tradestation.com/strategy_testing/hist_market_data.shtm#OptionsData


I'm still looking for more historic stock option tick data...
 
I've got options T&S for the top 10 or so stocks in the NDX (by weight), plus some others (like QQQ, GE, etc.). This is tick-by-tick, both quotes and prints, for a handful of OTM, ATM, and ITM options and the underlying, from each exchange, from around June 2000 through March 2002.

It's in text format, as downloaded from myTrack every day (with a few holes).

Some other things I have for roughly the same time frame:

- EOD bid/ask/last/volume/OI for the whole chain for (I think) most of the SPX, MID, SML, and NDX components;

- NYSE closing imbalances for (2002-06 through 2002-12);

- 1-second snapshots of QQQ, NDX, NQ, and QQV (2000-08 through 2002-03);


For a fee, I'd be willing to document, translate into a user-specified format, put on media, etc. Please PM or email if interested.
 
You must log in or register to reply here.
Back
Top