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Here's a correlation matrix created using most liquid symbols across CME, Eurex and a few from ICE UK.
I take the hourly closing prices for the instruments to calculate correlation.
Tabs in the excel spreadsheet: 60m_corr_all_data_47sym: All available data on hand - Data for most instruments goes back to 2010 (except for a few where it starts somewhere in 2016 like TN).
60m_corr_all_data_47sym_2018-19: Data filtered between Jan-2018 - Dec-2019 8am to 6pm ET
60m_corr_all_data_47sym_2019: Data filtered between Jan-2019 - Dec-2019 8am to 6pm ET
