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Big S&P (SP) "Pit" Historical Data


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Big S&P (SP) "Pit" Historical Data

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  #1 (permalink)
Brisbane
 
 
Posts: 3 since Sep 2014
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Hi all,

I purchased daily historical data for the big S&P (SP) contract and received 2 forms of data:

1. Daily including Globex

2. Daily "Pit" session

The two data sets show radically different price action and I am wondering what this "Pit" data actually represents, I have attached screenshots of each (Globex- left, Pit- Right). The data is shown as monthly bars.

Could anybody out there shed some light on this please? I'm guessing this "Pit" data may need to be adjusted for the 1997 split in the big S&P, but that's only a guess

Thanks,

OZ

Attached Thumbnails
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Name:	SP Globex.jpg
Views:	41
Size:	53.0 KB
ID:	156306   Click image for larger version

Name:	SP Pit.jpg
Views:	43
Size:	56.2 KB
ID:	156307  
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  #3 (permalink)
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Pit data excludes electronic trading, and is literally only the pit. Don't use this data.

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  #4 (permalink)
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OZTrade View Post
Hi all,

I purchased daily historical data for the big S&P (SP) contract and received 2 forms of data:

1. Daily including Globex

2. Daily "Pit" session

The two data sets show radically different price action and I am wondering what this "Pit" data actually represents, I have attached screenshots of each (Globex- left, Pit- Right). The data is shown as monthly bars.

Could anybody out there shed some light on this please? I'm guessing this "Pit" data may need to be adjusted for the 1997 split in the big S&P, but that's only a guess

Thanks,

OZ

I am interested in buying ES data for the last 3-4 years.

Where did you buy the data?
How much it cost?
How far back does it go?
Shat time frames does the data include?

Thx.

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  #5 (permalink)
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cogito View Post
I am interested in buying ES data for the last 3-4 years.

Where did you buy the data?
How much it cost?
How far back does it go?
Shat time frames does the data include?

Thx.

ES tick data for the last 10 years is in Elite section of the forum, just look at the sticky threads.

If you just want minute or daily for the big S&P's (not ES) you can get that from IQFeed.

Mike

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  #6 (permalink)
Albuquerque, NM
 
Experience: Advanced
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Posts: 4 since Jun 2014
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Does anyone know where I can purchase intraday (time intervals like 5 min, not tick) SP data back to April 21, 1982? I can't find anyone who sells that. tickdata only sells ticks (for thousands), quandl and several other sites only sell daily data. CME sells tick+block data to resellers, as I understand it. I don't care about roll adjustments - my focus is on intraday.

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