Index Futures OHLC Data
Session-aware OHLC datasets for major U.S. equity index futures. All datasets are built from continuous futures series and filtered by trading session — RTH, ETH (overnight), and full-session coverage — with timestamps provided in New York time (ET).
Available Index Futures:
Nasdaq-100 Futures (NQ)
Session-based OHLC data for E-mini Nasdaq-100 futures, designed for intraday backtesting, ORB/IB research, and session statistics.
S&P 500 Futures (ES)
Intraday OHLC data for E-mini S&P 500 futures, suitable for systematic research, volatility studies, and RTH/ETH comparisons.
Dow Jones Futures (YM)
Session-based OHLC data
for E-mini Dow Jones (YM) futures, including RTH, Overnight (ETH), and 24-hour continuous sessions.
Data Coverage:
- Start date: January 2014
- End date: Present (continuously updated)
- Trading calendar: CME equity index futures
- Adjusted for exchange holidays and daylight saving time (DST)
Trading Sessions Covered
Regular Trading Hours (RTH) for this dataset are defined as:
- RTH (Regular Trading Hours): 09:30–16:15 ET
- ETH (Electronic / Overnight): outside RTH (overnight session)
- Full session: combined coverage (session-aware formatting)
Methodology Overview
- Datasets are constructed from continuous futures series using a documented rollover rule and back-adjusted pricing to preserve historical continuity. Each instrument page provides the exact session definitions, timezone logic (EST/EDT), and file format details for research workflows in Python, Excel, or charting platforms.