16 Years of 1-Minute ES Data: Where I Got It and How I Cleaned It
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The data comes from Databento's official CME market data feed. The prices themselves are clean. The real trouble is which days you can't use: contract rolls, holidays, half days and data gaps. After dropping about 2% of full trading days, 3,924 days are left that I can trust.
3924usable trading days after cleaning