I have scoured the internet looking for data vendors supplying this product but it appears no-one provides intra-day continuous futures contracts. I can purchase the raw data directly from CME Group but I have no experience with adjusting contracts to remove the gaps. Well, hopefully someone out there sees this post and has some ideas. Thanks.
Pete :-) --- In [email protected], "Pete" <dryhe...@...> wrote: > > In particular I would like to know who you recommend as a data provider for > intra-day futures contracts. I am referring here to historical data rather > than real time. I have a source for real time data but would like to purchase > a database of ES, NQ, and YM futures contracts going back 1-2 years or more. > I have a trading strategy I would like to back-test and need more data than > just the current front contract to facilitate a more robust walk-forward > analysis. >
