My harddisk is mal functioned and lost all historical data Any ways to get 2-3 years of Dow & S&P 500 futures 1-min historical data Or any bro can send me the data? Many Thanks!!!
If you want to pay then use iqfeed or esignal classic delayed $50 with qcollector from www.mechtrading.com to get the history into a CSV or metastock format then cancel. If you do not cancel then qcollector will keep the intraday files up-to-date.
Do you have an account at IB? You can download it there. Another piece of advice: buy a second hard disk and regularly back up your data.
3 year file of all ES and YM 1min bars is too large to attach (2.6 million rows, 12mb zpaq compressed). PM me an email address and I'll email it to you. Here are the fields and ordering of the file: SELECT NYCDate,NYCBarTS,Base,Symbol,Open,High,Low,Last,Trades,Ticks FROM mvConsolFutures1Min WHERE SDate > '20151231' AND Base IN ('ES','YM') ORDER BY NYCDate,Base,NYCBarTS,Symbol; BTW, Tickstory, irresponsibly recommended in a post above, is useless for futures 1minute bars or tick data. Tickstory is repackaged Dukascopy free data. Those are CFD's, not futures. The CFD's more or less track the lead contract only (nothing on back contracts), but the data quality is so bad that anything under 5 min aggregation is completely useless. Even aggregated five minute Dukascopy CFD data is pretty spotty, and contains only bid/ask data, no trades or volume.
Dumb question: is there an open source IB data downloader (open source because I don't use Windows for my trading and many times open source works on Linux)
I don't know. I would write the software for this job myself, using Java (I use Netbeans as IDE on an Ubuntu Linux computer). It is not that hard if you already have some experience in using IB's API. Step 1: connect to IB Step 2: get a list of all contract codes for the Dow futures contracts, including expired contracts. Step 3: for each contract download the entire historical data and save to file. Step 4: get a list of all contract codes for the S&P 500 futures contracts, including expired contracts. Step 5: for each contract download the entire historical data and save to file. Step 6. disconnect from IB. I'm not sure if the download for one contract can be done in one step, or that the amount of data is too much and that it has to be split up in a few separate downloads.