Tick Data for just one day or week

#1
Dear Friends,
I have designed one strategy, and want to back test it on the tick data. I have to 2006 data but unfortunately there were lot of gaps in the data.

I mean every second has around 8-9 ticks, and with every tick the market is moving 5-6-10-15 points up and down.. hence my strategy gets confused and is failing.. now a days there is a smooth increase or decrease in the market.

Just wanted to test it on couple of days data...

If anyone can share the data with me in excel file or CSV file and send a mail to [email protected] it would be great.

Thanking you
Deepak Patade
 

sr114

Well-Known Member
#2
Dear Friends,
I have designed one strategy, and want to back test it on the tick data. I have to 2006 data but unfortunately there were lot of gaps in the data.

I mean every second has around 8-9 ticks, and with every tick the market is moving 5-6-10-15 points up and down.. hence my strategy gets confused and is failing.. now a days there is a smooth increase or decrease in the market.

Just wanted to test it on couple of days data...

If anyone can share the data with me in excel file or CSV file and send a mail to [email protected] it would be great.

Thanking you
Deepak Patade
here is the data for nifty and bank nifty futures from 01/08/2013 to 17/10/2013

http://www.ziddu.com/download/23166100/nfutbnfutseconddatafromaug2013to17102013.rar.html

from 12/09/2013 to 17/10/2013 with vol
http://www.ziddu.com/download/23166155/secondsdatawithvolfornfbnf.rar.html

rgds
 
Last edited:
#3
Thanks for the data.
what i have found i that the data has very less rows.
in one data i go of nifty there were almost 10 lakhs plus tick in a day.
i really didnot know what we r missing in this data.

so i called up a manager in a broking company and could get three days data from him.
he explained that YES NSE sends almost 10 to 11 lakhs ticks in a day for nifty alone.
BUT it is the broker who filters this ticks and limits them to 40 to 50 thousand basis their infrastructure.
so actually there are 10 lakhs plus ticks but when we source data from a broker we get 50000 or less ticks.

Now my task became more difficult.
now i called another manager of other broking firm and received data from him BUT OF THE SAME DATES and confirming my thoughts the data was different on the same day with less than 50000 ticks.

so now i know that broker doesnot have all the ticks in his system, hence i have to BUY data from NSE
 

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