Thanks Rajiv, I found some samples on the CME website.
Jules. --- In [email protected], Rajiv Arya <rajivary...@...> wrote: > > > Hi Jules, > > > > Try the CME website, I believe they have a time and sale history that can be > downloaded. > > Also if you use Interactive broker they have a tick count per bar that can be > queried in the API. > > > > Rajiv > > > > To: [email protected] > From: joole...@... > Date: Mon, 5 Oct 2009 14:13:07 +0000 > Subject: [amibroker] Tick count on es > > > > > > Can anyone tell me what an average and high tick count per day is on the es > eminis, and what is the average number of ticks for the life of a contract? > Also if anyone's got it, what is the average number of bid/ask messages to > trade ratio. E.g. The SFE Spi averages about 15k ticks per day and has around > twice as many bid/ask messages as trades. > > I don't have the es instrument but want to get an idea of the amount of data > involved to performance test a plugin. > > Thanks, > Jules. > > > > > > > > > > _________________________________________________________________ > Hotmail: Free, trusted and rich email service. > http://clk.atdmt.com/GBL/go/171222984/direct/01/ >
