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Real, not Continuous, Historical Futures Data
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Real, not Continuous, Historical Futures Data

  #1 (permalink)
Elite Member
Asia
 
Futures Experience: Beginner
Platform: NinjaTrader, TOS
 
Posts: 798 since Jun 2009
Thanks: 109 given, 785 received

Real, not Continuous, Historical Futures Data

This may be a stupid question but I'm challenged getting real historical data for individual contracts. I have IQFeed, but unless I'm missing something I can only get data for individual contracts that are active (for example I can easily build a CL curve out for 12 months) but if I wanted to do the the same thing for a point in time in the past for, say, April 2009, the individual contracts are not available (but the Continuous Contract is of course).

What I'm trying to do is manually backtest spreads. It's a pig of a project but I can't even start without the data.

Has anyone here in the community found an easy way to get individual historical contract data?

I'm looking once again at tickdata.com (expensive but a well known provider) and CSI (unknown to me but might do the trick) as a possible paid route.

If I'm missing something simple please feel free to slap me, but backtesting with CCs for anything other than something where it is easy to calculate cost of carry seems a bit wrong... and backtesting anything with any type of seasonality using CCs is almost dangerous.

PS: Basically the type of data I want is something like Daily OHLCV OI on CLM09 from first trading day of the contract until last trading day as a csv file.

Thanks!

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  #2 (permalink)
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  #3 (permalink)
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Milan (I)
 
Futures Experience: Advanced
Platform: Ninjatrader
Broker/Data: Kinetick
Favorite Futures: FDAX,6E,CL,YM,NQ,ES
 
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I must be missing a piece, I use Kinetick and from NT R4 Historical Data Manager I can download from date to date whether in the Cont or single built in contract (If not existing I have to build each instrument's contract with Instrument manager). Do you want that I send you a sample file from Kinetick Historical?

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  #4 (permalink)
Elite Member
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Futures Experience: Beginner
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Posts: 798 since Jun 2009
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Thank you! Its a bit hidden but it looks like it works. CL 06-09 below:

Please register on futures.io to view futures trading content such as post attachment(s), image(s), and screenshot(s).


You may have just saved me a bunch of money and if so your next pint (or vino rosso) in Singapore is on me...

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  #5 (permalink)
 Vendor: www.iqfeed.net 
Omaha, NE
 
Futures Experience: Intermediate
Platform: NinjaTrader, MultiCharts, SierraCharts, Ensign, ProphetX and about 50 other commercial apps.
Broker/Data: IQFeed
Favorite Futures: Stocks
 
Posts: 14 since Feb 2010
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One thing I wanted to point out was also the different symbology available. You are using CL which would be the pit session only. QCL would give you the electronic contract data. +CL would give you the combined data. As it appears you have figured out, individual historical contracts going back a few years are available using the full symbol (QCLM09, CLM09, +CLM09 as examples).

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  #6 (permalink)
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Denver, CO
 
Futures Experience: Advanced
Platform: NinjaTrader
Broker/Data: NinjaTrader Brokerage
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DTN IQFeed View Post
One thing I wanted to point out was also the different symbology available. You are using CL which would be the pit session only. QCL would give you the electronic contract data. +CL would give you the combined data. As it appears you have figured out, individual historical contracts going back a few years are available using the full symbol (QCLM09, CLM09, +CLM09 as examples).

Clarification: NinjaTrader by default uses QCL as symbol mapping for IQFeed and Kinetick. The "CL" shown in the chart is the NinjaTrader instrument name and does not reflect the symbology used for the data provider. Users can see symbology used via the Instrument Manager.

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