Historical Intraday Futures Data Download Table

Construction of Portara Continuous Intraday Futures Data

CQG data and Portara continuous intraday futures data sets are tailored to suit your requirements. Here is an example of some of the considerations when constructing continuous intraday futures data:

• Filename customisation: Names need to exactly match your backtesting or trading application
• Timezone required: Do you require local or exchange-based timestamps. If you don’t know, then don’t worry we will guide you at the data creation stage.
• Timestamp and time formats: “yyyymmdd”, 24h etc. If you are in the EU or Asia you may need formats that are not US/UK based.
• Price formats: Global cultural differences mean that commas and decimal points are interchangeable. Data tickers differ in magnitude. We can align data however you need it.
• Delimiter type: Some backtesting platforms do not use comma (CSV) at all.  As an example, with the NinjaTrader platform the data needs to be semi-colon separated or it won’t work.
• Start of bar or end of bar timestamp: If a hypothetical session starts at 0900h and finishes at 1400h the first timestamped bar with ‘SOB’ data would be 0900h and the last timestamped bar would be 1300h.  However, with ‘EOB’ data the first bar would be timestamped 1000h and the last 1400h.
• Compression: We provide continuous 1 minute data as standard.  However if you need historical continuous 5 minute data, or historical continuous hourly data creating instead, we can provide any customisations you require. 
• Trade Volume: Recorded from September 2000. You can also choose to add Tick Count (the precursor to Trade Volume) which was recorded prior to September 2000 so you have a complete intraday volume analysis.

These are just some of the many nuances that Portara simplifies for you.