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I am trying to use tick data in my back testing and have discovered that Esignal tick data is unique. I've compared the tick data that I have downloaded from esignal to data which I purchased from the CME for Euro Futures and determined that the Esignal data has more ticks. When I researched this further and compared the exact same second of data I discovered that within any given second though the number of ticks from Esignal was greater, the total number of contracts was roughly the same. I asked the CME how this could happen, but they have no clue. Can someone please explain how the Esignal data could have more ticks? Also, since the esignal data is unique, I have been unable to find a vendor who could sell me the historical data. Does anyone know of a source for Esignal historical Tick data?
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Hi Snickers,
I believe this notice from Oct 2003 may explain what you're seeing.
In terms of re-sellers of eSignal Tick data, I'm not currently aware of any.
Hope this helps. Please let us know if you have any other questions.
Thanks.
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