Free Historical Price Data for Futures

J

jeffrey.johnson

Hi,

I found a few links with free historical end-of-day price data for futures containing open, high, low, close, volume and open interest.

PI Trading
http://pitrading.com/free_market_data.htm

Trading Blox (10 years of data)
http://www.tradingblox.com/tradingblox/free-historical-data.htm

Turtle Trader
http://www.turtletrader.com/hpd.html

I'm specifically looking for end-of-day data for corn, wheat and soybeans that goes back to 1985. My problem is that none of these sources can give me exactly what I need. PI Trading has continuous data, but it doesn't specify where the contract rollovers are occurring. Trading Blox only contains 10 years of data. Turtle Trader contains individual contract data, but every file has missing dates.

OpenTick doesn't seem to be taking new members. IB only supplies 1 year of data. Does anyone know of any other good sources of end-of-day futures data at a reasonable price?
 
Thanks. Do you have to link the contracts or can you download them individually? I like to join them myself.

I dont mind paying for the data, as long as its good quality. ie. no missing dates, and accurate.
 
Quote from jeffrey.johnson:

I dont mind paying for the data, as long as its good quality. ie. no missing dates, and accurate.
More...
Lots of people think CSI has the highest quality data. They charge money for it, though.

As an example, here are their first five contracts of Corn futures, starting with the May 1949 contract. It's in comma delimited ASCII, the fields are

Date, Open, High, Low, Close, Volume, OpenInterest, ContractMonthAndYear, CloseRepeated, Symbol
 

Attachments

By CSI you mean http://www.csidata.com/ I imagine.

Thanks for your information, but I find them to be expensive, because after paying the subscription fee, I still have to pay almost another $200 ($10 x 20 years) to get the data going back to 1985. Also, for some reason they only offer a maximum of 25 years of data in total.
 
Premiumdata.net is one of the cheaper providers but they provide full history (not just linked history) for a fairly low price. I use them and Pinnacle. Both are decent although I wish pinnacle could post their file at the same time every night.
 
That looks good, thanks. When you say "full" history, do you mean that they provide the individual contract histories as opposed to a continuous contract history?

At a $67 single time fee, I think I will go with this one. Have you ever had problems with the quality of the data? Are there any significant holes or inaccuracies?
 
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