Historical Index Prices - Confused

E

Eldredge

I am looking for some good historical daily data for ES, YM, NQ, ER2, and EMD. I like Yahoo's data because it can be downloaded in Excel. I tried using SPY and S&P 500 INDEX,RTH (^GSPC) for the ES. I get different OHLC numbers for each of them. I tried to look at some charts to see if there were different open and close times (but that wouldn't explain the different hi and lo), but I couldn't see any correlation at all. I had the same type of trouble with the other indexes/etf's/futures.

If someone can explain what I'm doing wrong, I would really appreciate it. I would also be grateful for any input about Yahoo's historical data, or suggestions for some other source. Thanks for the help.
 
Quote from Eldredge:

I am looking for some good historical daily data for ES, YM, NQ, ER2, and EMD. I like Yahoo's data because it can be downloaded in Excel. I tried using SPY and S&P 500 INDEX,RTH (^GSPC) for the ES. I get different OHLC numbers for each of them. I tried to look at some charts to see if there were different open and close times (but that wouldn't explain the different hi and lo), but I couldn't see any correlation at all. I had the same type of trouble with the other indexes/etf's/futures.

If someone can explain what I'm doing wrong, I would really appreciate it. I would also be grateful for any input about Yahoo's historical data, or suggestions for some other source. Thanks for the help.
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Index and index futures prices will be off by the futures-cash basis. There are also different trading hours, and it is possible the futures high/low will come when the cash market is closed.

Returns should be close if you can get the times lined up- basis movement is small relative to normal daily volatility.
 
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