I am seeking /ES historical price data distinguished by overnight session and RTH session details. All online resources that I've checked so far merely offer Globex data, which makes it impossible to efficiently run studies on my strat.

If you have access to such data for at least 01/23-present (1Yr ideal) or know where to obtain it, please reach out.

Note: The only resource I have seen thus far is Investor/RT; which was suggested by @FuturesTrader71 on a NexusFi podcast. I don't want to subscribe to an expensive data provider like Teton, Rithmic or CQG just for the needs of a non-Globex historical price data download. Any advice is greatly appreciated, best regards.

Interactive Brokers API will allow you to download such data. However, you have to know either C#, Java, VB, C++. or Python.

I use Python. I don't understand or use the others.

Quandl might be useful? An 'Error 20: TCP connection timeout' occurs anytime I try to access it so still not sure if it provides data distinguished by the overnight session (0430-0929EST) and RTH session (0930-1615EST).

It could be useful. I have used Quandl once or twice a few years ago. I quickly discarded it, because I don't like having to use multiple vendors.

BA 21 

Interactive Brokers API will allow you to download such data. However, you have to know either C#, Java, VB, C++. or Python. I use Python. I don't understand or use the others.

Excellent, I will delve into this and provide an update. Cheers!

BA 21 

Interactive Brokers API will allow you to download such data. However, you have to know either C#, Java, VB, C++. or Python. I use Python. I don't understand or use the others.

In your code, do you have the historical price data storing in a xlsx/csv? My excel is not pulling the historical data from my code properly. Wondering if csv would be better. I have no coding experience so this has been a long tedious process haha. Best regards.

frostylane 

In your code, do you have the historical price data storing in a xlsx/csv? My excel is not pulling the historical data from my code properly. Wondering if csv would be better. I have no coding experience so this has been a long tedious process haha. Best regards.

Download the data to Dataframe, then from there export to a CSV file.