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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 amibroker@xxxxxxxxxxxxxxx, "Pete" <dryheat3@xxx> 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.
>
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