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Source for historic intra-day quotes
- Thread starter damonjanis
- Start date
Originally posted by damonjanis
Is there a source that sells or provides historic data on the S&P e-mini (or full S&P is fine too) for 5 minute intra-day bars? I'm looking for open, close, high and low, and for at least 1 years worth of data. Thanks!
TradeStation has intraday data for S&P e-mini since mid February 2001.
However, what I found, is that historical intraday data from different sources can give you very different results when testing a system. For this reason, I think, it's best to have historical data from the same source that you trade from in real time.
Originally posted by Haas
quote:
"the CME has about 3 month of free intraday data. So that's a starting point."
I looked all over the CME site for this and could not find it. Would you please include a link or tell me what section that it is in.
Thanks, Haas
They have hidden it quite well after the new site went up. Here is a link to the the ftp-downloadable tick data.
http://www.cme.com/prices/historical_ftp_datafiles/prices_historicalftpdatafiles_timesales.cfm
the main link is in the "Quotes" menu. I selected the ftp data, since that what I use. http://www.cme.com/prices/index.cfm
try ordering the data from Tickdata. I ordered the last 6 years worth of data for the Nasdaq 100 index and am extremely impressed, they managed to collect about 99.99% of all the ticks of the index for the last 6 years. It was well worth the money.
What software are you using to import the historical intraday data and create charts?
I don't analyze nor trade in what most traders might consider the "normal" way. I only trade QQQ once or twice a day, I don't look to trade all day long.
Analysis is done through just a regualr spreadsheet, looking at various price points at specific times throughout the trading day. Basically I am crunching NDX numbers on a spreadsheet, looking for any possible patterns. I don't work with charts. It works for me and has made money for me, so I stick with it.
I am importing the Tickdata into a spreadsheet my using Tickdata's ASCII file output function. It sounds simple, but its not, because there are so many billions of tick numbers involved, you can only process a bit at a time. Its going to take me a few weeks working a few hours a day to get 6 years of NDX Tickdata into my spreadsheets.
But I think its worth the time invested, like I said, I've made money so far and this improved data will only increase my ability to analyze the data more thoroughly.
Analysis is done through just a regualr spreadsheet, looking at various price points at specific times throughout the trading day. Basically I am crunching NDX numbers on a spreadsheet, looking for any possible patterns. I don't work with charts. It works for me and has made money for me, so I stick with it.
I am importing the Tickdata into a spreadsheet my using Tickdata's ASCII file output function. It sounds simple, but its not, because there are so many billions of tick numbers involved, you can only process a bit at a time. Its going to take me a few weeks working a few hours a day to get 6 years of NDX Tickdata into my spreadsheets.
But I think its worth the time invested, like I said, I've made money so far and this improved data will only increase my ability to analyze the data more thoroughly.