Realised Chart Archive-A Decade of S&P500 Futures (ES) Intraday Charts

[uuttyypo]

https://www.quantsystems.ca/course/charts

Format​

File Format

• All files are graphical (image) .PNG file type
• The archive is organized base don year
• To view charts, download the Zip file on your computer and unzip the folder
• Size: Most files are about 1920 x 973 pixels
• Each file is made up of 3 charts. Most of the archive has a small daily chart and a 60 minute intraday chart along with a large five minute chart
• Friday chart includes a small weekly chart
• The last day of the month includes a small monthly chart

Example

• The chart below shows how most charts in the archive is organized
• Later charts include an opening gap measurement indicator as you see on this chart

File Name Convention​

General Format
YYYYMMDD_Symbol - Gap - Day Structure - Day Type
Example:
20210115_ES - 20 pt Gap Dn Open - ORV Dn, PW LOD Rev, SC BL Trend, WBRF, DT LH MTR Dn - TTRD

• All files are named according to the above convention
• File names start with date (Year Month Day)
• Followed by symbol, which is ES for all charts in the archive
• If the day has a gap on the open, gap size is mentioned as points and in later years as percentage of the average daily range
• Price structures that build the day's chart are mentioned next, in the order they appeared
• File name ends with the day type. For example, a TTRD is a Trending Trading Range Day, which is a type of a trading range day that also trends some of the time

Opening Range Types

• The very first acronyms after gap size explain the type of the opening range
• Opening range (OR) or the first hour is the initial price action of the day that can last anywhere between less than an hour to more than two hours
• Most days (about 80% of them) have at least one reversal in the first hour and therefore form a trading range on the open
• If this range is broken out of, the OR type is ORBO for opening range breakout
• If the day forms a triangle for example, on the open followed by a breakout, it will be a TRI ORBO
• When there is only one reversal during the OR, it is called ORV up or down (for Opening Range reVersal)
• If the day trends from the first bar, the day is a T1B (Trend from 1st Bar) bull or bear
• Generally speaking, there are only three types of OR: T1B, ORV, and ORBO

Day Types

• TRD: Trading Range Day
• TTRD: Trending Trading Range Day
• SPB: Small PullBack trend
• Trend: Bull (BL) or Bear (BR) trend all day
• FOMC: FOMC Report or Minutes announced
• TRI: Triangle
• ET: Expanding Triangle

 

[GOODMEN]

https://clubbingbuy.net/threads/chart-archive-a-decade-of-s-p500-futures-es-intraday-charts.1367/