Support Board
Date/Time: Wed, 07 Oct 2026 14:19:44 +0000
Historical CME index futures: specific absent interval and tick-record questions
View Count: 19
| [2026-10-07 11:17:31] |
| User516332 - Posts: 1 |
|
We are validating preserved ES/NQ/MES/MNQ historical intraday SCID files for tick-based research. Storage is set to 1 Tick. We have three specific questions: 1. Across our retained ES and NQ contract files, there are no records from June 7, 2012, 15:11 through 15:19 UTC (11:11–11:19 New York). Can you check your historical server for ESM12-CME/NQM12-CME for that exact interval, clarify whether there was an exchange/service interruption, and advise whether a supported request can recover additional records? We have not yet established the cause of the absence. 2. Fresh requests for ESH11-CME and NQH11-CME starting March 31, 2009 returned files ending March 14, 2011 at 18:42:37 and 18:42:30 UTC respectively. Both full-file hashes matched our preserved originals. Is this the available historical endpoint for these exact symbols, a symbol/contract boundary, or a request-setting issue? ES received/wrote 18,196,784 records; NQ received 6,801,579 and wrote 6,801,578. Please clarify that one-record difference if relevant. We have not repeated the same request again. 3. ESU17-CME at September 1, 2017, 20:59 UTC contains a record with NumTrades=0, Volume=466, Open/High=2474.25, Low/Close=2473.75 and Bid/AskVolume=0. A fresh request reproduced the complete file byte-for-byte. What is the supported interpretation, and are individual trade records or side-volume data for this minute available from your historical service? We can supply a minimal chartbook and relevant original Message Log using your supported procedure if required. We have preserved the existing files and are seeking actual historical records or a documented explanation, rather than synthetic fills. |
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