Does anyone know where it is possible to get/buy E-mini S&P500 (ES) historical 1-min data that has these features: 1) 1-min data 2) not continuous contract, only separate full contracts 3) not back-adjusted, just raw data 4) contains volume data So, for instance, "anfutures" don't fit, because it is back-adjusted, continuous contract and "Every history data file includes data for 3 months contract's period from roll-over day to roll-over day." which means that they cut about a month of data off of each contract. I googled and looked in to many other offers from different vendors, but none of them sell simple 1-min ES historical contracts data. They either sell transformed data, tick data or data bundled into packages with tens or even hundreds of other markets that I'm not interested in (thus making it expensive). Maybe anyone of you knows where to get this kind of data?
Try these two guys. I would let go of requiring the data to not be continuous. That's kind of asking for too much. Have you consider manually splitting the data on rollover dates? http://disktrading.is99.com/disktrading/ http://www.eoddata.com/default.aspx
I don't want it to be continuous, because I want to use my own method of creating a continuous contract Here's an example (attachment) of what I'm looking for. In this case it's June 2004 ES contract data. I'm looking to buy the whole history from 1998 till now. "is99" - continuous contract "eoddata.com" - sells a package instead of a single symbol. That makes the price unreasonably high: 14 years x 12 months x $10 = $1680 for one symbol and not even tick data.