Where to buy / purchase Emini Regular Trading Hour data??

Discussion in 'Data Sets and Feeds' started by benysl, Apr 17, 2006.

  1. benysl


    hi all,

    I am doing some backtesting and would like to know where can I get Regular Trading Hour Data for

    Emini Nasdaq (8.30am to 3.15pm exchange time)
    Emini S&P (8.30am to 3.15pm exchange time)
    Emini Russell (8.30am to 3.15pm exchange time)
    Emini Dow Jones (8.30am to 4.00pm exchange time)

    Most website like barcharts, CME website or data provider they only provide the whole day data which include day and night session, I only need the day session which also known as RTH or Regular Trading Hour. I try searching google but could not find any vendor that provide on RTH data. Any help would be very much appreciated.

    I don't mind paying as long as the price is reasonable.

    I need daily data. Just need symbol, date,open, high, low, close. As far as the history goes to the current date.

    Thanks for reading
  2. squeeze


  3. benysl


    thank you I am emailing them to see if they can provide the RTH daily data.

    hope to have good news from them
  4. If you open an account with I.B you get the data for free me thinks.
  5. benysl


    yes you are right you need Metaserver or IB loaded and you can retrieve the data but only the current contract which is June contract.

    I cannot retreive March or Dec contract.
  6. if you open an account with Tradestation you get historical data.
  7. lwlee


    I just purchased their 1 minute data for the ES and ER2, going back as far as the contracts has been trading, '99 or so.

    Inexpensive, cost me $48 total. A couple of things, I had to convert to EST from CST, CME provides data in Chicago time zone. No problem, they offer a free conversion tool.


    I use Amibroker. Total cost, $229 for Amibroker and $48 for futures data. Less than $300. Talk about great ROI! Before this, I was thinking about subscribing to DTN but I found I only needed real time futures data which I can get from IB, keep Amibroker RT running and it will build up your futures database. For equities, I use Amibroker's Amiquote which gets free EOD data from Yahoo.
  8. benysl



    I did purchase the emini russell on friday to try out. A couple of problem
    their data wasn't very clean some date their data run to 6.00pm some run till 3.10pm, some is 3.01pm so I guess it wasnt really clean or complete.
    Another problem is the tool provided cannot convert to daily bars. I do not know how to convert to daily bar.
  9. lwlee


    Email support. They were helpful when I had questions. They claim that they have very clean data.
    #10     Apr 17, 2006