End of day data

Discussion in 'Data Sets and Feeds' started by leafs1, Nov 22, 2002.

  1. leafs1


    Greetings all,

    I have two quick questions that I'm sure someone could help me with,

    1. Is there an open an close time for the S&P e-mini's or even the big contract similar to equities ie. 8:15 - 4:15 (made these times up as an example) I want to test a strategy based on OHLC but don't know when these occur (Open and Close that is)?

    2. Also would like to find these OHLC historically similar to the way Yahoo gives OHLC for stocks

    Date Open High Low Close Volume Adj. Close*
    Nov-21-02 42.27 44.71 41.70 44.50 17,296,900 44.50
    Nov-20-02 39.57 42.16 39.20 41.43 17,648,800 41.43
    Nov-19-02 40.98 41.39 39.15 39.26 15,936,100 39.26
    Nov-18-02 41.53 42.78 41.16 41.42 13,347,200 41.42

    Thanks in advance

  2. The e-minis close at 4:15 ET M-F. When they re-open at 4:45 M-Thurs the change is referenced off the 4:15 close, if that's what you're referring to in your original question. Sunday evenings they open at 5:30 CT. So in effect your open and close prices will be close, barring any aftermarket news that takes place in the 30-minute window.

    I watch the Nasdaq After Hours index as a gauge to see how the futures will resume trading after the hiatus, since they're all based on the NDX anyway