I need ticks rough data of futures for playing with Machine Learning algorithms. Obviously, for each trade I need the timestamp possibly down to milliseconds, the price, the direction (buy or sell) and the volume exchanged. Since I am in trouble finding around, I tried to buy one month of ES from CQG. I spent 27$ (!!!) and they delivered the zip folder after 2 days (!!!!!!). When I gave a glance inside I couldn't find the direction of the trade. Is it possible? How could I calculate the CVD, VWAP and Delta Volume Profile without that simple 1 bit long information? Has somebody already worked with historical CQG data? Am I missing something?
Here is an extract of a data sample
F.US.EPZ22,20220531,0,215634788,416000,T,N,N,1
F.US.EPZ22,20220531,0,215634788,416350,A,N,N,1
F.US.EPZ22,20220531,0,215634824,415875,B,N,N,2
F.US.EPZ22,20220531,0,215651060,416250,A,N,N,1
F.US.EPZ22,20220531,0,215703016,415875,B,N,N,1
F.US.EPZ22,20220531,0,215703024,415900,B,N,N,1
and here is the explanation of the data model from CQG documentation
Each record contains eight data fields (nine data fields if you select trade volume). The fields are:
1. CQG Contract Name (6-14 characters)
2. Trade Date YYYYMMDD
3. Session Indicator 1 character – 0=First Session, 1= Second Session, 2=Third Session
4. Transaction Time (U.S. Central Time). For details please see section "Time resolution" below:
HHMM: HH - hour, MM - minute
or HHMMSSMMM: HH - hour, MM - minute, SS - second, MMM - millisecond
5. Transaction Price
6. Transaction Type 1 character – B=Bid, A=Ask, T= Trade, S=Settlement
7. Market Indicator 1 character – F=Fast Market, N=Normal Market
8. Transaction Correction Indicator 1 character – E=Exchange delete I=Insert F= CQG Filter delete N=Normal
9. Trade volume
Example:
1 2 3 4 5 6 7 8 9
F.US.CLEG10,20081210,0,0011,8856,A,N,N,1
Could anyone give any suggestions?
- Am I missing something that could allow at identifying the direction of trading (buy/sell) for "T" exchanges?
- Is there a way to have a subscription to CQG as data feeder through a broker to store and export the real time data and the 1 month historical data available with CQG including the trades directions?
- has anybody some months of ES and Natural Gas futures tick data with volumes and directions to share?
Thank you.
Here is an extract of a data sample
F.US.EPZ22,20220531,0,215634788,416000,T,N,N,1
F.US.EPZ22,20220531,0,215634788,416350,A,N,N,1
F.US.EPZ22,20220531,0,215634824,415875,B,N,N,2
F.US.EPZ22,20220531,0,215651060,416250,A,N,N,1
F.US.EPZ22,20220531,0,215703016,415875,B,N,N,1
F.US.EPZ22,20220531,0,215703024,415900,B,N,N,1
and here is the explanation of the data model from CQG documentation
Each record contains eight data fields (nine data fields if you select trade volume). The fields are:
1. CQG Contract Name (6-14 characters)
2. Trade Date YYYYMMDD
3. Session Indicator 1 character – 0=First Session, 1= Second Session, 2=Third Session
4. Transaction Time (U.S. Central Time). For details please see section "Time resolution" below:
HHMM: HH - hour, MM - minute
or HHMMSSMMM: HH - hour, MM - minute, SS - second, MMM - millisecond
5. Transaction Price
6. Transaction Type 1 character – B=Bid, A=Ask, T= Trade, S=Settlement
7. Market Indicator 1 character – F=Fast Market, N=Normal Market
8. Transaction Correction Indicator 1 character – E=Exchange delete I=Insert F= CQG Filter delete N=Normal
9. Trade volume
Example:
1 2 3 4 5 6 7 8 9
F.US.CLEG10,20081210,0,0011,8856,A,N,N,1
Could anyone give any suggestions?
- Am I missing something that could allow at identifying the direction of trading (buy/sell) for "T" exchanges?
- Is there a way to have a subscription to CQG as data feeder through a broker to store and export the real time data and the 1 month historical data available with CQG including the trades directions?
- has anybody some months of ES and Natural Gas futures tick data with volumes and directions to share?
Thank you.
