Historical Index Prices - Confused

Discussion in 'Index Futures' started by Eldredge, Aug 26, 2008.

  1. Eldredge


    I am looking for some good historical daily data for ES, YM, NQ, ER2, and EMD. I like Yahoo's data because it can be downloaded in Excel. I tried using SPY and S&P 500 INDEX,RTH (^GSPC) for the ES. I get different OHLC numbers for each of them. I tried to look at some charts to see if there were different open and close times (but that wouldn't explain the different hi and lo), but I couldn't see any correlation at all. I had the same type of trouble with the other indexes/etf's/futures.

    If someone can explain what I'm doing wrong, I would really appreciate it. I would also be grateful for any input about Yahoo's historical data, or suggestions for some other source. Thanks for the help.
  2. What are you trying to do with the data??
  3. Eldredge


    Test some swing-trade ideas against the daily open high low and close prices.
  4. Index and index futures prices will be off by the futures-cash basis. There are also different trading hours, and it is possible the futures high/low will come when the cash market is closed.

    Returns should be close if you can get the times lined up- basis movement is small relative to normal daily volatility.