Traders' Roundtable

I am looking to purchase historical end of day price data on futures going back to the early 1970's. I have found one company at www.price-data.com that sells data on a CD for a reasonable price.

Does anyone know of any other companies that sell end of day data on Futures?

Thanks

Trendtrader66 wrote:I am looking to purchase historical end of day price data on futures going back to the early 1970's. I have found one company at www.price-data.com that sells data on a CD for a reasonable price.

Does anyone know of any other companies that sell end of day data on Futures?

Thanks :)

I bought some of their intraday data, and found that it left much to be desired (inaccuracies, data gaps, etc).

For historical EOD data I've been very happy with CSI. Unfortunately you cant just buy historical data, you have to get an ongoing subscription as well, though you can always cancel it.

For intraday data I've had good (not great) experiences with tickdata.com. Due to lack of alternatives they seem to be the best choice for intraday data both on stocks and futures.

-bbc

Echoing bbc's sentiments: CSI http://www.csidata.com and Tickdata.inc http://www.tickdata.com

Has anyone had any experiences with Pinnacle Data?

They deliver commodity EOD data and their own software that allows you to link contracts using a number of different methods (back-adjusted included) at a very reasonable price. I have also read many positive reviews of their data and their quality on other forums. I wonder if anyone here has ever used their service. Thanks.

TK,

I used to use Pinnacle years back, and they do have very high quality data. My main issue with them came when I needed to specify my own rollover schedule by market as opposed to their designed in one.

Particularly, on the STIRs (short term interest rate contracts) where they could not do anything but roll in the month prior to contract expiration (which is absolutely ridiculous in these markets). I provided Pinnacle with test results showing how sensitive the rollover spec in STIRs is in a trading system, but their software was incapable of rolling any sooner than the month prior to expiration. You would need to talk with them to see if this has changed in the years since, but it was an architectural issue at the time. Hence, I ended up at CSI and have been mostly pleased with their data service.

you might try http://www.globalfindata.com/ although you might find that what they have is overkill for your needs. I haven't used them personally, just bookmarked them for future reference...just in case.

I use Bloomberg for EOD data. Bloomberg lets you chose between settlement price and laste trade. For example, on EURIBOR contracts, the settlement price is at 16:12 and the close at 18:00 (http://www.liffe.com/trade/hours.htm)

. I have tested a short term system on EURIBOR and have found a great divergence depending on which closing price was used. Does your data provider let you chose between settlement price and last trade? What closing price do you use? Thanks for you answers.

This is mainly a concern for Euribor and FTSE data. Most all other futures markets produce a settlement price when the market closes. In pit markets of course, there is often some difference between the last trade and the official "settlement"; however, that delta is usually small...nothing like what can happen with the bor where trading goes on for almost another two hours after the settlement. Many people don't realize this about the bor. For those scratching their heads, the Euribor settles early to match the cash market end of day in Europe.

Similarly, the FTSE trading goes on for another hour after settlement and cash market close.

In CQG they have separate symbols for these: FTSE is QF and QFA, the bor is QE and QEA, and the Short Sterling is QS and QSA. The "A" on the end covers all the trading day with the last trade as close while the plain symbols cover just the trading day up through the settlement.

I am a bloomberg user so I guess I can use bloomberg EOD data for trading blox. Can anyone guide me through the process of uploading bloomberg data into tradingblox?