I have posted a dataset of commodity trades for testing purposes at
r.dougedmunds.com. The file is corn_tick_dataset_V01.zip
The dataset represents the tick by tick electronic trading of CME
(Chicago Merchantile Exchange) May 2014 corn futures for 11 trading
days, from Friday March 28, 2014 to through April 11, 2014. There are
over 600,000 trades recorded.
Also provided is an R script to convert the csv file into xts format.
The included ReadMe file explains what the data represents.
-DAE
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