Since March 2009, the format in which CME provides historical market depth data has changed. Before we purchase this data, we need a converter (similar to CMEDataConverter.java) to handle this new format. Here is the spec: http://www.cmegroup.com/globex/files/fix_datamine_Message_Specs.pdf Here is sample data: http://www.cmegroup.com/market-data/files/ES_ES_FUT_20090302.ZIP
On Thu, Oct 8, 2009 at 1:38 PM, Chronos Phenomena < [email protected]> wrote: > > I gues your silence means no :) > > > On Oct 7, 8:51 pm, Chronos Phenomena <[email protected]> > wrote: > > Do you consider buying 10 level data... I'm sure most of us would be > > much more confident with CME data? > > How much it costs? > > > > On Oct 7, 8:41 pm, Eugene Kononov <[email protected]> wrote: > > > > > > > > > 10-level data is recorded. I do have CME 5-level data for two years. > > > > > On Wed, Oct 7, 2009 at 1:09 PM, Chronos Phenomena < > > > > > [email protected]> wrote: > > > > > > Is it recorded or from CME Group? > > > > > > On Oct 7, 3:27 am, Eugene Kononov <[email protected]> wrote: > > > > > I have 10-level ES data from June 24 to October 6. > > > > > > > On Tue, Oct 6, 2009 at 4:05 PM, Chronos Phenomena < > > > > > > > [email protected]> wrote: > > > > > > > > Eugene, > > > > > > > > Is project still accepting donation in exchange for ES data... > btw.. > > > > > > what is the most recent trading day in that dataset. > > > > > > > > Thanks > > > --~--~---------~--~----~------------~-------~--~----~ You received this message because you are subscribed to the Google Groups "JBookTrader" group. To post to this group, send email to [email protected] To unsubscribe from this group, send email to [email protected] For more options, visit this group at http://groups.google.com/group/jbooktrader?hl=en -~----------~----~----~----~------~----~------~--~---
