Historical OHLC daily data

This is a discussion on Historical OHLC daily data within the First Steps forums, part of the Reception category; Hello everyone, i have just joined T2W and been trading on and off for the past few years, win some ...

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Old Jan 10, 2011, 4:19pm   #1
 
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Joined Jan 2011
Question Historical OHLC daily data

Hello everyone,

i have just joined T2W and been trading on and off for the past few years, win some lose some.
Lately i have got back into trading the e-minis and started to analyse the contracts in a more statistical fashion (i changed my mind on excel, respect!).

All this has presented me with a problem. At the moment i am pulling OHLC daily data manually from the platform I am using, for example for the e-mini Dow, the OHLC bar goes from midnight to midnight, take that data, and do my calculations, I must say that when I calculate Pivot Points with it, the levels are pretty accurate and witnessed, time and again, reversal in price at those level. That left me to believe that the data must be pretty accurate.

However, I have been looking at end-of-day data providers for extra past data, downloaded samples, compared with my data, same day, and the OHLC are all different! initially i thought that the O and C must be taken at a different time of the day but then why were the H and L different too?

Example OHLC for e-mini Dow 5/jan/2011from my platform: 11598,11683,11544,11659
from EOD free download for DJI 5/jan/2011: 11688.61,11742.68,11652.89,11722.89

Correct me if I am wrong, in the case of the e-mini Dow, the underlying contract is the Dow Jones so the High and Low of the day should be the same. am I missing something?

My first question to you guys, can anybody confirm to me please that, despite the underlying index of the e-mini Dow is the DJI, are the two indices different in value?

Also, if that is the case, can anybody recommend where i can get historical OHLC data for future contracts, expecially e-minis, Dow, NASDAQ, S&P, mini Russell, and also european ones such as FTSE100, DAX, EUSTOXX50, CAC40 etc

Thanks very much for your time reading my message
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Old Jan 10, 2011, 8:21pm   #2
Joined Dec 2003
Re: Historical OHLC daily data

One is a cash index the other a future on the index so they'll always be different but similar.
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Old Jan 10, 2011, 8:29pm   #3
 
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Joined Jan 2011
Re: Historical OHLC daily data

fox_trader started this thread
Quote:
Originally Posted by anley View Post
One is a cash index the other a future on the index so they'll always be different but similar.
Thank you very much for your reply anley, I appreciate.
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