asking for Hang Seng Index Futures data

orangelam · Mar 9, 2019

Can anyone provide me the past 10 years historical data of continued front month hang seng index futures in 1 min interval?
csv or txt format. much appreciated if you can also provide me the data in night session

personally i use IB and the data is only up to year 2016 for this futures
many thanks!!

ZBZB · Mar 9, 2019

Www.tickdata.com

ZBZB · Mar 9, 2019

www.cqg.com data factory

Vivaan Reyansh · Mar 9, 2019

Try tickdata.com, quandl.com or polygon.io, they might be able to help you

Kevin Schmit · Mar 9, 2019

orangelam said:
Can anyone provide me the past 10 years historical data of continued front month hang seng index futures in 1 min interval?

Are you capable of stitching the contracts together into one continuous series yourself? If so, write the SQL query for your preferred continuous algo against the table structure below and I'll export the data for you.

SQL> exec mydesc('futures1min');
.
ColName CanNull ColType
=================
SDATE N DATE(7)
UTCDATE N DATE(7)
NYCDATE N DATE(7)
EXCHANGEDATE N DATE(7)
SYMBOL N VARCHAR2(16)
BASE N VARCHAR2(12)
EXCHANGE N VARCHAR2(16)
COUNTRY N VARCHAR2(16)
CCY Y VARCHAR2(6)
FTYPE Y VARCHAR2(12)
BARIDX N NUMBER(22)
UTCBARTS N NUMBER(22)
NYCBARTS N NUMBER(22)
EXCHANGEBARTS N NUMBER(22)
OPEN N NUMBER(22)
HIGH N NUMBER(22)
LOW N NUMBER(22)
LAST N NUMBER(22)
TRADES N NUMBER(22)
VOLUME N NUMBER(22)
EXPIRY Y DATE(7)
EXPYEAR Y NUMBER(22)
EXPMONTHCODE Y VARCHAR2(2)

orangelam · Mar 10, 2019

ZBZB said:
Www.tickdata.com

do you think it is worthy of paying money in tickdata.com ?
is their data quality good?

orangelam · Mar 10, 2019

Kevin Schmit said:
Are you capable of stitching the contracts together into one continuous series yourself? If so, write the SQL query for your preferred continuous algo against the table structure below and I'll export the data for you.

SQL> exec mydesc('futures1min');
.
ColName CanNull ColType
=================
SDATE N DATE(7)
UTCDATE N DATE(7)
NYCDATE N DATE(7)
EXCHANGEDATE N DATE(7)
SYMBOL N VARCHAR2(16)
BASE N VARCHAR2(12)
EXCHANGE N VARCHAR2(16)
COUNTRY N VARCHAR2(16)
CCY Y VARCHAR2(6)
FTYPE Y VARCHAR2(12)
BARIDX N NUMBER(22)
UTCBARTS N NUMBER(22)
NYCBARTS N NUMBER(22)
EXCHANGEBARTS N NUMBER(22)
OPEN N NUMBER(22)
HIGH N NUMBER(22)
LOW N NUMBER(22)
LAST N NUMBER(22)
TRADES N NUMBER(22)
VOLUME N NUMBER(22)
EXPIRY Y DATE(7)
EXPYEAR Y NUMBER(22)
EXPMONTHCODE Y VARCHAR2(2)

i think i need some time to figure out how to roll over each month. so you can extract individual futures contract for me? may be it would be very time consuming, or i should wait for other first. thanks a lot Kevin!

ZBZB · Mar 10, 2019

orangelam said:
do you think it is worthy of paying money in tickdata.com ?
is their data quality good?

They have a good reputation. Compare the cost with cqg.

Kevin Schmit · Mar 10, 2019

orangelam said:
iso you can extract individual futures contract for me?

Date file is 22mb zipped, too large for ET attachment. PM me an email address and I will email it to you.

To extract the individual contracts use this one-liner:

gawk -F, '{print>$4".csv"}' HSI_1Min.csv

If running under DOS (Windows) you'll need to escape the ">":

gawk -F, '{print^>$4".csv"}' HSI_1Min.csv

wooderson · Aug 13, 2021

Kevin Schmit said:
Date file is 22mb zipped, too large for ET attachment. PM me an email address and I will email it to you.

To extract the individual contracts use this one-liner:

gawk -F, '{print>$4".csv"}' HSI_1Min.csv

If running under DOS (Windows) you'll need to escape the ">":

gawk -F, '{print^>$4".csv"}' HSI_1Min.csv

Hi Kevin, I get the exactly same question as OP asked. May I get the file you extracted for orangelam before? I would be able to stitch it into continuous one. thanks a lot.