Looking for Vendor for Hourly Data or All Prices Daily

Discussion in 'Data Sets and Feeds' started by Amahrix, Nov 9, 2022.

  1. Amahrix

    Amahrix

    Hello,

    Does anyone know of a vendor that sells either hourly data or all prices during open-hours of say...S&P Futures with timestamp so then I can just grab the hourly that way?

    Thank you,
    Amahrix
     
  2. ZBZB

    ZBZB

  3. Databento

    Databento Sponsor

    Databento — We're still in a beta testing phase, but if you PM me your email, I can send you an invite.

    We have a very simple API that you can use your browser or any HTTP client. You can fetch a few recent days (the following API calls stop working in about a week's time) of sample data like this:
    - ESZ2, 2022-11-06 to 2022-11-08, hourly ohlcv, CSV
    - ESZ2, 2022-11-07 to 2022-11-08, tick data, JSON

    And we also have a point-and-click web UI that you can use to download data, similar to popular tools like Refinitiv DataScope; a Python client and a C++ client.

    The amount of data you're looking at is likely so small that it will be completely covered by our free credits.
     
  4. Amahrix

    Amahrix

    Do you have daily open/close prices for S&P Futures since inception of S&P Futures?
     
  5. Databento

    Databento Sponsor

    No, unfortunately we don't. We have CME data back until March 2017.

    We don't have immediate plans to backfill the data before that date with a third party because there's no good source for it with PTP timestamping comparable to our own setup and it predates SBE MBO release, where there were many microstructural changes.

    If a lot of daily history is important to you, CME Datamine isn't that bad, and we've also seem some folks use Barchart as a cheaper solution for production use cases, though I can't speak for either.
     
    Last edited: Nov 10, 2022
  6. MarkGroes

    MarkGroes

    The easiest/cheapest way to get ES data since 1998 - www.anfutures.com
     
  7. Hi thanks for sharing. this datasource is inexpensive.
    Have you been using this for long and how is the data quality?