e-mini s&p 500 futures data

[stockgoblin]

Hi,

Thanks for the end of day data for the e-mini s&p futures from 2007 on. I'm looking for data before 2007 though. Anyone know where I can get free e-mini s&p 500 futures end of day data that goes back as far as possible?

[NinjaTrader_AdamP]

stockgoblin,

With a kinetick subscription I can pull dailiy data past 2002 for the ES continuous contract.

Are you trying the continuous contract here?

[stockgoblin]

cool, I'll check into the continuous. What's the symbol - just ES right and the current contract date. I can only get back to dec 9,2004 on the end of day free data. Hey can you export that data you have back to 2002 and attach the file to a reply to this message for me? I'd appreciate it.

just the daily bars, I don't need the intraday really. Thanks

[NinjaTrader_AdamP]

stockgoblin,

You should have the same data available through Kinetick EOD. Please keep in mind its only daily data. Kinetick has 10+ years of daily data, 2 years minute data, and 120 days tick data for historical availability.

The continuous contract is "ES ##-##". Just tried kinetick EOD, its available.

[stockgoblin]

I only get back to dec 9, 2004. I guess it's cause my ES instrument has only 32 contracts defined back to 03-05. I assume you have more defined in the instrument setup - bottom of mapping tab

[stockgoblin]

I can list further contracts, like 03-04, 06-04, 09-04 and 12-04 but I think I need the offset numbers and the rollover dates to define them. - bottom of misc tab in instrument setup

[NinjaTrader_AdamP]

stockgoblin,

If you set the expiry to ##-## it strings together contract expiries back to 2001 at the latest. I tested and it goes back to 2001 for sure but may go back further.

Please try setting "Expiry" field to > "##-##"

[stockgoblin]

okay, I see, thanks

[NinjaTrader_AdamP]

stockgoblin,

Please find a screenshot attached.

[stockgoblin]

nice, yea it goeas back right to the start in 1997 - that's exactly what I need. I was wondering what the offset is for though in the contracts defined. Is that an adjustment that's commonly used to chart the ES or do you think just stringing them together is what the big boys do?

[NinjaTrader_AdamP]

stockgoblin,

Which offset are you referring to?

[stockgoblin]

in the instrument panel under the MISC tab of a futures instrument, at the very bottom, past the mapping there's a contracts defined section where you put in the name, rollover date and offset amount for each contract. So my ES instrument that came with Ninjatrader had 32 contracts defined, each with an offset amount. This gives me an entirely different chart than the ES without an expiry (##-##) due to the offsets. I assume they are adjustments between the close and open of the next contract. This is what was preventing me from getting all the data as well. As soon as I got rid of the contracts and put no expiry then I could access all the data.

[NinjaTrader_AdamP]

stockgoblin,

Yes, this is used by NinjaTrader to merge contracts. It is downloaded automatically whenever you connect usually.