Analyses tick data for the S&P 500 futures contract, SP, for 2000–2019.
Data from Finnhub via Kaggle: https://www.kaggle.com/finnhub/sp-500-futures-tick-data-sp.
Good introduction on S&P 500 futures here: https://www.investopedia.com/ask/answers/042315/how-do-sp-500-futures-work.asp.
At the CME Group website: https://www.cmegroup.com/trading/equity-index/us-index/sandp-500_quotes_globex.html.
Finnhub's website: https://finnhub.io/.
Done in Python (Pandas) in Jupyter Notebook.
Code is in the 'S&P 500 futures.ipynb' file.
Results are in the 'S&P 500 futures analysis.xlsx' file.
CSV file has 13,802,502 rows and four columns: date, time, price, volume.
Analyses price and volume, aggregated and by day of week, month, year.
Analyses the last-digit of traded volumes and prices.
Exports results to the 'S&P 500 futures analysis.xlsx' file.
(To download the Jupyter Notebook file, click on 'S&P 500 futures.ipynb', right-click on 'Raw', then 'Save Link As...'.)