Index Futures Historical Data

E

Eldredge

I haven't traded actively for a while, and I'm not sure where to find the "best" historical data for ES NQ RTY and EMD. The approach I am looking at takes signals from the open and close of the equities markets (US), so I need accurate prices at the open - 7:30, and the close - 4:00. Additional intraday and overnight data would be great but not required at this point. I would like at least 5 years of historical data.

I have an IB account, but I'm not too familiar with their historical data. I would like something as cheap as possible that is accurate - need to be able to download it into Excel.

I appreciate any help you might be able to give.

-Dave
 
quantopian added futures recently, its free, but you can't download the data unfortunately, you can access it through their python based interface.
 
IB only provides historical data for instruments which expired less than two years ago. So it could be difficult to get 5 years of historical data from IB. Also, in case you use their daily OHLC price bars, you should be careful with the timing of the open and close prices. IB defines so-called "liquid trading hours" for futures instruments. The open and close price are based on these liquid trading hours.
 
Thanks for the replies. I guess I may just have to use the indexes for the values (hopefully the arbitrage guys keep things in line) unless someone has another suggestion.
 
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