Futures historical data

[Anson]

Hello... I have 3 questions.

1. How much daily data is available for the mini Hang Seng? Seemed like it only goes back till July2003? It doesn't seem complete in July either.

2. Why does some daily data go back till 2002 like the ES and ET-DT but not display any data when I key in ES Z2002 or ET Z2002-DT? The ES H2003 shows data back till Sep 2002 while the ET H2003-DT shows data back till Jun 2002.

I'm not that familiar with the ET but Jun 2002 sure shows extremely good range for the March 2003 contract if that's supposed to be the March contract being traded then.

Data is also very different when it is pulled from Mar 2003 compared to Jun2003 even though the date is for example Nov1 2002.

Extracted from ET Mar 2003 contract:
11/01/02,00:00,2516.00,2530.00,2468.00,2521.00

Extracted from ET Jun 2003 contract (This isn't the Jun2003 being traded in Nov2002, I think?):
11/01/02,00:00,2487.00,2489.00,2439.00,2491.00

I could be mistaken about the whole thing but pls help me out. Really confused here!

3. What is the actual current Daily historical data range on the ES, ET and MHI? I ask because I'm trying to build Daily Historical charts and the information in the info page is pretty non-specific.

North American Futures
Varies by Contract, as much as 9 years

International Futures
Varies by Contract, as much as 9 years

I'm sorry but "as much as 9 years" is too far off. I seem to be able to find data as far back as Jun/Sep 2002 but that's it! My apologies if I am wrong about this!

I am wondering if I will have to buy data from other providers. I truly hope not! Thank you for your time.

[ACM]

Anson
I don't necessarily have the answers to your questions but I would suggest that you check how much data is set to load in your Time Templates.
For example with regards to ET Z2002-DT I can see data all the way back to March 2002 (see image below) which seems in line with what the other contracts show (Mar 2003 starts trading in Jun 2002 and Dec 2002 begins trading in Mar 2002)



ES on the other hand has a shorter cycle with ES Z2002 beginning to trade in Jun 2002



As to the data for the various contracts being different even on the same dates that is the nature of future contracts.

With regards to how much data is available that can depend also on the contracts. For example ES is available virtually from its beginnings in 1998 (see image)



SP (shown below) on the other hand goes back to February 1993 as do most of the future contracts (US, TY, C, CL just to mention a few)



Again I suggest that you set your Time Template to load approximately 3000 Days as that should span over 10 years of data
Alex

[Anson]

Thanks for the quick response, Alex.
Like I said... I could be wrong indeed!
I truly hope so, in fact, and will certainly look at the data again before I update you. Thanks again.

[Anson]

Hello Alexis,

I have gone through the charts and started building my Daily data (continuation charts of sorts).

I apologise for my misguided remark that it seemed like it was less than 2 yrs data on the servers. It is closer to 5 years for the ET and ES I believe. An error in my data retrieval method was to blame!

However, I would like to highlight 2 issues.

1. The Mini Hang Seng (MHI xx-HKF) and Hang Seng (HSI xx-HKF) are truly only showing Daily data back till July2003. I have ensured the proper methods of data retrieval were used but it remains the same. Could you check if any data (before July2003) is somehow not in?
Image attached.

2. The March1999 ES contract is showing active volume but there are alot of days with bad price data in Jan/Feb99? The June1999 contract is experiencing similar problems in Apr/May99.
Sample image attached.

Any chance you could look into these (especially the MHI issues)? Thank you very much!

Anson

[Anson]

Sample of ES problem.

[ACM]

Anson

The Mini Hang Seng (MHI xx-HKF) and Hang Seng (HSI xx-HKF) are truly only showing Daily data back till July2003

I too am not getting any data prior to those dates. Someone from eSignal will be in a better position to explain this.

The March1999 ES contract is showing active volume but there are alot of days with bad price data in Jan/Feb99? The June1999 contract is experiencing similar problems in Apr/May99.
Any chance you could look into these (especially the MHI issues)?

As I don't work for eSignal there is nothing I can personally do about this. Anyhow, you can report these data issues using Report a Bad Tick which is available under Customer Support in the main menu of the application or by writing to [email protected].
Alex

[Anson]

Originally posted by Alexis C. Montenegro
I too am not getting any data prior to those dates. Someone from eSignal will be in a better position to explain this.


As I don't work for eSignal there is nothing I can personally do about this. Anyhow, you can report these data issues using Report a Bad Tick which is available under Customer Support in the main menu of the application or by writing to [email protected].
Alex

Thanks!
I will contact them.

Have a good weekend,
Anson