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Data request: CME daily volume report for ES
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Data request: CME daily volume report for ES

  #1 (permalink)
Elite Member
Sydney, Australia
 
Futures Experience: Intermediate
Platform: Sierra Chart, IRESS
Broker/Data: IB, IQFeed
Favorite Futures: ES, SPI, ASX stocks, options
 
Posts: 399 since Jun 2015
Thanks: 169 given, 446 received

Data request: CME daily volume report for ES

Hi all,

CME only displays a drop down for downloading their data for the last 5 days, from this page:
http://www.cmegroup.com/trading/equity-index/us-index/e-mini-sandp500_quotes_vol...0922&optionProductId=138

With a bit of creative URL editing I managed to download up to the 20th August, however, after that the downloads turn up empty. I assume they archive the database after one month.

Would anyone happen to download the file on a daily basis be kind enough to share it with me? 20th August was when the market started its correction which meant that I was literally 1 or 2 data points away from making an analysis relevant. I would like at least up to the August 1st, if not further back.

I assume I would not be the only one who is curious what happened a few days before the left side of this chart; I know I am.

https://futures.io/elite-trading-journals/36285-euro-session-es-s-p-500-futures-...w-t-s-12.html#post523115

Cheers

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  #2 (permalink)
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  #3 (permalink)
Market Wizard
Cleveland, OH
 
Futures Experience: Advanced
Platform: QST
Broker/Data: QST, DeCarley Trading, Gain
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I don't have it broken down by each contract month but I do have totals for all months combined for last 3 years.

Attached Files
Register to download File Type: xlsx ES OI.xlsx (140.8 KB, 6 views)
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The following user says Thank You to ron99 for this post:
 
  #4 (permalink)
Elite Member
Sydney, Australia
 
Futures Experience: Intermediate
Platform: Sierra Chart, IRESS
Broker/Data: IB, IQFeed
Favorite Futures: ES, SPI, ASX stocks, options
 
Posts: 399 since Jun 2015
Thanks: 169 given, 446 received

Appreciate it, thanks

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  #5 (permalink)
Trading for Fun
St Paul, MN, USA
 
Futures Experience: Advanced
Platform: Abacus
Broker/Data: RJO, Interactive Brokers
Favorite Futures: Commodity Futures & Options
 
Posts: 196 since Jan 2014
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You can get individual months here.

The combined might work better for ES, though, since it's so front-month loaded (the file Ron uploaded) ... just depends on your trading style and research needs.

My Barchart - Registration | My Barchart Login

"http://www.barchart.com/historicaldata.php?sym=&view=historicalfiles&txtDate="

(it's free but you have to register for this particular feature)

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