Sources of historical futures data

[RedDuke]

Please be careful with eoddata.com. I used their future data before. Many errors or simply missing chunks of data, even in ES. I asked the customer support and the answer was they don't have enough personnel to monitor/correct the data anymore... I cancelled right away.

Currently using CSIdata, and satisfied with it. The software Unfair Advantage looks like old fashioned windows program, but runs fine in Wine on linux, and the API (with docs last updated in 2006) still works great.

Used Norgate before, pretty good experience as well. But I need some instruments that they are not covering, so switched to CSI.

so you only use EOD data?

 

[HobbyTrading]

Interactive Brokers provides historical futures data. However, it is only available for futures contracts which are either not expired, or expired within the last two years.

 

[RedDuke]

Interactive Brokers provides historical futures data. However, it is only available for futures contracts which are either not expired, or expired within the last two years.

IB data has flows. Their main focus is market breadth and execution.

 

[algoseek]

Algoseek provides historical futures data from 2009 to the present. The data covers the CME, NYMEX, COMEX, and CBOT. Algoseek historical futures data includes every expiration contract for each trading day, for base futures, spreads, and future options.

We also deliver reference data for US futures from 2010 to the present, with daily updates. The futures Security Master File lists of all futures contracts with unique security ID, ticker, FIGI, start date, end date, expiration date, first notice, first delivery, last delivery, etc.

 

[Actuarial_Fun]

Pinnacle and Stockcharts has EOD

 

[RedDuke]

Pinnacle and Stockcharts has EOD

unless you look at 100 year I would be very curious to find out what can be done with EOD data that will have any statistical significance.

 

[felix_arb]

Hi Rob,

Norgate Data has quite extensive futures daily data for most worldwide liquid futures markets for a quite reasonable fee, and accessible via Python, with various metadata available (point value, last trading date, first notice date (where applicable), currency, margin etc.)

Coincidentally, I've actually been working on integrating pysystemtrade to work with our data. Will submit a PR when done.

https://norgatedata.com/futurespackage.php
https://norgatedata.com/data-content-tables.php#futures
https://pypi.org/project/norgatedata/

The thing for futures is that you guys upgrade too late after the "next day" already starts trading. You should really address that. I am a huge fan of your equities data by the way.

 

[Phoenix_colossal]

so you only use EOD data?

Yes, I only trade with EOD data. I don't have any algos with good enough SR to afford intraday trades.

 

[RedDuke]

Yes, I only trade with EOD data. I don't have any algos with good enough SR to afford intraday trades.

Impressive that you Built profitable models with EOD.

 

[tradrjoe]

Please be careful with eoddata.com. I used their future data before. Many errors or simply missing chunks of data, even in ES. I asked the customer support and the answer was they don't have enough personnel to monitor/correct the data anymore... I cancelled right away.

Currently using CSIdata, and satisfied with it. The software Unfair Advantage looks like old fashioned windows program, but runs fine in Wine on linux, and the API (with docs last updated in 2006) still works great.

Used Norgate before, pretty good experience as well. But I need some instruments that they are not covering, so switched to CSI.

Did you have an automated way to run Norgate within the Linux env? From what it looks like on the website, it is Windows only.