Looking to trade ES/CL data for M6E (Ninja compatible)

Discussion in 'Data Sets and Feeds' started by Iwilldoit, Feb 9, 2016.

  1. Hi there,

    I have 9 years of Ninja data for the ES & CL continous contracts, which I paid good money for.

    I require a couple of years (or more) of M6E continous contracts. I forgot to download these contracts, when I had the feed! (yeah stupid me)

    Please PM me if you can help.
    @Wallace @Marco Picos @RadarGuy
  2. So if I cant afford to buy M6E data, I can simply backtest using the 6E? @DarthSidious
  3. M.ST.


    Are you aware of the fact that the volume of M6E is ridiculously low?
  4. yeah but people can still get filled? ( I know there is slippage, and I am not a scalper) I trade the trend for a couple mins
  5. M.ST.


    I don't know if you get filled at the price you expect.

    I'm just telling you the facts.

    Some measures on 1 minute bars of M6E since 2009:

    24% of time there is a volume of just 1 contract.
    77% of time the volume is lower or equal to just 10 contracts.
    97% of time the volume is lower or equal to 50 contracts.

    Also there are 40% less trade prices compared to the EUROFX mini future.

    46% of time the bar high is equal to bar low.
  6. How did you arrive at these statistics?
  7. M.ST.


    Using historical data and exploring it via formulas.
  8. M.ST.


    Actually what was meant above was historical 1-min bars.
  9. What is the average slippage on the M6E??
  10. M.ST.


    #10     Feb 11, 2016