Where to find historical futures data?

jjapp said:
Quandle. Stevens futures data is already processed for rolls etc. Pretty good.
More...

I like Quandl. It's API is really nice to use. However, I was disappointed by the quality of Stevens Analytics Reference Futures data that is accessible via Quandl. I bought it expecting to get clean data. I found many spikes and interleaved data in the database. For example: https://www.quandl.com/data/SRF/CME_NGZ2011-NYMEX-Natural-Gas-December-2011-NGZ2011. Activate "Prev. Day Open Interest" and "Settle" columns and you will see quickly in the chart that there is clearly interleaved data. You can see price spikes (Settle column) in the following dates: 2007-07-16, 2007-07-19 and 2007-07-20. This is just an example of the type of errors you see in this database. Be careful.

Now looking for another source of clean historical futures data...
 
Any comments on premiumdata.com (Norgate)? They have nice coverage of EOD futures data for only $75 one time fee. @H2O I saw your old post from 2004 stating that they are a good choice. Do you still think they are good?
 
sjlnk said:
Any comments on premiumdata.com (Norgate)? They have nice coverage of EOD futures data for only $75 one time fee. @H2O I saw your old post from 2004 stating that they are a good choice. Do you still think they are good?
More...

I only used Norgate briefly as a backup to CSI around the period you mentioned. As I haven't used them for at least 10 years (probably more), it wouldn't be right to comment on Norgate's current offering / service.
 
You must log in or register to reply here.
Back
Top