May 6, 2010 Crash ES tick data.

For those that want to do some analysis, have a look at ESM0 data for May 6th.


http://tinyurl.com/EScrash

This is full feed, so it includes bid/ask updates as well as trades.

These are the fields of the dump

Values for field type:
1. bid
2. low
3. high
4. open
5. close
6. volume
7. ask
8. Best Ask
9. best bid
10. trade.


upon a trade, cumulative volume is updated.

Hopefully this will be useful to someone. Maybe I'll export some FX pairs as well.

Welcome to Futures Tick Data

This website is aimed at people interested in systematic trading. I record tick data from the futures feed and upload snapshots daily/weekly.