CME Futures Historical Spread Data

Discussion in 'Data Sets and Feeds' started by mm43421, Apr 25, 2019.

  1. mm43421

    mm43421

    Hello,

    I was hoping someone knew where I could obtain daily OHLC data for commodity spread contracts (ZS specifically, N/X specifically). I only need a limited sample ~2 - 3 months. I would be willing to pay a small fee but this is for a school project so the budget is not that large.

    Thank you
     
  2. ZBZB

    ZBZB

    Last edited: Apr 25, 2019
  3. mm43421

    mm43421

    Thanks for the response. I'd specifically like to be able to get the daily high and low of the spread. I can only get the open and closing prices of the spread by using that method unless quandl has higher resolution data that I'm not aware of. In that case I could approximate the high and low of the spread (this would be fine as well).
     
  4. Trader13

    Trader13

    Send me a PM with the date range you want (start date, end date) and I'll see if I can grab the data for you.
     
    bone likes this.
  5. ZBZB

    ZBZB

    Take the high of one month from the high of the other month. Repeat for lows.
     
  6. bone

    bone ET Sponsor

    Don’t do that if intraday spread prices are important for this person’s project. The latency between prints for July and Nov outrights during the course of the trading day will give much different synthetic pricing than the actual exchange spread.

    HOWEVER, if all that is required is a Daily closing price for the project - then yes, I agree use the historical exchange published SETTLEMENT prices for N19 and X19 outrights to derive a simple spread price.
     
  7. mm43421

    mm43421

    @bone, yes that's the issue. I'd really like to see intraday highs and lows for the spread in question, and it's not necessarily the case that High(NX) = High(N) - High(X).

    @Trader13, sent you a pm. much thanks.
     
    bone likes this.
  8. bone

    bone ET Sponsor

    The Red Bar is the one minute ZS N/X exchange traded spread, and the Blue Bar is the synthetic spread expression. You can appreciate the latency issues with the outright November contract prints creating a different synthetic price trading range as compared to the actual (true) exchange traded spread.

    As you could imagine, the artifact difficulty becomes even more pronounced with synthetic spread expressions that include more infrequently traded expiries or instruments.

    [​IMG]
     
    Last edited: Apr 26, 2019
  9. bone

    bone ET Sponsor

    2013 ZS N/X Spread Weekly:

    [​IMG]

    2013 ZS N/X Spread Daily:

    [​IMG]

    Note: I can no longer get intraday data for this spread.
     
    Trader13 likes this.
  10. mm43421

    mm43421

    @bone, ahh yes I see the latency issue, thank you for pointing that out. Those charts are exactly what I need, thank you!
     
    #10     Apr 27, 2019
    bone likes this.