Can anyone provide me the past 10 years historical data of continued front month hang seng index futures in 1 min interval? csv or txt format. much appreciated if you can also provide me the data in night session personally i use IB and the data is only up to year 2016 for this futures many thanks!!
Are you capable of stitching the contracts together into one continuous series yourself? If so, write the SQL query for your preferred continuous algo against the table structure below and I'll export the data for you. SQL> exec mydesc('futures1min'); . ColName CanNull ColType ================= SDATE N DATE(7) UTCDATE N DATE(7) NYCDATE N DATE(7) EXCHANGEDATE N DATE(7) SYMBOL N VARCHAR2(16) BASE N VARCHAR2(12) EXCHANGE N VARCHAR2(16) COUNTRY N VARCHAR2(16) CCY Y VARCHAR2(6) FTYPE Y VARCHAR2(12) BARIDX N NUMBER(22) UTCBARTS N NUMBER(22) NYCBARTS N NUMBER(22) EXCHANGEBARTS N NUMBER(22) OPEN N NUMBER(22) HIGH N NUMBER(22) LOW N NUMBER(22) LAST N NUMBER(22) TRADES N NUMBER(22) VOLUME N NUMBER(22) EXPIRY Y DATE(7) EXPYEAR Y NUMBER(22) EXPMONTHCODE Y VARCHAR2(2)
i think i need some time to figure out how to roll over each month. so you can extract individual futures contract for me? may be it would be very time consuming, or i should wait for other first. thanks a lot Kevin!
Date file is 22mb zipped, too large for ET attachment. PM me an email address and I will email it to you. To extract the individual contracts use this one-liner: gawk -F, '{print>$4".csv"}' HSI_1Min.csv If running under DOS (Windows) you'll need to escape the ">": gawk -F, '{print^>$4".csv"}' HSI_1Min.csv
Hi Kevin, I get the exactly same question as OP asked. May I get the file you extracted for orangelam before? I would be able to stitch it into continuous one. thanks a lot.