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Historical data for ES 06-17 and preceding contracts.

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    Historical data for ES 06-17 and preceding contracts.

    Hey there,

    I'm in the process of designing a LSTM-network intended for the ES E-mini instrument. The system requires tick-by-tick (Last price) historical data for each contract, and I was hoping to get historical data for at least the last five to six years. Downloading and exporting the ES 09-17 and succeeding contracts works like a charm (seemingly), yet ES 06-17 and prior contracts seems to be bugged, unavailable, or otherwise missing.

    Exporting the contract (ES 09-17) results in a text-file that consist of a single line:

    20170617 120357 1906228;2433.75;2433.75;2434;1

    Which is obviously wrong. Previous contracts also seem to be broken, where i.e. the exported text-file for ES 09-16 only includes a single hour of trading data, with incorrect timestamps where seconds and lower-granularity time information is missing entirely. Here's an example:

    20160708 200000 0000000;2122.25;2122.25;2122.5;14
    20160708 200000 0000000;2122.25;2122.25;2122.5;6
    20160708 200000 0000000;2122.25;2122.25;2122.5;3
    20160708 200000 0000000;2122.25;2122.25;2122.5;3
    20160708 200000 0000000;2122.25;2122.25;2122.5;7
    20160708 200000 0000000;2122.25;2122.25;2122.5;1
    20160708 200000 0000000;2122.25;2122.25;2122.5;1
    20160708 200000 0000000;2122.25;2122.25;2122.5;6
    20160708 200000 0000000;2122.25;2122.25;2122.5;2
    20160708 200000 0000000;2122.25;2122.25;2122.5;1
    20160708 200000 0000000;2122.25;2122.25;2122.5;1
    20160708 200000 0000000;2122.25;2122.25;2122.5;25
    20160708 200000 0000000;2122.25;2122.25;2122.5;1

    I've also tested this on two separate accounts, one with a lifetime subscription and another on the free plan.

    Therefore, I was wondering:

    1) If you guys could confirm that ES 06-17 and prior contracts are unattainable via Ninjatrader, or if there is something fishy going on here.
    2) If you could vouch for the integrity of the tick data provided in ES 09-17 and following contracts. This would be essential for me to have any sort of trust in the system I'm building..

    Thanks for your time!

    Regards,
    Kristoffer



    #2
    Hello,

    What data provider are you using to download this data? If using NinjaTrader, we only have a year of tick data for instruments we support, though some may have slightly more data at times.

    I look forward to hearing from you.
    Ryan S.NinjaTrader Customer Service

    Comment


      #3
      Hey Ryan, thanks for your response.


      I'm using the Ninjatrader Continuum connection. Guess I got lucky then =)

      Regards,
      Kristoffer

      Comment

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