When you purchase data it comes with software called TickWrite7. You can set the time stamp to the desired time zone, so all you need to do is adjust it.
Tick Data Source?
- Thread starter PennySnatch
- Start date
When you purchase data it comes with software called TickWrite7. You can set the time stamp to the desired time zone, so all you need to do is adjust it.
Sorry, what I meant was, if you look at the futures sample on the website (ES, I believe), and attempt to "merge" the Trades and the Quotes by timestamp, it's impossible to do so perfectly, as there are changes in the order book that appear at a timestamp prior to the associated trades.
For example, the opening trade of 1,436 ESU13 contracts @ 1640.25 appears to happen in the ES_Orders.csv file instantaneously @ 17:00:00.095 (tick 2 to tick 3), whereas the ES_Trades.csv file (ticks 1 to 258) has the trades split between timestamp 17:00:00.083 and 17:00:00.101. It doesn't make sense that the order book change would be timestamped before the second timestamp in the trades.
Having seen that in the TickData.com sample for futures (where this shouldn't happen), I'm not sure how anyone would recreate trade aggressor algorithms against the top of the book. But if your comment was that TickWrite fixes this and merges the two, then no issues.
I think the best thing to do would be to reach out to their support and ask them directly. The lady I spoke to was Dorraine Burrell. I would be surprised if their data were dirty in this regard.
If it is still a problem, please do let us know. It's certainly a noteworthy point.
Sorry just saw this post. Are you still in need of data? I have over 20 years of most Futures data in ascii format and 5 years plus of CGQ.
No, but thank you for replying to my post.
