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Market Replay includes bid/ask tick level data. My recordings are not 100% perfect (there are gaps) but is better than nothing if you are in need of replay data for testing.
BTW, a quick tip for just testing indicators that require bid/ask. …
If anyone knows PowerShell for Windows well enough to write me a custom script to create a ninja/db/data directory structure for each individual instrument so I can batch-archive them, let me know. I tried WinRAR and PowerArchiver, neither let me use a archive filemask when creating archives (ie: to only archive ES files, then next archive only archive ZN, etc).
Maybe you can help provide the bash script? Ideally, make command line option the desired instrument and date range to pull out of the directory structure and copy to a temp location so I can use a compressor. Sure it could just tar it directly, but I'd rather use 7zip or rar and unless you want to go through the trouble of adding that complexity to the bash script.... if it would just maintain the directory structure and copy only the desired instruments (ES *.*, CL *.*, etc) from the desired folder date range (20090701 - 20090731) etc, we'd be in great shape.
Awesome Sam. I'll install cygwin and test this out between now and end of August when I need to do this again I'm sure everyone will much prefer being able to download only the instruments they are interested in.