back testing volume data...

[bigdaddo]

Would anyone PLEASE happen to know where I can get VOLUME HISTORICAL DATA to backtest..

E-signal only has 90 days worth of HISTORICAL data on VOLUME....

No one seems to know when I call them, including Cisco...

If anyone can help, that would be great. I trade off of 3000 volume charts and I want to back test my system for the past 1-3 years..

Thank you...

[NinjaTrader_Dierk]

You would check for commercial data vendor like www.tickdata.com and import their data into NT.

[bigdaddo]

I very much appreciate your reply...

I just talked them. They can supply with tick data up to 5 years back. And they do have all the ticks...However, they don't have VOLUME data.

I can't believe that it is becoming a challenge to obtain this!

Would you, or anyone else happen to have any other ideas or know of a good data vendor that can give me that volume data?

Thanks again...

[NinjaTrader_Dierk]

Sorry, there surely are others out there but this is the only one which came to my mind. I suggest trying google.

[bigdaddo]

yeah, I tried google....

I just talked with Barchart.com, too. He said that the only volume they could provide me would be DAILY volume going back 3 years.... He didn't know if this would help me or not since I told him I was trading off of the 3000 volume charts.

Maybe he DOES have what I am looking for and just doesn't know it??

[MrBaffalo]

Best way get TBT from exchanges, it's for sure the only way to do that, this is not cheap and there is always a big amout of work to do on DB due to spikes and dips exchanges send w/o filtering
MB

[zoltran]

Hmmm
Doesn't NT form tick/volume/second/range bars from the same data?

So... if you have a normal 'tick' stream from someone like tick-data .... wouldn't that same data also create volume bars in NT?

[NinjaTrader_Dierk]

>> Doesn't NT form tick/volume/second/range bars from the same data?
That is correct