Anyone have historical one minute data for ES or NQ futures?
- Thread starter ms33
- Start date
Thanks for the link. Looks like a good deal. Any comments on data quality?
The data is in CSV format and the quality is good from what I can remember. I purchased a copy maybe 5 years ago. Assuming you have programming skills you could get a couple of months of one minute data for free if you data scrape Barchart.com's site. The data is inside the html. I think Barchart.com even has a free API that will pass you a limited amount of data. If you want to save yourself that headache then just buy the data.
Good to know. Thanks again.
No problem. There are statistical biases in everything but the ES is tough. It is efficient as hell and it can be a chop fest. If you do any backtesting with this data remember to subtract 2 ticks for every trade that uses Market Orders to enter and exit. Remember you need your price+1 Tick to simulate getting a fill with Limit Orders. Many promising systems turn to garbage when you factor in the cost of hitting a bid or lifting an offer. Good luck....
If you look around vendor sell 1 min data for as low as $20. I'm not sure I understand why you can't pay that.
I'd gladly pay $20. Who did you have in mind?
I don't remember who I brought from. It's been about 10 years. I would try this vendor:
http://pitrading.com/historical-market-data.html#futures
and ask if they are willing to sell you just the ES and NQ data first.