Tick Data For Research


Junior member
I am thinking of getting some tick data for research and I have been thinking of using eSignal as the charting package. However, I understand one cannot import data into eSignal and it only holds tick data for up to 30 days and you cannot accumulate the data through regular downloads. Is this right and are Tradestation and Metastock better? If so, which package is best as I will need to draw quite a few trend lines and may be a bit of programming to extract the info based on volume.

I think i will need tickdata(with volume and open interest info) for the Dow, S&P500 and Nq100(both cash and futures) going back at least 2-3 years so that I can select the right stuff dor analysis. I know people like www.tickdata.com selling such data but is there is free or cheaper source for download?



You'll need two things - a charting package with a local database for holding your accumulated tick data and a live data feed.

For charting packages with local databases you can use TradeStation 2000i (not TradeStation 7) or Metastock or whatever else people add to this thread.

For a live data feed you will need something like eSignal.

Which is best? Hmmm. I suppose it depends on how much you want to spend and what are your programming skills like. Personally, I would go for an eSignal -> TradeStation 2000i solution - it's probably the most expensive solution but there are tons of trading strategies and analysis programs already available on the web. Alternatively, many people take a cheap data feed, stick it into flat files and use VBA or the like to analyse them.



Junior member

How do you want to process the tickdata? Each single tick or compressed into, say, 1-minute bars?

Metastock has a limit of 65536 (power of 2) bars it can access in a single chart. In terms of ticks, this is too short a period to do backtesting.

I do not know about the other packages, but if you really want to analyze ticks, carefully check for any limitations.


Bernd Kuerbs

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