Hello, Does anyone know of a vendor that sells either hourly data or all prices during open-hours of say...S&P Futures with timestamp so then I can just grab the hourly that way? Thank you, Amahrix
Databento — We're still in a beta testing phase, but if you PM me your email, I can send you an invite. We have a very simple API that you can use your browser or any HTTP client. You can fetch a few recent days (the following API calls stop working in about a week's time) of sample data like this: - ESZ2, 2022-11-06 to 2022-11-08, hourly ohlcv, CSV - ESZ2, 2022-11-07 to 2022-11-08, tick data, JSON And we also have a point-and-click web UI that you can use to download data, similar to popular tools like Refinitiv DataScope; a Python client and a C++ client. The amount of data you're looking at is likely so small that it will be completely covered by our free credits.
No, unfortunately we don't. We have CME data back until March 2017. We don't have immediate plans to backfill the data before that date with a third party because there's no good source for it with PTP timestamping comparable to our own setup and it predates SBE MBO release, where there were many microstructural changes. If a lot of daily history is important to you, CME Datamine isn't that bad, and we've also seem some folks use Barchart as a cheaper solution for production use cases, though I can't speak for either.
Hi thanks for sharing. this datasource is inexpensive. Have you been using this for long and how is the data quality?