Support Board
Date/Time: Tue, 11 Mar 2025 18:04:28 +0000
Post From: Denali data feed for algorithmic trading?
| [2022-04-01 19:44:31] |
| User814333 - Posts: 13 |
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Hi 1+1, thanks for the feedback. In futures prices can be negative...
Yes, I recall seeing see that, so eliminating negative values would be problematic in that case. I took your advice and contacted the CME to get their feedback (thanks for the link). I asked them if they had any statistics on how often errors occur in their data. If they respond, I'll let you know what they say. SC stores the data in local files. Yes, from a technical perspective an ACSIL study, which allows custom C++, can write to a database. However, the CME charges significant amounts for data use & distribution.
I was assuming I would use the non-professional Denali data service for this. Needless to say, it would be a non-starter if I had to subscribe directly with the CME at those rates. But in my inquiry to the CME Group, I also asked if they had any policies prohibiting local storage of the data from a provider. It will be interesting to see what they say. Thanks again for your help. I appreciate it. |