Time Zone of the data

[mtlberri]

Hi, first of all, thanks for that repo, it is really a great thing.

I am using the S&P500 data, and I must confess I am a bit confused by the time zone and trading hours of the data.
I just see a continuous flow of price 24h/24h.
Which is strange as it trades only 9:30 am to 4 pm EST, and some pre-post hours trading.
And since there is not the Volume traded in the data, I can hardly say when the trading day starts from the data.

What would help a lot would be to have an indication of which time zone is used for that data?

Thanks a lot for your help.

[FutureSharks]

I just see a continuous flow of price 24h/24h.

Hmm, you're right. I never noticed this. Perhaps it's a derivative of the S&P500 that trades 24/5?

In the end, the raw data files are just from Histdata. Their FAQ says the time zone is Eastern Standard Time (EST) time-zone WITHOUT Day Light Savings adjustments.

Data comes from here: https://www.histdata.com/download-free-forex-historical-data/?/ascii/1-minute-bar-quotes/SPXUSD

And according to the text it is SPX/USD = S&P 500 in USD.

If you have another data source for the real S&P 500 prices then feel free to open a PR to add them to this repo 🙂

[mtlberri]

Thanks for the reply, and yes indeed that is what histdata mentions.
I went and did a few checks for the data and I and I am confused by several things. For example, there is even data on Sundays such as 2018-04-01. I could not wrap my head around a few things on the data. And I wanted to compare it to a reference but I could not because sadly it is very hard to find SP500 intraday data.

Ok, no big deal, it was a small idea I wanted to check against data but I will give up.

Thanks for your reply anyway!
Cheers

[FutureSharks]

it is very hard to find SP500 intraday data.

Yes I know. Please come back here to share if you find some 😃

[mtlberri]

Will do!

[JamesBrownVC]

Hey guys, maybe a bit late to the discussion, but it's likely something called a synthetic pair. It is calculated from the futures value of SXP in order to be able to trade an approximate version of SXP500 on forex 24/5.