Historical Data for Index Futures to Download to Excel

E

Eldredge

I would like to download historical data for the major index futures into Excel. I would need to be able to use a "continuous" contract and have each future roll over on the same day. 1-minute data would be ideal, but 5-minute or slower would work. I would like to have 10 years (or more) of data if possible. I would also like to download the data so that I would have a row for each day and a column for each minute's price.

Is this possible for a reasonable price - or free? If anyone can give me some direction on this, I would be grateful.
 
Eldredge said:
I would like to download historical data for the major index futures into Excel. I would need to be able to use a "continuous" contract and have each future roll over on the same day. 1-minute data would be ideal, but 5-minute or slower would work. I would like to have 10 years (or more) of data if possible. I would also like to download the data so that I would have a row for each day and a column for each minute's price.

Is this possible for a reasonable price - or free? If anyone can give me some direction on this, I would be grateful.
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The spreadsheet will not cope with this amount of data.
 
Thanks for the response. If I'm not mistaken, the maximum size for an Excel 2010 worksheet is 1048576 rows by 16384 columns. Ten years of trading days would be less than 3,000 rows. 24 hours of minutes would be less than 1,500 columns. Is there some other limiting factor?
 
1500 columns by how many rows?
I'm no expert in excel but have used in in autotrading and am a frequent user.
The problems seems to arise with number crunching formulas.
If you had for example several hundred cells of even simple formulas, after a while the spreadsheet becomes buggy. My way around this problems was copying or Saving as into a new spreadsheet, everytime it started getting buggy again.
Not sure where this consistent bugginess comes from, possibly from updating/changing formulas so often and the continual saving.
Anyhow, the problem in your instance may not be in the amount of data stored in the sheet, but the number of formulas you may create to do the number crunching.
Just recently I began using Google sheets, their spreadsheet became buggy quickly (Brand new computer) but I've seemed to fix this by only using 1 sheet per spreadsheet. That is, if I want several sheets running, I create a new spreadsheet for every sheet, not one spreadsheet with several sheets.
 
It would be less than 1,500 columns by 3,000 rows. I haven't really had the bug problems you refer to, but I could make a number of smaller worksheets if needed. I don't have coding skills, so it would be faster for me to make smaller worksheets than learn to code...

It seems like what I'm looking for should be available, but maybe it isn't?
 
Futures data and live futures data is something I'm not involved with, but I have a friend who does it in a spreadsheet. Currently he's overseas, back shortly.
Is it the source of the data you are chasing?
Re coding, just send us your coding question if you have any (spreadsheet formulas queries), I'm sure we can work it out for you.
 
The bug I was mentioning, usually what happens is you get an incorrect result from a formula, so sometimes it can be difficult to spot.
My experience with excel, happens with older spreadsheets that have lots of formulas and saved a 'hundred' times.
 
themickey said:
If you had for example several hundred cells of even simple formulas, after a while the spreadsheet becomes buggy
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Great tool, but Excel can be a real dog with formulas. Multiple worksheets within a workbook helps. Multiple workbooks is even better, but a pain to manage. I limit worksheets to 15 max per workbook. I switched to 64bit Excel a few years back, and it seems to run smoother with my macros. I also have to restart Excel on my machines monthly. It doesn't seem to like staying open after the macro pounds hundreds of lines/rows of data into its ass :)
 
I think this is quite possible, although you need to work hard on such amount of data. I often use Excel (or Google sheets) to work with the grouped frequency distribution (as in this example), since I work more with statistical data. And this is also a large amount and any information should be included in any of the classes.
 
themickey said:
Futures data and live futures data is something I'm not involved with, but I have a friend who does it in a spreadsheet. Currently he's overseas, back shortly.
Is it the source of the data you are chasing?
Re coding, just send us your coding question if you have any (spreadsheet formulas queries), I'm sure we can work it out for you.
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Yes, I am looking for a good data source where I can download that data and configure it in Excel.

Thanks for your kind offer to help with coding. I can muddle my way through Excel pretty well. The only data sources I have found so far require Python or some other programming ability - that is where I come up short...
 
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