Quandl , eurodollar historical data

eurusdzn

eurusdzn

I am looking for free historical data for eurodollar futures contracts.
I use VBA to organize text data into files. I have found a downloadable Excel
add-in to get free, shared historical data from Quandl.
Can anyone comment on Quandl data accuracy, and/or other issues and specifically on eurodollar futures data. I have searched the forums for ED historical data and cant come up with anything but
Quandl.
Thanks.
 
Quandl is young and continues to improve. If you're interested, their blog has an interesting post stating that what you see now will stay free forever, but they do plan to sell ala carte data sets in the near future. They invite people to create and curate their own data, upload it, and see if it there are any takers. I'm looking forward to purchasing the Jack Hershey daily signal. :p

With respect to end-of-day futures data, I've sampled it across several physical commodities. It might be OK for eyeing large trends but I wouldn't base a trading decision on it. I was surprised that even liquid contracts had data gaps, there were a few error spikes, holidays seemed to be handled inconsistently, and the continuous contracts ran all the way to the very last trading day (I know there is a lot of debate on which continuous method to use).

You might have better luck with super-liquid ED data, but before you spend time downloading and messing around with it, you might want to eyeball the data in Quandl's simple chart or table to see if there are gaps.
 
Brighton said:
Quandl is young and continues to improve. If you're interested, their blog has an interesting post stating that what you see now will stay free forever, but they do plan to sell ala carte data sets in the near future. They invite people to create and curate their own data, upload it, and see if it there are any takers. I'm looking forward to purchasing the Jack Hershey daily signal. :p

With respect to end-of-day futures data, I've sampled it across several physical commodities. It might be OK for eyeing large trends but I wouldn't base a trading decision on it. I was surprised that even liquid contracts had data gaps, there were a few error spikes, holidays seemed to be handled inconsistently, and the continuous contracts ran all the way to the very last trading day (I know there is a lot of debate on which continuous method to use).

You might have better luck with super-liquid ED data, but before you spend time downloading and messing around with it, you might want to eyeball the data in Quandl's simple chart or table to see if there are gaps.
More...

Thank you, very helpful. I downloaded a couple (edh2016 and edh2017 contracts) and did find 2 obviously
bad data points in a long series of prices from 2007. They were 5.x implying a yeid of 95%.
so, I see what you mean.
thanks again.
 

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Just remembered something: If you are only following a couple of instruments and only looking for EOD data, BarChart might work. I think their data is good - they've been in the business forever and I've been satisfied with some commodity option IV data I bought from them.

http://www.barchart.com/historicaldata.php?sym=&view=historicalfiles&txtDate=

Type in EDZ14, EDH15 etc. You'll get OHLC V OI for about 23 months. If you build your own continuous
contracts it might fit the bill.

For low cost providers of EOD data ($20 to $35/mo or so), there is some info here:
http://www.elitetrader.com/et/index.php?threads/reliable-daily-history-data.283834/
 
Beggars cant be choosers. Without making corrections to missing data, i can download only 6 months
of historical data from Quandl. This was for 2,5,10,30 treasury futures and eurodollar futures out to 2020.
 
Beggars should not be trading futures. I am quite serious here - I've seen too many people blow themselves up and never trade again.

You are significantly lacking in capital especially if you are considering these futures using daily bars and cannot afford the services of a data vendor.
 
jharmon said:
Beggars should not be trading futures. I am quite serious here - I've seen too many people blow themselves up and never trade again.

You are significantly lacking in capital especially if you are considering these futures using daily bars and cannot afford the services of a data vendor.
More...

You could be a manged futures guy, i dont know. But, explain why daily bars using exchange traded
and custom eurodollar and treasury futures spreads is not appropriate.
Seems the latest large multi week price swing in rates is about 30bp for the more aggressive spreads. Thats about $750 per spread. I dont think of that as too mich risk.
Im trying to learn and to model hundreds of these spreads along with trading signals.
Why not look for free data initially. Im cheap. I try to keep the thermostat down and put the small dog in a coat.
 
Daily data is fine - that's not the issue.

Re crap data - you can't polish a turd. I wouldn't want to try and create a trading system out of it.
 
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