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Was not aware of that. Wouldn't want users losing sleep!
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Need historical data (1-min and 15-sec OHLC bars) for SSO â¦
- Thread starter abattia
- Start date
Just to round off the thread:
I looked into the following that provide extensive historical 1-minute data for ETFs
www.grainmarketresearch.com
- from what I can determine, this data is timestamped beginning-of-bar, so problematic to covert for import to NinjaTrader
www.pitrading.com
- data is timestamped end-of-bar, + Pi Trading provide a free drag-and-drop ASCII-to-NinjaTrader data format converter that makes the whole process a breeze
- the only drawback I can see is that the equity data provided covers only the standard trading day (09h30 - 16h00 EST), so it is not a source of historical data for the overnight equity session (but I am going to get the Pi Trading data anyway!).
Anyone know of a good source of 1-minute historical data for equity prices in the overnight session (i.e. 04h00 - 09h30 EST, and then 16h00 - 20h00 EST)?
Thanks.
I looked into the following that provide extensive historical 1-minute data for ETFs
www.grainmarketresearch.com
- from what I can determine, this data is timestamped beginning-of-bar, so problematic to covert for import to NinjaTrader
www.pitrading.com
- data is timestamped end-of-bar, + Pi Trading provide a free drag-and-drop ASCII-to-NinjaTrader data format converter that makes the whole process a breeze
- the only drawback I can see is that the equity data provided covers only the standard trading day (09h30 - 16h00 EST), so it is not a source of historical data for the overnight equity session (but I am going to get the Pi Trading data anyway!).
Anyone know of a good source of 1-minute historical data for equity prices in the overnight session (i.e. 04h00 - 09h30 EST, and then 16h00 - 20h00 EST)?
Thanks.
Quote from abattia:
Anyone know of a good source of 1-minute historical data for equity prices in the overnight session (i.e. 04h00 - 09h30 EST, and then 16h00 - 20h00 EST)?
Thanks.
Do you trade the pre/post market session? Other than news days, most markets (98%?) are illiquid and basically not tradable for any use other than academic.
Unless you actually are one of the few to trade the off-session times, I wouldn't worry about including outlier data in your testing model.
If you have a real-time data feed, do a time&sales on the symbols you trade and see what kind of volume your portfolio symbols generate outside the regular session..
Quote from zgtrader:
Do you trade the pre/post market session? Other than news days, most markets (98%?) are illiquid and basically not tradable for any use other than academic.
Unless you actually are one of the few to trade the off-session times, I wouldn't worry about including outlier data in your testing model.
If you have a real-time data feed, do a time&sales on the symbols you trade and see what kind of volume your portfolio symbols generate outside the regular session..
I agree with everything you say above about the inadvisability of trading the pre/post sessions (my opinion is - unfortunately - formed also from personal experience as I tried to trade it for a few weeks once, with unhappy results!).
All my (auto)trading is done during the core session. However, the reason I am interested in pre/post session data is that some of the signals and indicators I use incorporate data from the non-core session period. And to be able to backtest and research effectively, I need this data historically ... seems it's hard to get hold of.
There are some other options. You can get one minute data for the 50 most liquid ETFs for $250 from kibot.com. Their data contains pre/after market sessions and the regular market session. Also, if you select SSO only, you can get data since 2008 for only $5 from analytichouse.com.
Quote from biba4:
There are some other options. You can get one minute data for the 50 most liquid ETFs for $250 from kibot.com. Their data contains pre/after market sessions and the regular market session. Also, if you select SSO only, you can get data since 2008 for only $5 from analytichouse.com.
Thanks for the links.
Look back through this thread. Someone recommended the stocks edition from pitrading. $159 for 1000+ stocks including 450+ ETFs going back to 2002.
I looked at analytichouse, but they want $500 for 125 ETFs only going back to 2008. I guess they limit the dates to save download bandwidth.
I am probably going to pick up the pitrading data next week after the holiday since they just released a new updates today.