Where on the CME Website Can I Find Continuous Futures Price Histories?
- Thread starter Cyrix
- Start date
Quandl says their continuous futures data is sourced from CME.
However, I tried to Google "continuous futures site:cmegroup.com" but couldn't find any page containing the data.
Does anyone know where is the data located on CME?
Thanks.
The raw data will be for each individual contract, they aren't getting the continuous data from the CME. Then quandl or their provider do the stitching themselves. I'm not sure you can actually get individual contract prices on the CME website but there are plenty of places you can get it for free, eg quandl, barchart, your broker...
GAT
Quandl says their continuous futures data is sourced from CME.
However, I tried to Google "continuous futures site:cmegroup.com" but couldn't find any page containing the data.
Does anyone know where is the data located on CME?
Thanks.
Easiest way I know is to download Ninjatrader, connect to Kinetick (free). Then query for a symbol like ES ##-##
They stitch prices together for you automatically.
Not to be pedantic but I've had issues with quandl's stitching - I prefer to download the raw data and do it myself. If you're running long dated backtesting be sure to check the literature on adjusting the data you can get into interesting problems.
... Then ur doin it rong. The markets changed post- 2008.
The markets are constantly changing.
Some markets changed between 2009 and 2016 due to flat zero interest rates and QE. This made it a particularly hard period for trading those markets.
Now those markets have changed again.
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