Missing data help?

Discussion in 'Data Sets and Feeds' started by nitro, Dec 28, 2011.

  1. nitro

    nitro

    I was wondering if someone with access to historical data can tell me what the bid and ask for ESZ1 and SPY was at 13:30:25:889 CT on December 15, 2011?

    Thanks.
     
  2. Here is the time and sales for ESZ11 for the 13:30 minute:

    ES,2011-12,12/15/2011,13:30:07,121700.0,3
    ES,2011-12,12/15/2011,13:30:10,121700.0,1
    ES,2011-12,12/15/2011,13:30:16,121750.0,1
    ES,2011-12,12/15/2011,13:30:20,121750.0,1
    ES,2011-12,12/15/2011,13:30:34,121725.0,1
    ES,2011-12,12/15/2011,13:30:37,121750.0,8
    ES,2011-12,12/15/2011,13:30:37,121750.0,7
    ES,2011-12,12/15/2011,13:30:37,121750.0,10
    ES,2011-12,12/15/2011,13:30:39,121725.0,3
    ES,2011-12,12/15/2011,13:30:49,121750.0,3
    ES,2011-12,12/15/2011,13:30:49,121750.0,1
    ES,2011-12,12/15/2011,13:30:49,121750.0,1
    ES,2011-12,12/15/2011,13:30:51,121750.0,6
    ES,2011-12,12/15/2011,13:30:52,121725.0,1
    ES,2011-12,12/15/2011,13:30:54,121725.0,1

    I would say 1217.25/1217.50

    I don't have SPY data.
     
  3. nitro

    nitro

    Thank you! Now maybe someone with SPY data :)
     
  4. nitro

    nitro

    122.50 x 122.51
     
  5. nitro

    nitro

    Incorrect. The correct values are 122.29 x 122.30.

    I didn't take into account that my CFTC data is timestamped CT and the SEC data is timestamped ET.