mbp-10 historical data 6E
Dear all,
I would like to find 6E CME tick data, preferably mbp-10 for download. It would be amazing to also have trade/volume flow in addition.
I was getting it partially from databento, but it is quite expensive if you want all history from 2008 (or even just for few years).
I spent already a lot of money for this hobby, perhaps somebody could help me with a recipe to solve my issue :)
Thank you in advance for considering !
The issue with CME data is that it's generated and owned by that centralized exchange, and that exchange sells and licenses the data to third-parties at hefty prices. The data provider that you mentioned is one such third-party. Therefore, there is no free nor cheap tick data for CME Euro FX Futures out there.
You can get delayed data in a Futures demo platform if you sign up for a temporary demo trial, and then download the history therefrom. You can even use multiple demo accounts with multiple brokers to piece together lengthier centralized data to some extent.
This all seems like a lot to go through for a "hobby." In my experience, it's tough to trade CME Futures as a hobby for several reasons─including the cost of data subscriptions.
The issue with CME data is that it's generated and owned by that centralized exchange, and that exchange sells and licenses the data to third-parties at hefty prices. The data provider that you mentioned is one such third-party. Therefore, there is no free nor cheap tick data for CME Euro FX Futures out there.
You can get delayed data in a Futures demo platform if you sign up for a temporary demo trial, and then download the history therefrom. You can even use multiple demo accounts with multiple brokers to piece together lengthier centralized data to some extent.
This all seems like a lot to go through for a "hobby." In my experience, it's tough to trade CME Futures as a hobby for several reasons─including the cost of data subscriptions
Thank you Ryan for a prompt response. It is a multiyear hobby already fortunately or unfortunately:) it is a long story already.
Quant programming is python / go / cpp / ml is actually helping my brain training I believe :) so I will keep doing it and results are coming anyway. I just didn’t put it on a live broker account, but virtual trading on live data shows results.
It is just that for proper backtesting I need mbo-10 to perform microprice base analysis in addition to pure technical stack.
I think in that case I will just have to buy from databento, they are good and still relatively affordable. I just thought that nowadays this could become a commodity dataset - but apparently not yet :)
Cheers,
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Dear all,
I would like to find 6E CME tick data, preferably mbp-10 for download. It would be amazing to also have trade/volume flow in addition.
I was getting it partially from databento, but it is quite expensive if you want all history from 2008 (or even just for few years).
I spent already a lot of money for this hobby, perhaps somebody could help me with a recipe to solve my issue :)
Thank you in advance for considering !