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
Try this: Go to MFGlobal's Custom charts: http://www.mfglobalfutures.com/resources/getquotes.cfm?page=ccharts 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
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?
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
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 Dominic
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.