Reliable daily history data

R

rinfoh61

I need daily historical data for futures like Coffee, Sugar, Brent Oil, metals and so on. I don't need live feed, just reliable historical daily data for doing backtests. Should be atleast 10-15 years.

I got some data from quandl.com but I can't trust them fully. So now I wonder where I can buy historic daily data. I can't afford to pay more then a couple hundred.
 
You're right about Quandl - the futures data is fine for a quick visual to see where a market's been, but there are too many gaps to use it for analysis.

These firms have been around for a long time:

http://www.csidata.com/

http://pinnacledata.com/products.asp

http://www.crbtrader.com/products.asp?prId=DC Data center, 10 years of futures history plus a year forward (your annual subscription) for $350. I haven't bought THIS product but I've bought options history from CRB.

As you'll soon learn, if you haven't already, there are different methods for creating a continuous futures contract so read up on them. If I recall, Pinnacle provides several types of continuous contracts or lets you create your own.
 
Brighton said:
You're right about Quandl - the futures data is fine for a quick visual to see where a market's been, but there are too many gaps to use it for analysis.

These firms have been around for a long time:

http://www.csidata.com/

http://pinnacledata.com/products.asp

http://www.crbtrader.com/products.asp?prId=DC Data center, 10 years of futures history plus a year forward (your annual subscription) for $350. I haven't bought THIS product but I've bought options history from CRB.

As you'll soon learn, if you haven't already, there are different methods for creating a continuous futures contract so read up on them. If I recall, Pinnacle provides several types of continuous contracts or lets you create your own.
More...
Can I buy "Futures - Monthly: $35.00" (+60$ software fee) instead of annual subscription? Also can I use the data on for example amibroker, I dont want to get tied to their program.

Also, 10 years of daily data is almost too small amount, if I can get earlier data for about the same price I would rather get that. And I only want daily data so don't really want to pay for tick data and stuff
 
I don't know the answers your questions, but in my experience CRB has been reasonably prompt in responding to email inquiries (I've never had to call them). I will add, though, that the CRB data is not advertised as a continuous contract. Their software *might* knit contracts together but I don't know that for sure. If you want continuous contracts, I'd check with Pinnacle.

If you are only looking at a couple of commodities, sometimes you can buy the whole history - 20 or 30 years - ala carte and save some money. Once you're up to a few or a dozen, it usually makes more financial sense to just buy their whole package.
 
You didn't mention which software you use. That might affect your choice.

I've tried quandl too - data is not so good.

CSI is OK but perhaps the breadth of data is too wide. Note they have limits on how many markets you can access in any given day. Since the limits of the stock data they supply is also low I converted to www.premiumdata.net for both stocks and futures.
 
jharmon said:
You didn't mention which software you use. That might affect your choice.

I've tried quandl too - data is not so good.

CSI is OK but perhaps the breadth of data is too wide. Note they have limits on how many markets you can access in any given day. Since the limits of the stock data they supply is also low I converted to www.premiumdata.net for both stocks and futures.
More...
All I want is reliable daily historical data on some of the most popular commodities, some index like S&P and maybe DAX and some forex like USDJPY and USDEUR. No stocks.

I don't need/want livefeed and stuff. At the moment I use amibroker for backtesting and such. I prefer not to have to use some other software because I am accustomed to the software I use.

I want atleast 15 years of data, preferably more.
 
I've had no issues with the quality of the data from Premium Data. I started by buying just the history (and compared it side-by-side with CSI) only then later on went to a daily update with them. Worth a look - they offer a free trial too (with limited history).
 
jharmon said:
I've had no issues with the quality of the data from Premium Data. I started by buying just the history (and compared it side-by-side with CSI) only then later on went to a daily update with them. Worth a look - they offer a free trial too (with limited history).
More...
I bought their daily history, seems good. Thanks!

I don't know where I will trade in the future but at my current broker I can buy a "mini future" which follows Gold on the exchange "London Bullion market association" and I have data from CME Group and NYSE Liffe. Is it safe to assume that the price is almost the same?
 
JHarmon - Thanks for the info about Premium Data. The prices look very attractive, and for futures, it looks like they include two types of continuous contracts and allow the user to change rollover dates if he wishes.
 
From what I know, Gold is traded physically at LBMA via their ring sessions. The "PM fix" is probably the only reliable cash gold price that actually settles with physical There is a pseudo cash gold price on the FX market but it's simply a fictional cash settled instrument.

As far as I'm aware LBMA is NOT a futures exchange. Maybe your broker is creating some sort of synthetic futures instrument?

NYSE LIFFE US have a mini gold contract (YG) but volume is very low. I think Premium Data has that one too. Most of us trade GC on CME where liquidity is good and slippage is low.

Brighton - regarding CCs - yes you can choose your own rollover dates. In general they are fairly accurate to my style of trading but if you have your own preference just change it and regenerate. This can be useful if you want to trade seasonally too (eg. all you want to do is trade September Corn contracts - you can splice/combine just the September ones together).
 
You must log in or register to reply here.
Back
Top