Source for historic intra-day quotes

Discussion in 'Index Futures' started by damonjanis, Mar 12, 2002.

  1. Is there a source that sells or provides historic data on the S&P e-mini (or full S&P is fine too) for 5 minute intra-day bars? I'm looking for open, close, high and low, and for at least 1 years worth of data. Thanks!
  2. stevet


    why do you want historic 5 min data for the last year? and if you think you have an interlectual reason - have you taken fair value into account?
  3. I want to back test a system I'm using, to see how it responds in different markets (trending vs. sideways). I'm using RealTick and they only keep about 1 month worth of intra-day futures data, which isn't enough for analyzing different markets.

    I'm not sure what you mean by taking fair value into account, but am interested in understanding.
  4. wild


  5. Brutus



    I just have to say I find most of your comments on this board worthless. It doesn't matter why damonjanis wants the data. And fair value probably doesn't matter either.


    You can get historical data from
  6. Thanks Brutus and wild. Greatly appreciated.
  7. Most noble Brutus,

    Your statement is straight to the heart of the matter. However, my hat is off to stevet who has now given me a good reason to utilize the the ignore function.
  8. KnowFear


    Use with QCollector
  9. vikana

    vikana Moderator

    the CME has about 3 month of free intraday data. So that's a starting point.

    I've purchased S&P data from genesis data systems in the past. good experience. they also have good software to create all the types of bars you'd like from the tick data. Recommended.
  10. stevet



    interesting that you dont feel my comments are of value, yet damonjanis felt it worth to ask how fair value might affect what he is doing

    if you are back testing a system, you may want to be aware that since fair value is constantly changing, it is possible for two different values in historic futures data - to actually represent the same value - since both the different values may have represented the same value in the cash market

    so in order to back test, you may want to add the cash and both futures contracts into your formulation
    #10     Mar 13, 2002