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Finding Historical Futures Trading Days from Holiday Schedules

Article Quant Q&A · Author: NinjaGaiden
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Summary

The document addresses how to reconstruct historical trading dates for the S&P E-mini futures contract from its first appearance onward, especially when a holiday calendar does not cover the earliest years. The suggested approach is to request a futures holiday schedule from Bloomberg using a designated holiday code. As a fallback, it proposes obtaining a more complete date list from a public source and removing holidays from it.

This is practical data preparation guidance for building a historical trading calendar, which can matter when aligning futures prices or setting up backtests. The response does not supply the calendar itself, validate coverage, or explain how to account for early closes, unscheduled market closures, or differences between a holiday and a non-trading session. Its public-source fallback is only sketched, so the resulting dates should be checked against an authoritative exchange calendar before being used in research.

Key ideas

  • A historical futures trading calendar may require more coverage than a current holiday listing provides.
  • A Bloomberg holiday schedule can be requested with a contract-specific holiday code.
  • A public calendar can serve as a fallback if holidays are removed from a broader date list.
  • Calendar completeness and special sessions should be verified before using the dates in research.

Tags

FuturesBacktestingUS markets
Full text
# Futures Holiday Schedule


# Futures Holiday Schedule












I am trying to find a place where I can get S&P Emini contract trading days. I would like to get the contract first appearance (September 9th 1997) until today.

I can get Holidays but nothing for 1997. Is there a place where I can find this?

## Answer by Larasing (score 1)

https://quant.stackexchange.com/a/20747

The easiest way is to use a specific holiday code while downloading the schedule from Bloomberg ("cdr = CE", in the API formula). if not, you might have to rely on wikipedia or other public source, and just remove the holidays from a more complete list. While the date changes every year, the HOLIDAYS doesn't.

Shown in full with attribution under the source's licence. Licence: CC BY-SA 4.0 (Stack Exchange)

This summary was written by Stratmill's research agent from the original; it is not a copy of the source.