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This was also my story. Thank you for coming back to share.

I'll need the total outstanding shares for each constituent correct at the start of each trading day, and the index divisor which I believe is updated quarterly, along with the bid/ask data. Does anyone have a good API source for these figures?

Poopy is a multinick, he's been trading for decades and posting here since....way back. Plus should be able to discern he knows his stuff just from limited post history. Best of luck...

Dest is too kind. I'll give you 10:1 odds that you'll be negative over the next 1,000 lots of MES you trade. Wanna bet?

Thanks for the color and for helping newbies. I bought a membership to trade ES (~$70k) and negotiated a flat rate $0.10 clearing fee. A retail trading MES pays 12x my cost in fees and faces worse microstructure (never any fills at edge, only gets picked off by arb). Platform, pro data fees...