Bloomberg data reliability for index futures

brianhclo

brianhclo

Hi All,

Does any of you know how reliable are futures data (Open, Close, High, Low) from Bloomberg? If I am designing a strategy based on these variables (open, high, low, close), do you think I need to buy data from vendors separately? (Assume I execute on the open and close most of the time).

I am looking at these index futures.

HI1 - Hang Seng Index
HC1 - HSCEI
NK1 - Nikkei 225 OSE
XP1 - ASX200
QZ1 - MSCI Singapore
 
brianhclo said:
Hi All,

Does any of you know how reliable are futures data (Open, Close, High, Low) from Bloomberg? If I am designing a strategy based on these variables (open, high, low, close), do you think I need to buy data from vendors separately? (Assume I execute on the open and close most of the time).

I am looking at these index futures.

HI1 - Hang Seng Index
HC1 - HSCEI
NK1 - Nikkei 225 OSE
XP1 - ASX200
QZ1 - MSCI Singapore
More...

You may find it hard to believe but both BB and Reuters include rollover date in their data feeds for Nikkei, Topix and JGB futures without it being flagged. Of course, rollover data combined with actual trades makes any analysis impossible. I discovered this fault a while back. You may want to check if it has been corrected or not.
 
learner2007 said:
You may find it hard to believe but both BB and Reuters include rollover date in their data feeds for Nikkei, Topix and JGB futures without it being flagged. Of course, rollover data combined with actual trades makes any analysis impossible. I discovered this fault a while back. You may want to check if it has been corrected or not.
More...

Both price and volume.
 
There is no better data in terms of time and sales than Bloomberg Professional Terminal stuff.

Bloomberg data is clean and all the pros use it. MatLab and many other very high end toolsets have ready-made Bloomberg data link interfaces for good reason.

My 2 cents.
 
Thanks for the comments.

I got data from bloomberg for some of the futures mentioned. the problem I am facing is the OPEN is actually T-1 (Night Sessions OPEN). As there is normally a regular session (like the cash index) and a night session starting shortly after market close.

Not sure if I am able to retrieve (specify) the T regular OPEN that I need.

Thanks,
Brian
 
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