Historical data for futures needed

[tradegoodstocks]

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Quick tear sheet:

• Official Python, C++ support.
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• Goes 6+ years back.
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• We also support non-professional users; we're the sole provider of futures data for OpenBB, and are partnered with various finance programs - Berkeley, NYU, Pepperdine, etc.
• We're an approved distributor for over 30+ trading venues, we don't source of data from third parties; you can see us listed on the official vendor directories of OPRA's home page, IEX, etc.

How many years back of eurodollar futures end-of-day or settlement data do you have?

Also, what is the approximate cost? You mention $0.45 per GB in another thread; can you please elaborate how much financial data a GB might entail? Do you charge strictly by volume in GB?

Thanks in advance

 

[Databento]

Our CME history goes back to 2017-05-21.

If you only want GE end-of-day it's just $3.29 for 5 years. Tick data is a bit higher, at $95.61 for 5 years. You can select the instruments of interest and fetch pricing on our site.

I should point out that I think SOFR futures have become the de facto standard for a while so you're probably looking for SR3 as well.

 

[tradegoodstocks]

Thank you, Databento.

Does anybody reading this thread know any free or low cost data sources for treasury futures or interest rates futures (eurodollar) daily data before 2017 ? I want to do long-term studies with historical data.

 

[ph1l]

Thank you, Databento.

Does anybody reading this thread know any free or low cost data sources for treasury futures or interest rates futures (eurodollar) daily data before 2017 ? I want to do long-term studies with historical data.

https://www.investing.com/rates-bonds/eurodollar-historical-data

https://www.investing.com/rates-bonds/u.s.-3-month-bond-yield-historical-data
or
https://finance.yahoo.com/quote/^IRX/history?p=^IRX

https://www.investing.com/rates-bonds/2-year-treasury-bond-futures-historical-data

 

[tradegoodstocks]

https://www.investing.com/rates-bonds/eurodollar-historical-data

https://www.investing.com/rates-bonds/u.s.-3-month-bond-yield-historical-data
or
https://finance.yahoo.com/quote/^IRX/history?p=^IRX

https://www.investing.com/rates-bonds/2-year-treasury-bond-futures-historical-data

Thank you! The investing.com data looks usable, especially the eurodollar data series.
I think the treasury futures data are not spliced based on roll data, which means they are not very usable for long-term performance studies. Also, for my purpose I would need historical futures duration data to make use of the treasury futures data. You don't happen to know any data source for spliced continuous treasury futures data or historical futures duration data, do you? Thanks again for your links.

 

[ph1l]

Thank you! The investing.com data looks usable, especially the eurodollar data series.
I think the treasury futures data are not spliced based on roll data, which means they are not very usable for long-term performance studies. Also, for my purpose I would need historical futures duration data to make use of the treasury futures data. You don't happen to know any data source for spliced continuous treasury futures data or historical futures duration data, do you? Thanks again for your links.

Here is another link for 2-year t-note futures
https://finance.yahoo.com/quote/ZT=...istory&frequency=1d&includeAdjustedClose=true
Its title is
2-Year T-Note Futures,Sep-2023 (ZT=F)
But the historical data goes back to May 31, 2000. So, it might be for continuous futures prices.

If you are looking for 3-month T-Bill futures (probably better for comparing with Eurodollar futures which represent a deposit with a 3-month maturity), I could not find evidence that they exist now.

To simulate continuous 3-month T-Bill futures, you might be able to use 100 minus the T-Bill interest rate (in links in my above post).

 

[papace]

www.tickdatamarket.com
I use it from 2002, bought about 30 futures, never get problem. it provides all world futures tick by tick, back as 30 years.

 

[SimpleMeLike]

www.tickdatamarket.com
I use it from 2002, bought about 30 futures, never get problem. it provides all world futures tick by tick, back as 30 years.

Thank you so much.

What trading platform are you using?

 

[SimpleMeLike]

Our CME history goes back to 2017-05-21.

If you only want GE end-of-day it's just $3.29 for 5 years. Tick data is a bit higher, at $95.61 for 5 years. You can select the instruments of interest and fetch pricing on our site.

I should point out that I think SOFR futures have become the de facto standard for a while so you're probably looking for SR3 as well.

Good Morning Databento,

Do you have tick data for ES and NQ futures that I can import to NinjaTrader8?

Thank you,

 

[Databento]

Good Morning Databento,

Do you have tick data for ES and NQ futures that I can import to NinjaTrader8?

Thank you,

We don't have a direct integration with NinjaTrader 8 at this moment. We do support CSV exports but thereafter you'll have to format the data for import yourself according to their documentation.