2 questions:
1. I'm using volume bar charts and am wondering what kind of historical data I need to do backtesting. Some providers provide tick data back only a few months but provide intra-day (minute??) data back several years. Is intra-day data all I need to build a volume bar chart or is it actually tick data that I need?
2. Considering the answer from question 1, which are the best sources for historical data? I want to be able to build volume bar charts back to about year 2001 for most of the CBOT and CME futures contracts using continuous contract data.
Thanks for your help.
historical data source
- Marina Pashkova
- Posts: 2758
- Joined: 27 Jul 2007
Hello,
Volume bars are based on ticks, so you will have to have ticks for whatever period you need volume bars for.
As for the best data providers, you could compare them and make your choice using the info given in the table below:
http://www.tssupport.com/products/multi ... datasource
Volume bars are based on ticks, so you will have to have ticks for whatever period you need volume bars for.
As for the best data providers, you could compare them and make your choice using the info given in the table below:
http://www.tssupport.com/products/multi ... datasource
- Marina Pashkova
- Posts: 2758
- Joined: 27 Jul 2007