Export ES data into excel

Discussion in 'Data Sets and Feeds' started by z32000, Nov 16, 2007.

  1. z32000


    is there a way I can export ES (futures) data specifically

    daily open price at 9:30am
    daily high price
    daily low price
    daily close price at 4:15pm

    for the past 30+ days

    most will only give you open price at 12:00am and close price from 11:59pm

    Thanks in advance :)
  2. maolman


    Try this:

    Go to MFGlobal's Custom charts:


    You will see this:


    Once you have done all of this:

    1. Open "Notepad"
    2. Do "Edit/Paste"
    3. Save and Close the new Notepad file as "esz07.csv" (NOT .txt!) anywhere on your hard-drive.
    4. Start Excel.
    5. Do "File/Open"
    6. In the "Files of Type" flydown menu, select the "Text Files" item that contains, among others, "*.csv".
    7. Navigate to where you stored "esz07.csv" and select it.
    8. Click on the "Open" button

    Excel will automatically parse this file into useable and synchronized rows and columns and, VOILA, you're ready to go!

    Hope this is what you're looking for. You can actually get this to pop=up in MFGlobal for ANY time frame you choose from 5-min to monthly by changing the selection in the first screen where it says, "Select a chart Data Type:". BTW, the intra-day data is time-delayed by around 5-20 minutes.


    Mike Collier
    Oak Harbor, WA
  3. z32000


    I appreciate the effort...

    the problem is...

    most will only give you open price at 12:00am and close price from 11:59pm

    but I would like the market price at 9:30am and at 4:15pm instead

    for 30 or as many days as possible...

    please correct me if wrong, but it looks like it is not possible to do this... correct?
  4. maolman


    WOW! Right you ARE!!! Sorry 'bout that. I re-checked MFGlobal's dailies vs. their 5-, 15- and 90-minute quotes. It DOES appear that they quote the daily ES price from around Midnight to Midnight, instead of what one would think of as during the "normal open outcry hours."

    I'm not sure WHERE you can go to get the exact quotes you need. The only alternative would be to spend a lot of time dissecting the shorter time period quotes to construct your dailies -- not very Excel friendly at all, darn it!

    Good luck to you, anyway, and sorry I couldn't help you!


    Mike Collier
    Oak Harbor, WA
  5. z32000


    I very much appreciated your help though...

    or maybe is there anyone out there that has intraday data of ES or ER2 for a long period of time? thanks
  6. rols


  7. Arnie


    Here's the data for the current ES contract (ES Z7).

    I use Ensign with the IB data feed. If you use a time value of 405 minutes it will give you the data you want. I checked this data for several days against a one minute chart and it was only off by .25 pts on some openings, which I would consider meaningless.
  8. z32000


    actually, I was looking for "intraday data"...but thanks anyway