Using SPY data to compensate for ES data

Discussion in 'Data Sets and Feeds' started by CoralReef, May 7, 2008.

  1. I'd like to download a few years of SPY O-H-L-C data from yahoo (free,easy,fast) to analyze simple data like H-L range, Low for day in relation to OPEN, High for day in relation to CLOSE. Simple things like that.

    I don't know were to get ES o,h,l,c historical data from 9:30 to 4:00.

    If I convert my data to percentages does anybody see any major flaw that I may be missing that would make it not compatible with ES data? I should be coming up with almost identical numbers correct?

  2. Baywolf


    I am not exactly familiar with the symbol SPY, but isn't that an index? From my understanding, ES is a derivative of the S&P, so there may actually be deviating from the actual index.
  3. Surdo


    Last time I checked ES are S&P500 index futures, and SPY is an S&P500 etf.

    The S&P500 CASH index and SPY are essentially identical, both made up of S&P500 components.

    What do mean by "deviation"?
  4. Funny someone is doing similar things as I do. I am much more creative, I use QQQQ data from one broker for NQ trading on another broker (this broker has a chart that is simply not tradeable, last time I mentioned its name, it pressured ET to ban me from the forum).

    My experience is that they are the same. QQQQ is good enough for me to trade NQ. I also looked SPY and ES, they are the same. Just don't mix up the closing time. Also, the closing prices may be a little off for the pair, due to last seonds' trading.
  5. Baywolf


    That is essentially what I describe in other words.

    ES is a derivative of the S&P 500. Futures being the derivative of the actual product (the index).

    Therefore they are not the same thing; traders dictate the price for the ES, the 500 stocks dictate the SPY index, leading me to believe that the ES instrument can actually deviate from the true index (or as you say ETF) price. Someone correct me if I am wrong.
  6. Surdo


    The ES rarely deviates more than +/- a few ticks before index arbitrage programs kick in.
  7. Where did you get that idea? Any link?