Hi,
Sorry, I'm sure some variation of this question has been asked before, but I haven't been able to find the answer using the Search function.
I've been trying to do some Gap studies on the ES futures contract. I use Interactive Broker's datafeed and have have access to Kinetick's free EOD data.
I originally attempted to do my studies by (trying to) write a strategy in NinjaScript using 1440 minute bars and then using Strategy Analyzer to evaluate the results--unfortunately, I am absolutely terrible at writing any sort of code, so my initial efforts were very unsuccessful.
Since I'm pretty good in Excel, I decided to try to download the RTH OHLC data for the last 4 ES contracts and then perform my studies in Excel. I downloaded the Daily data from both IB and Kinetick but they both use ETH instead of RTH, so that doesn't work for the gap studies.
I then downloaded the minute data for all of the contracts, thinking I could quickly convert the ~90,000 minute bars for each contract into ~60 daily bars. This has proven to be much more time-consuming than anticipated because of the inconsistent number of minute bars per day (Daylight Savings Time, Holidays, and CME changing the electronic closing time, etc). At this point, I figured I was probably making things way too difficult for myself and there must be an easier way.
So, my question is this: is there a way to get non-back-adjusted RTH OHLC daily data for ES (or any other futures contract) from Kinetick (or IB--or any other source) in a .txt, .csv. or .xls format? I suspect I'm just missing something completely obvious, so if anyone has any suggestions, it would be greatly appreciated.
Thanks.
Sorry, I'm sure some variation of this question has been asked before, but I haven't been able to find the answer using the Search function.
I've been trying to do some Gap studies on the ES futures contract. I use Interactive Broker's datafeed and have have access to Kinetick's free EOD data.
I originally attempted to do my studies by (trying to) write a strategy in NinjaScript using 1440 minute bars and then using Strategy Analyzer to evaluate the results--unfortunately, I am absolutely terrible at writing any sort of code, so my initial efforts were very unsuccessful.
Since I'm pretty good in Excel, I decided to try to download the RTH OHLC data for the last 4 ES contracts and then perform my studies in Excel. I downloaded the Daily data from both IB and Kinetick but they both use ETH instead of RTH, so that doesn't work for the gap studies.
I then downloaded the minute data for all of the contracts, thinking I could quickly convert the ~90,000 minute bars for each contract into ~60 daily bars. This has proven to be much more time-consuming than anticipated because of the inconsistent number of minute bars per day (Daylight Savings Time, Holidays, and CME changing the electronic closing time, etc). At this point, I figured I was probably making things way too difficult for myself and there must be an easier way.
So, my question is this: is there a way to get non-back-adjusted RTH OHLC daily data for ES (or any other futures contract) from Kinetick (or IB--or any other source) in a .txt, .csv. or .xls format? I suspect I'm just missing something completely obvious, so if anyone has any suggestions, it would be greatly appreciated.
Thanks.
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