where do I get historical data for spreads?

M

mizhael

Hi all,

I am looking for historical OHLC data for spreads that are actually traded on exchange.

Surprisingly Bloomberg only stores 2yrs of data(except a few cases, such as Euro$ spreads, etc.). Reuters also store a limited amount.

So where can I find data?

Thanks a lot!
 
Quote from mizhael:

Hi all,

I am looking for historical OHLC data for spreads that are actually traded on exchange.

Surprisingly Bloomberg only stores 2yrs of data(except a few cases, such as Euro$ spreads, etc.). Reuters also store a limited amount.

So where can I find data?

Thanks a lot!
More...

Not synthetic spreads that are created by subtracting one from the other.
 
I just couldn't find enough data...

Even within the very limited amount of data, there are lots of missing values...

So I completely got dissappointed by the lack of data...

And I am thinking of alternative routes...

How about just construct the mathematical/synthetical spreads myself by taking two outright contracts and substract one from the other.

What will be the difference between trading the synthetic spreads vs. trading the real exchange traded products?

Thanks a lot!
 
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