Free sources of historical data

Use this forum to discuss data providers like CSI, charting, or other non testing software.
Post Reply
Macro
Roundtable Fellow
Roundtable Fellow
Posts: 70
Joined: Sat Dec 03, 2011 11:22 am

Free sources of historical data

Post by Macro » Thu May 24, 2012 2:06 am

Last edited by Macro on Thu May 31, 2012 12:40 pm, edited 1 time in total.

gunter
Roundtable Fellow
Roundtable Fellow
Posts: 83
Joined: Wed Aug 24, 2005 7:25 am
Location: George Town, Cayman Islands

Post by gunter » Thu May 24, 2012 8:42 am

Dukascopy also has a historical feed with tick data going back to 2001 for fx rates.

rhc
Roundtable Knight
Roundtable Knight
Posts: 464
Joined: Tue Nov 18, 2008 8:46 pm
Location: Oz

Post by rhc » Thu May 24, 2012 9:42 am


babelproofreader
Roundtable Knight
Roundtable Knight
Posts: 138
Joined: Wed Nov 10, 2004 4:36 pm

Post by babelproofreader » Thu May 24, 2012 4:22 pm


Macro
Roundtable Fellow
Roundtable Fellow
Posts: 70
Joined: Sat Dec 03, 2011 11:22 am

Post by Macro » Thu May 31, 2012 12:39 pm

Thanks for the awesome list. Would you guys suggest exporting daily OHLC data from a Bloomberg Terminal and using that instead of external data providers such as CSI?

cordura21
Roundtable Fellow
Roundtable Fellow
Posts: 61
Joined: Thu Mar 11, 2010 12:45 pm

Post by cordura21 » Sat Jun 02, 2012 7:50 am

I do that. The main point at the time of the decision was that I could get more data on things like first notice dates, etc... From Bloomberg, so I could setup my own rolling criteria. Or so I thought.

The other thing was that it was easier at the time to just use the Bloomberg Excel adding instead of dealing with separate text files.

Edit: the main issue with Bloomberg's continuous contract tool (which is very good) is that when you use relative rolling days it doesn't take into account business days but plain calendar days, and in some contracts that day difference can leave you rolling in a date with the wrong volume). That's why I did my own tool bur based on their data tool

Edit2: and btw, they have a cool way to change their tickers so you can precisely ask for a continuous contract rolled in any way you want directly from Excel without needing to change you terminal defaults. If you need that I can send you the how to.
Cheers, cord

Post Reply