E-mini S&P 500 Futures (ES/EP)
E-Mini S&P 500 Facts
E-Mini S&P 500 (ES) futures, are a broad market-cap index and tracks 500 of the largest companies of the U.S. economy, and is a strong indicator of the stock market’s overall health. There are a total of 11 sectors covered in the E-Mini S&P 500.
Our intraday data can be created as either continuous data series or individual futures contracts in 1-minute, 5-minute, 30-minute and 1-hour timeframes. Historical intraday data spans 30 years back to 1987.
Continuous data is created using backadjustment as standard, but can be created using other adjustment methods such as forward, ratio and zero adjustments.
E-Mini S&P 500 Historical Futures Data – Format Details
Portara provides historical intraday futures to CTAs, hedge funds, portfolio managers, quants, traders and institutions.
E-Mini S&P 500 futures data can be split into three main headings:
- Daily data – which includes either the last price or the settlement
- Intraday data – which includes trade volume
- Tick data – which can include the bid, ask and settle
You can purchase historical intraday ES futures data as individual contracts or in a continuous form.
Continuous 1 minute ES futures data can be formatted into back-adjusted, forward-adjusted, ratio adjusted and zero adjusted series. Portara can create bespoke rules for each futures ES contract based on volume, open interest, tick size and calendar date variations. Control delivery month combinations, timezone settings and timestamps that follow exchange or local time globally for any location.
Portara’s standard E-Mini S&P 500 daily futures data is made up of five data points – open, high, low, last-price and settle. Simply choose to have the daily close based on the last price or the settle depending on whether you wish follow extended sessions or just the day session.
Portara’s E-Mini S&P 500 intraday futures data is supplied as default in 1-minute bar. However, you may also choose other bar granularities such as 2 minute bar, 3 minute bar, 5 minute bar, 10 minute bar, 15 minute bar, 30 minute bar, hourly bar etc. You can also have us extract daily E-Mini S&P 500 data straight from the intraday database. In this case, you would choose the session (even if you need to cross midnight) and we can supply the custom E-Mini S&P 500 daily futures data between only between the custom session markers you choose.
Portara provides ES futures tick data in ‘Trades Only’ form or as ‘Level 1’ tick data, which includes the bids and asks. Download the tick data samples above. Our default format timestamp is to the millisecond. E-Mini S&P 500 tick data includes price, the trade volume, and other trade indicators such as bid, ask, trade and settle.
Remember to compare the file size of trades only data to level 1 tick data as they can vary by factors of 10 to 100 fold. If you have questions simply email us and one of our technicians will guide you.
All of our historical data is updated on a daily basis four times per day at the end of the Asian, European, Early US and Globex session. Portara’s enterprise software solution provides timely updates to your data, along with compression, roll and custom formatting features on CQG deep history databases. Historical E-Mini S&P 500 data updates are ready around half an hour after markets close. No exchange fees or other CQG products are necessary.
You can view other futures, forex, ETFs and fixed income symbols and commodities from the Historical Intraday Data Download Table. If you are looking for other historical data types such as daily or tick, you can visit the other download tables here:
- Historical Daily Data Download Table
- Historical Tick – Trades Only Data Download Table
- Historical Tick – Level 1 Data Download Table
To discuss ES mini futures data or if you have any other enquiry please reach out to us using the widget in the bottom corner or our contact page if you have visited us via mobile phone.