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Tick Data from CME
Hi all,Has anyone analysed tick data with market depth from the CME? I'm trying to backtest an elementary trading strategy.Here is some sample tick data with market depth from the CME.http://www.cmegroup.com/market-data/dat ... tmlHowever all these files are in FIX or RLC format!I'm trying to analyse this information so I can make a reasonable estimate of bids and offers on a tick by tick basis. (i.e. to see if a big block trade has entered the ladder).Does anyone have an algorithm to import such information (or portions of it) into Matlab or Excel?