Hmmm...ok.
Do you have any idea how well ES and SP cash correlate intraday then?
My experience with SP cash is limited to daily and weekly charts.
S&P e-mini intraday historical data
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Hmmm...ok.
Do you have any idea how well ES and SP cash correlate intraday then?
My experience with SP cash is limited to daily and weekly charts.
Yes, "SP cash" = "SP500 index".
As for "after hours"... there are 2 data bases/charts. (1) RTH = Regular Trading Hours, and (2) All Session... which includes after hours.
However, same considerations apply. Historical data in the All Session will also be thin and somtines subject to large premium/discount distortions... especially at "contract changeover".
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Yes and no. In general, correlate well. But at specific times, the ES "appears to lead" the cash and sometimes significantly. Partly that is due to how often SP cash data is updated. Partly due to the "lag" time of trades getting reported and included on the tape. The ES, however, is virtually instantaneous.
I believe I get the idea of where you're fishing... "short-term discrepancies between SP cash and the futures which you might exploit". I suggest, having had the same notion myself years back, "nothing there you can effectively capitalize upon." Seems on the face there "is". But in practical, tradable use, there "isn't". (Every now and then, there is an extreme case which you might guess correctly and exploit... but in general, not.)
There are price correlations you can capitalize upon.. but that's not one of them.
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The "fair value spread" is more-or-less maintained all day long... except temporarily when the markets are hit by fresh news or a big player struts his stuff... and most of that is due to the lag time of reporting.
Bloomberg offers a ticker SPXFAST <index> that they calculate themselves and updates much faster than SPX <index>. It's usefull for general-purpose screenwatching.
If you're looking for that sort of thing, the "delay" in reporting and getting reflected upon the tape could be an issue.
I use eSignal data. I believe they update cash/spot indices, "10 times per minute... every 6 seconds". If you're trying to arb the spread, 6-seconds could be "dinosaur" data. (But I'm not looking to arb or scalp... and it takes longer than 6-seconds for me to enter a trade... so I'm not so concerned about a "tic-or-two"... of course I'd rather be on the right side of a "tic-or-two" in execution price, but that's more noise than "play"... and I don't have any control over the random price fluctions around execution. IOW... I don't want to be concerned about being "penny wise and pound foolish". My plays are for "swing". Of course I'd rather "nail it perfectly if I could"... but if I do happen to "nail it", it was mostly good fortune. The REAL money is getting the "play" correct, not the execution tic.)
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Haha. No. Not at all. I'll leave that to the computers.
I'm more interested in trying to capture the daily range (or more).
Thanks for your input. I'm learning.
There are several techinques for handling the roll-over of S&P emini contract data to build a "continuous" contract.
https://www.quandl.com/collections/futures/cme-e-mini-s-and-p-500-index-futures
In addition, you can always program your strategy to close all positions when the rollover occurs....and then switch your data source to the front month.
https://www.quandl.com/collections/futures/cme-e-mini-s-and-p-500-index-futures
In addition, you can always program your strategy to close all positions when the rollover occurs....and then switch your data source to the front month.
A little off topic I believe.
Does anyone know of any cheap places to get the minute data for the overnight sessions? I saw ANFutures and that seems to be reasonable. $96. I don't have subscriptions anywhere. But even a cheap one month subscription where I could download that data would work.
Does anyone know of any cheap places to get the minute data for the overnight sessions? I saw ANFutures and that seems to be reasonable. $96. I don't have subscriptions anywhere. But even a cheap one month subscription where I could download that data would work.
I'm sure the CME Group would have it for their contracts, but you'll likely pay much more than the above....which is a bargain.