S&P e-mini intraday historical data

P

pistolpt

Guys,

Looking to get S&P e-mini historical data that is intraday (1-minute) going back as far as I can. Preferably something that can be loaded into ninjatrader, as I can't backtest anything there without data!
Anyone have any good sources? I looked at that is99 disktrading, but that looks sketchy and they guy never responded to me.
Just looking for a fairly cheap source.

Thanks,
Pistol
 
Can't see much value to such data.

Until a contract becomes "front" month, (1) volume is very thin with large gaps, and (2) the "fair value diff vs cash" is very large.

Suggest you study the cash S&P or the SPY... you can trade the ES off of those indices. I understand the premium/discount can get "out of whack" temporarily, but it doesn't stray for much or for long from fair value.... even when thinly traded.
 
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I used to use IQ-Feed and QCollector to rip minute data from the feed stored as csv files. Can be stored as txt as well.

I'm expecting to get my system back up and running by 2016. Haven't decided on a solution yet, but it's quite possible I will go back to this.

Not sure if you can get anything cheaper that's equally good. Subscribed in case something useful pops up here.
 
Yeah obviously I was looking for the front month, rolled when applicable, to have continuous futures pricing on this going back years.
 
Laissez Faire said:
So, you mean the solution is to use SPY or similar?

IQ-Feed has a continuous contract. That's the one I used for ES.
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I don't know about "solution". But neither the SP cash nor the SPY will have the distortions present in the ES data.

Even the "continuous contract" chart has distortions when changing front month.

All I'm suggesting.... if you're looking for a reason to make a play in the SP market, take your signal from "SP cash" or "SPY", then execute in ES, if desired.
 
Scataphagos said:
I don't know about "solution". But neither the SP cash nor the SPY will have the distortions present in the ES data.

Even the "continuous contract" chart has distortions when changing front month.

All I'm suggesting.... if you're looking for a reason to make a play in the SP market, take your signal from "SP cash" or "SPY", then execute in ES, if desired.
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I need to look further into this, but I appreciate your considerations.

Based on how I'm using this data, I'm not so sure if it will significant my system, since I only concern myself with relative price movement on a day-per-day basis. That is, relative price movements per the day and relative to the open on the prior day (gap up or down).

I think it only would be an issue if there would be a huge discrepancy between one day and the next.

So maybe this is a non-issue for me?
 
Laissez Faire said:
I need to look further into this, but I appreciate your considerations.

Based on how I'm using this data, I'm not so sure if it will significant my system, since I only concern myself with relative price movement on a day-per-day basis. That is, relative price movements per the day and relative to the open on the prior day (gap up or down).

I think it only would be an issue if there would be a huge discrepancy between one day and the next.

So maybe this is a non-issue for me?
More...

There can be huge discrepancies due to the thin volume and premium distortions. Suggesting you should avoid any conclusions which might include them.

The "tightest" data would be from SP cash. SPY can be a bit distorted at the opening, but nothing like that of the ES.
 
I'm sorry, what do you mean when you say "SP cash" - just the S&P 500 index level?
I am specifically looking at trading in after-hours. 1600-0930. That is when I am interested in the data.
 
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