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1 min bar continuous back adjusted Intra-Day Futures Data

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Overview 

For a MUST SEE flash demonstration of the database and sotware click here.

For a personalised quote email sales@maddockdata.com

For professional intra day short-term traders it is necessary to have access to a reliable source of intra day data.  The main problems for the trader/tester that stem from other suppliers of intra day data are as follows:

POTENTIAL PROBLEMS with other suppliers

  • The data is usually supplied in "actual contract" form, so is in itself is renderd useless to anyone wishing to test using backtesting software.
  • You cannot "read-in" the data to your backtesting software without considerable and counter-intuitive work.
  • The data does not come with the ability to create back adjusted streams.  Some do, but the quality and control functionality is usually terrible.
  • The tester needs to be able to compress the data from 1 min to any timeframe.  There are usually issues where the data doesnt line up when matching two streams.
  • There are volume, uptick and down tick issues.
  • There are session opening and closing time nightmares where suppliers often chop off the session start and end times, so the data often does not mimic reality.
  • Suppliers timestamps can be out of synch, so that when importing into backtest software it errors out.
  • Suppliers leave in nightessions, and dont inform the user whats what.
  • Suppliers do not follow the liquidity through the life of the stream, eg BP[pit] now virtually obsolete, and BP[24h] (trading through the pit timeframe 0720h - 1400h) are not knitted or connected in any intuitive form.
  • Scores of other subtle issues exist.
  • High price of data purchase may be a barrier for testing purposes, 40 symbols from CQG in a non-user-friendly format may set you back $40,000 or more.
  • The use of "in-house supplied data" in certain testing platforms can be of extremely poor quality.

OUR DATA

We supply you with the following:

  • 1 min continuous back adjusted historical data which we use for our own personal trading and testing.   There is no need to build streams from the actual contracts, its all been done for you.
  • 1 min data streams that in many cases go back in history to 1982.
  • The data streams can be supplied for most liquid futures markets in the US. (approx 50 symbols).
  • The data streams have been knitted to follow the liquidity as contracts change, develop and morph throughout the years.
  • Data streams are available to run over the pit sessions if required, or just "as is" on a per instrument basis.
  • Compression software is included so that you can run off any timeframe, eg, you may trade 5 min bar looking at 10 min bar 60 min bar, daily and monthly.  It can all be done using the compression software.  
  • A fair and flexible pricing scheme is in place. Individual streams can also be purchased. 

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