one minute DATA for ES and CL future contracts

Discussion in 'Data Sets and Feeds' started by InvestVision, Jul 26, 2010.

  1. Hi ,

    Please advice me on these issues. I highly appreciate your help and mention of your experiences in similar efforts.

    I am looking for 'one minute' data for ES (S&P e-mini) and Crude OIL CL future contracts for last 2 years.

    I am planning to use this data to beck test 'spread strategy trading opportunities' , I noticed manually many 'repeated spread patterns' between ES and CL future contracts and I wanted to back test and find 'reliable and profitable ' patterns .

    I will be employing Amibroker for this back testing as I found it as one of powerful programming platform.

    1) who are the good vendors providing ES and CL future contracts 1 minute data ( historical 2 year period) their pricing

    2) how hard is it to capture 1 min data from these vendors for 2 years worth of data into flat /text files.

    3) given these ES and CL are future contracts with many expiry months , how to handle all the different month symbols ? do we need to use API call with programing code ?
  2. rosy2


    2 yrs for this might be too long. ES vs EURJPY and CL vs EURUSD have been good lately as well. everything seems to be correlated these days
  3. bone

    bone ET Sponsor

    It seems good on the surface, and indeed the 2-year correlation for daily closing marks is 94.1%.

    And Joy Behar and Jessica Simposon are both white females.

    But the intraday cointegration will erode your stomach lining and peptic acid will leak onto your other internal organs.

    The contract currency valuation adjustment is significantly different than the volatility weighting - too different to successfully reconcile with blending.

    By that logic you can spread corn and 30-year bonds as well... but, would you?
  4. bone

    bone ET Sponsor

    In other words, you are delta Crude Oil no matter what you do. Defeats the purpose of arbitrage and spread trading, because you are directional crude whether you intend to be or not.