To All,
so I did pull off some .txt tick data from Sierra Charts for sep,dec23 and mar24 for ES
it took some time to figure out the procedure + the data file is still 2-4x the size of what it should be if the format was correct, they dump o,h,l,c,t,tv, + bid and ask data into that file making it much larger than it should be, the resulting file for one contract month was about 4+gb ( 3 months ) and I suppose if you delete all that redundant data columns and leave just date,time,close,vol,tradevol that would reduce the file size in half, still very large 2g file.
And how many platforms out there use tick data as the base of resolution for min charts ?
- unknown or not many.
Backtesting on tick data ? year right... maybe for 30 days and would take hours to compute.
Anyway, I decided to not use tick data ( an overkill and overload for the task ) and move to 1 second data base resolution, file sizes for same contract months went down to under 200mb, while price path information is good enough to model properly. So I pulled 1sec data off of Sierra Charts as well.
And researching just about all tick data providers, found the cheapest one to be $80 per year
for ES, straight from the exchange, which was ... tada!- CBOE DataShop, which surprised me a bit at the low price and the sample.
You know if those data shops would provide at least 1 month of free ES data for free they would attract more biz, but I found none of them do that, it's like they have some data but not ES, like they avoid it for some reason.
