Can I buy EOD futures data from someone?

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LeviF
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Can I buy EOD futures data from someone?

Post by LeviF » Wed Oct 13, 2004 1:21 pm

I want 5 or 10 years worth of reliable continous contract adjusted data that I can use for system testing. Please email me at levif@caiowa.com

d-g
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Post by d-g » Wed Oct 13, 2004 1:43 pm

There are a number of professional data vendors, such as CSI and Pinnacle. Both sell historical EOD packages, as well as daily updates as a separate service.

Most individuals who are end users of such data are precluded from selling or sharing the information by their user license.

Roger Rines
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Post by Roger Rines » Thu Oct 14, 2004 2:00 pm

If you are new to Back-Adjusted contracts, know that not all contract adjusting processes are the same. In addition, the underlying timing used in creating the back-adjusted contracts is different between many of the markets. For example, the Bonds usually move to the forward month on the Close prior to last trading day before the month of expiration. Currencies most often move around the second Tuesday in the month of expiration, if the date falls between the 10th to the 15th, but a good substitute is to use Volume as a guide to understanding when the money is moving in this group. Grains most often follow the Open Interest, and the Energies roll each month typically between the 13th and the 17th depending upon how the large hands see the spread.

When looking at a data source, try to find a provider that will allow the flexibility in back adjusting so that your actions in the market has your data emulating your signal values. This will eliminate the need to do manual offset adjustments before you write down your orders, and thus avoid the chance of adding another source for a signal error. It also keeps the signal generation accurate to your trading behavior.

From my experience, CSI Data Service has a reasonably good tool for creating back adjusted contracts in their UA service:
http://www.csidata.com/

We use UA for building some historical ASCII data files, but we don't use the UA back adjusting process for our live contracts because it isn't flexible enough to allow us to emulate our roll decisions. We get around that limitation with our own in-house editing and adjusting software.

Pinnacle Software:
http://www.pinnacle.com/
This service provides history and may have some tools, but I've never used them so I don't know what they have to offer. However, it you look at them, or any other service, keep in mind how you control the timing of the adjustments once you are trading on a daily basis. With this in mind, you should be able to decide if they will work for you.

One last point about roll forward timing for creating back adjustments:
Smaller traders can often use a date-based timing approach and not get hurt too much by liquidity issues. If you are trading a small size then UA's tool, and maybe others if their data is as good as CSI's data, may be a good choice to elect.

Ben McGinn
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Post by Ben McGinn » Fri Jul 08, 2005 1:00 pm

Pinnacle Software:
http://www.pinnacle.com/
This service provides history and may have some tools, but I've never used them so I don't know what they have to offer. However, it you look at them, or any other service, keep in mind how you control the timing of the adjustments once you are trading on a daily basis. With this in mind, you should be able to decide if they will work for you.
The website address is http://www.pinnacledata.com .

I use Pinnacle Data and they provide both point back adjusted data and ratio back adjusted data, which I find very useful. Their interface is DOS based and, to be perfectly honest, hopeless.

Ben

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