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Exchange Listed Spread Data

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Corvus View Post
Does anyone know of a data provider that provides downloadable end of day data for the exchange listed spreads?

I have spent some time trying to identify a source, but I have had no luck. Currently we are using CSI data and performing mathematical calculations on the underlying data, but I am very curious to see the difference between the mathematical synthetic and the actual Exchange Traded data.

My thanks in advance.
-Corvus

I am pretty sure that using settlement prices of individual contracts and then running the proper calculation, and comparing it to the exchange spread settlement price, will always be the same.

Whenever I have backtested spreads, I always used the settlement prices of the individual contracts, and just performed the math myself. It has always been accurate.

Of course, as you probably know, you can only do the math with settlement prices. Open, high and low can NOT be used accurately.


Last edited by kevinkdog; May 29th, 2015 at 06:23 PM.
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