Test data - book data for ES

[Marcus Williford]

Does anyone have information on where I can get recent book data for the ES.  I'm looking to get started, and want to do some backtesting and understand the java code before I setup an account with IB.  I understand just about everything else, but can't seem to find a good place to download this data.

Thoughts?

PS:  I'm a Java developer with lots of charting experience, so I could be a good member.

Marcus  

[Eugene Kononov]

Hello Marcus, and welcome to the group. There are three ways to get the ES book data:

1. Run your ES strategy in JBookTrader  in either "trade" mode or the "forward test" mode. The data will be collected and saved automatically.

2. Purchase the market depth data from Chicago Mercantile Exchange:

http://www.cmegroup.com/market-data/datamine-historical-data/marketdepth.html

The last time I purchased, it was $400 per year, but it's been a while, so I don't know what the current pricing is. Then you'd need some sort of converted to convert the data from the CME format to the JBT format.

3. Donate $400 to this project, and you get the ES book data as recorded by JBookTrader, from October 2010 to January 2012. No need for converter with this option.

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[nonlinear]

3. Donate $400 to this project, and you get the ES book data as recorded by JBookTrader, from October 2010 to January 2012. No need for converter with this option.

I meant to say "from October 2010 to January 2013". 

[Judson Wilson]

"Record your own" is pretty much the way it is done. See Eugene's post above.

I would offer you some recent data but mine is in a more "raw" format
that needs to be converted, and I am low on time, sorry.

I would simply recommend the older data to get started with your
experimenting. If you like what you see, setup a server on either
Linode, Amazon Web Services, your house, whatever, and start recording
data. Or pay Eugene; this is his project, and he has put a lot of
solid work into it.

I am looking for data on other instruments than ES, although I would
prefer it in raw format. If you would like to barter, maybe we can
work something out. I can give you my code modifications for recording
the raw data - but it will have to wait until I am not busy.

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[Mick O'Donnell]

Hi Folks,

Sorry to bump up an old thread, but I'm having a little problem with my ES data. I've been recording ES data from March but since then, I've notice my balance indicators appear to be a lot more volatile then with the data I that I purchased pre-march (see attached). It's like night and day.

Can anyone confirm or refute that they've seen similar behaviour with their ES balance indicators since the beginning of March (particularily balance acceleration) and if so maybe it's just a coincidence that I started mining when the balance indicators became volatile. If not, I have made a bad mistake with my data mining. I restart JBT each morning, a few hours before trading begins, so I've ruled out "unsettled indicators". Can't think of anything else I could be doing wrong.

Many thanks in advance, I've been scartching my head about one all weekend.

Best regards,

Mick

[Borg Alexander]

This is correct, and interesting.

[Mick O'Donnell]

Hi Borg,

Thanks for verifiying my data. My concern is that this could indicate possible market change which could invalidate previous historical data. I know it's only three months of data, and probaby not significant, but I haven't seen volatility in the balance indicators like this before in the 2.5 years of ES data currently available so I'm a little concerned. Any thoughts / comments welcome.

Best regards,

Mick



On Monday, June 17, 2013 12:57:04 PM UTC+2, Borg Alexander wrote:

This is correct, and interesting.

[Allen Whitt]

Don't know about since March but vol has gone through the roof since Bernake's Congressional testimony end of May. (http://mam.econoday.com/reports/rc/2013/Resource_Center/Archives/SE-Archive/05-27-13/index.html?cust=mam&year=2013)

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