Sunday, May 9, 2010

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.

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