Historical futures tick data sources?

[bluelou]

This question is directed as much to other NT users as it is to NT itself. Where the heck can I buy historical futures tick data that is in NT's semi-colon delimited format? Does anyone else in the world use this format other than NT?

I'm looking for about 6 months to 1 year's worth of tick data (Time & Sales) on about 20 U.S futures contracts.

Here's where I've checked so far:
1) TTFIX feed. This can't be used since it's T&S + BBBO + other junk and these items can't be seperated.
2) OpenTick - this data was so corrupted that it was worthless
3) CQG DataFactory - they wanted a $5000 minimum order b/c users have had problems with NT's format and it would require programming time.
4) CME Datamine - Very expensive at $500+/ct/yr and the format is .csv. I haven't called them yet to see if they could create a custom run for NT's format.
5) TickData - a) I don't like the filtered data product, b) their TickWrite s/w doesn't support NT's format.


Thank you in advance for your help,
Lou

[NinjaTrader_Ben]

Hello,


I would contact these data providers first:

http://www.ninjatrader-support.com/HelpGuideV6/HistoricalData.html

Then do an internet search. I do not have any other sources. Perhaps some other NinjaTrader users have some suggestions.

[bluelou]

Ben,
I've already done that. The providers on the link you sent either 1) don't sell historical data, 2) offer only a few days worth of data, or 3) I've already mentioned them in my previous post.

Other than the link you've attached do you or does anyone else know of a single firm that sells historical futures T&S tick data in the NT semi-colon delimited format?

Isn't this bordering on the absurd for a trading platform? The required NT data format is so unique that apparently no firm sells tick data that is compatible with it.

-Lou

[NinjaTrader_Dierk]

a) as last resort you could contact a certified NinjaScript consultant who would convert the data for you: http://www.ninjatrader.com/webnew/pa...injaScript.htm
b) NT7 will come with a more flexible import tool

[bluelou]

Dierk,
I think a), a custom programming job is the only solution until NT7 is available. Do you know of anyone from the link you've attached that has created a data conversion utility?

FWIW, given a choice, if I can get someone to program the conversion to the NT format, I'd probably go with CQG DataFactory since it's about 1/4th the price of buying straight from the CME.

Thank you for the suggestion,
Lou

[NinjaTrader_Dierk]

>> Do you know of anyone from the link you've attached that has created a data conversion utility?
Unfortunately I don't know, but data conversion likely could be done by any of them.

[JangoFolly]

Dierk,
I think a), a custom programming job is the only solution until NT7 is available. Do you know of anyone from the link you've attached that has created a data conversion utility?

FWIW, given a choice, if I can get someone to program the conversion to the NT format, I'd probably go with CQG DataFactory since it's about 1/4th the price of buying straight from the CME.

Thank you for the suggestion,
Lou

Lou,

You might also check out http://www.regisdata.co.uk/tickdata.htm and http://www.tickdatamarket.com (I have no affiliation with either company).

If you're able to get the data you want but its layout doesn't match what NT requires, PM me and I will reformat the files for you (no charge).


Regards,

JF

[bluelou]

JF,
Thanks for the offer but I'm going to pay someone to create a file conversion utility. Also, I'm not too keen on sharing data that I've just purchased. Thx for the offer though.

-Lou

[JangoFolly]

JF,
Thanks for the offer but I'm going to pay someone to create a file conversion utility. Also, I'm not too keen on sharing data that I've just purchased. Thx for the offer though.

-Lou

No problem. Good luck.