CME Futures Historical Spread Data

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

 

You can get the individual months for free at www.quandl.com then just take one from the other to get the spread.


Edit:
https://www.quandl.com/data/CHRIS/CME_S2-Soybean-Futures-Continuous-Contract-2-S2


https://www.quandl.com/data/CHRIS/CME_S1-Soybean-Futures-Continuous-Contract-1-S1-Front-Month

Put the data into a spreadsheet and take the second month from the front month to get the spread or vice versa.

 

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).

 

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.

 

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

 

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.

 

@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.

 

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.

 

2013 ZS N/X Spread Weekly:



2013 ZS N/X Spread Daily:



Note: I can no longer get intraday data for this spread.

 

@bone, ahh yes I see the latency issue, thank you for pointing that out. Those charts are exactly what I need, thank you!