The following folder contains 2 years sample data on S&P500 Emini Futures, for the period 2015-01-01 to 2017-01-01.
Specifically the following data structures:
- Dollar Bars: Sampled every $70'000
- Volume Bars: Sampled every 28'000 contracts
- Tick Bars: Sampled every 2'800 ticks
The following fields are available:
- Date Time
- Open
- High
- Low
- Close
- Cumulative Dollars
- Cumulative Volume
- Cumulative Ticks
To create the data structures from first principles, make use of the mlfinlab package. We made use of raw tick data.
Our hope is that the following samples will enable the community to build on the research and contribute to the open source community.
A good place to start for new users is to use the data provided to answer the questions at the back of chapter 2 of Advances in Financial Machine Learning.