Daily OHLC data for EUREX, LIFFE, NYMEX, COMEX
Author: RuneHS
Creation Date: 1/13/2016 3:26 PM
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RuneHS

#1
Hi,

I use open-high-low-close (OHLC) data for a range of futures from the mentioned exchanges (headline), I update the data in the morning and put them all into CSV files, I think that is quite ok for my use. Then WealthLab is accessing the data in the CSV files. So in effect we're talking about daily data, daily bars.

The data is in a contract specific format, e.g. "TYH6 comdty" for the 10-year US interest rate future, "TYM6 comdty" is the June contract etc.

So far I have been using Bloomberg as data provider, the terminal on my pc that is, for as we probably know this is a very powerful software package - all data is there. But it is very expensive!

Is there any update from you guys on data providers that at low a cost can provide a wide array of world data (many exchanges in diff. currencies, contract specific data) - is there any data provider that you would recommend? Like www.quandl.com or some other?

Thanks for getting back to me
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Eugene

#2
Hi,

1. Below please find exchanges supported by IQFeed provider:

International Futures and Domestic Futures... - EUREX, NYMEX, COMEX are on the list

2. As to Quandl, it's a dynamic marketplace with new vendors coming in. As a rule you can evaluate their paid data. For example, Stevens Analytics has some LIFFE, COMEX, NYMEX and EUREX for $100/month which is about 5% of the Bloomberg subscription cost. I can not "recommend" it though as I've only developed the Quandl provider but am not its frequent user myself.
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Eugene

#3
Quandl has just announced three new European futures databases launched:

Barchart Eurex, LIFFE and ICE
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RuneHS

#4
Hi, I have checked Quandl, it seems promising indeed. Quandl has a streaming service via their DDE server, so this is a nice and cheap way of getting real time data.

However - there are some costs that will pile up when using data from many exchanges.

However, if you (or me) can do with daily data update, then I have tested "FuturesDownloader" recently, which provides some excellent data at a much lower price, and that application is both very good in my opinion, and fast. You might have to do some interfacing of the data files (.txt or metastock format), but that is doable.

Bloomberg is of course perfect, I have used it for years, but at [ USD 2090 + VAT ] it is of course rather expensive