Historical Data for Crude Futures (CL)

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xicaju

Does anyone know where I can get daily historical data to download into excel? I was hoping to find something free through yahoo or similar.

Any ideas? Thanks to all!
 
I posted the same question earlier today.

Go to wsj.com and go to historical prices. Find light crude and contract date.

The crappy part is that there is no excel download. Your going to have to copy/paste day by day. If its for a month or two, it should be fine. Longer times would be too much work.

I also have a wsj.com so I may be getting data that you a non-user can't, but I doubt that is true.

http://online.wsj.com/mdc/public/page/2_3023-fut_metal-futures.html
(click FIND HISTORICAL DATA for earlier dates)
 
Thanks Monty. Your link is better than what I have found so far. I am perplexed why this information is not readily available in text delim format on the web. strange.

I would like run some analysis on average daily ranges and volatility.
 
Quote from xicaju:

Thanks Monty. Your link is better than what I have found so far. I am perplexed why this information is not readily available in text delim format on the web. strange.

I would like run some analysis on average daily ranges and volatility.
More...

No problem...

I created the same thread earlier in the day:

http://www.elitetrader.com/vb/showthread.php?s=&threadid=166775

I spent a lot of time looking for a source. I'm surprised the NYMEX site didn't have historical end of day prices. I only need data for 30 days max so it shouldn't be too bad for me to input it manually. Importing data from web into Excel doesn't work well from wsj.com unfortunatley.
 
Quote from monty21:

I posted the same question earlier today.

Go to wsj.com and go to historical prices. Find light crude and contract date.

The crappy part is that there is no excel download. Your going to have to copy/paste day by day. If its for a month or two, it should be fine. Longer times would be too much work.

I also have a wsj.com so I may be getting data that you a non-user can't, but I doubt that is true.

http://online.wsj.com/mdc/public/page/2_3023-fut_metal-futures.html
(click FIND HISTORICAL DATA for earlier dates)
More...

you could have asked someone using esignal or metastock or futuresource to export it in excel and give it to you
 
I like the wsj.com just because it is free and there is ton of information. But you have to do everything manually.

The issue with historical data is that there is no set end of day price when the contracts come closer to expiration. I am unsure of whether I should use the numbers that have the highest open interest (if there is two days to expiration, the next contract will have more open interest)? But that can make the data skewed and inconsistent.

Thoughts?
 
When contracts get closer to expiration, open interest goes down significantly.

It then becomes uncertain if I should use the other contract (future expiration) that has much greater open interest.

For example.... a week ago... on June 9th on some interest rate futures... open interest was excetionally low on the week prior. All the trading happened for the July or later day contracts. Does it make sense then to use the June 09 contract end of day price, or use the future expiration that has much more open interest?
 
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