Request Historical Data Downloads

[dabopz]

Looking for ES futures tick data, 4 years. For backtesting strategies.
Typically $500+ for high-resolution data!
Other symbols of interest would be great, too, like NQ, GC.

Or, a monthly subscription through an introducing brokerage (AMP, Optimus, etc.) to Rithmic for Ninjatrader. Because NT Brokerage won't do it. I'm not ready for a Prop Firm yet.

Any help or suggestions much appreciated!

 

[dabopz]

Some data providers:
Kibot -- pay per download
IQFeed, Sierra Chart -- subscriptions

 

[yamatamako23]

Very interested in this. Let's get something going.

 

[dabopz]

Hi Folks,
What I found so far: Best deal is Sierra Chart.

1. Pay $36 for 1 month (subscription detail below).
2. Set up 1 chart per year, 370 days lookback from December contract, 1 sec bars, 1 tick resolution.
3. Patiently download a huuuuge amount of data, until the chart eventually updates.
   • 1 ES contract = 2GB to 3.5GB .scid file.
4. Use Python script to convert the big-ass .scid files to NT-compatible CSVs.
   • Note: NT is touchy compared to Sierra, so clean up the data: clamp Bid/Ask above and below price, skip weird timestamps.
   • You may want to split each contract into months (so imports don't keep your system tied up for long periods).
5. Import CSV into NT (takes about 20 mins per month, or around an hour for 1 ES contract).
6. NT caches its tick data way more efficiently than Sierra; 5 years of ES = 4GB.

### Sierra Chart
**Cost**: $36/month (Service Package 10 with Denali Exchange Data Feed)
**Data Source**: Denali Exchange Data Feed (included)
**Historical Depth**: Back to 2011 for ES (14+ years)
**Key Feature**: Can download ALL historical data in first month (no time limit on historical)

 

[dabopz]

Of course, if someone finds something faster and easier, I'm still interested!

 

[lady2025]

hi @dabopz ,
how is the quality of tickdata after downloading and conversion to csv?
thanks

Of course, if someone finds something faster and easier, I'm still interested!

 

[dabopz]

After cleanup and import, NT performs in a stable manner, generating volume bars effectively from high density tick data, with no corruption warnings. The cleanup removes a negligible percentage of irrelevant detail. Running WFOs in the Strategy Analyzer, there are no excessive IO requests to data servers, no major network lags or RAM overloads. I had to test and debug, and clear out old cache data before conversion. It’ll keep me busy backtesting for a few weeks. Bang for the buck: so far it looks good!

hi @dabopz ,
how is the quality of tickdata after downloading and conversion to csv?
thanks