Tick Data

[katnap]

I am in need of tick data that I can use for backtesting. My idea is to buy the data from someone, and then write a conversion program to transform it into one large eSignal tick playback file. Ideally, I'd like 2 years of data. Does anyone know where I might purchase such data, and if eSignal can handle a file that large?

Thanks,
Katrina.

[cyprian]

Tickdata.com

Check out tickdata.com if you want reliable tick data for lots of symbols.

I do not know if eSignal can use files from other vendors for backtesting and/or playback purposes. I'm sure other eSignal users are more knowledgeable about this.

However, I would NOT USE eSignal if you plan to use tick data!! See my post about "NQM4 Tick Data Not Consistent".

It is a bit longwinded, but you would do well to see that eSignal does not provide consistent tick data, nor do any of eSignal's synchronization fixes, by their own admission, address problems with tick data.

Better yet, do a test for yourself...

(1) Open up a tick chart with the symbol(s) you are interested in doing backtesting on.

(2) Use the "Tools | Data Export" menu selection to download the tick data from this chart.

(3) Repeat this process a day later. (I actually found discrepancies between downloads only hours apart.)

I bet you will find that the bars for the overlapping data in these two files will disagree significantly. (e.g. Downloading 10 days of historical data on 4/16 and then again on 4/17 will give you two versions of tick bars for 4/15. I bet that the tick bar vals for 4/15 will be different for the two different downloads you perform.)

Obviously, this makes backtesting and/or trading with eSignal tick data a sucker's game!! The historical tick data you are feeding to your indicators changes depending on when you log in to eSignal!!

This could indicate that you are receiving data from different servers... However, it is possible that the same eSignal tick server could have different data at different times. eSignal's representative has stopped responding to my posts that ask for clarification about this and other possible problems. Like I say, eSignal is not even attempting to address these problems with tick data. Their "synchronization fixes" only even attempt to fix problems with time-based bars using increments of 1 minute or greater.

I guess eSignal is taking the phrase "CAVEAT EMPTOR!" (BUYER BEWARE!) to next level! :-(

Braden