I am searching for several years of daily data for DAX/ESTX50. Cash index data which I get from ESignal or Yahoo is not really valid. The opening gaps are either nonexistent or smaller than they really out to be. I think this is a problem with EUREX. ESignal does not provide continuous contract for EUREX futures as it does for CME. Is there a reliable source for 1. cash index data 2. continuous contracts 3. some other proxy which I could use to track dax/estx (maybe there is some european ETF similar to QQQ or SPY). ??? Thanks!
http://www.technical-investor.de/ Enter FDXc1 at the top of the page. Press the Go-Button. Select DAX FUTURE C1. Go to Zeitreihe on the left. Select 2 Jahre in the Drop-Down-Field and you get two years of Reuters continuous DAX-Future. You can repeat the procedure with the RIC STXEc1 for the Euro Stoxx 50 Future! Good Luck! ;-)
This is due to the way the cash index is computed: it is done every 15 seconds. In the morning, when trading starts on XETRA, the first computations will use the closing price of a stock (from the previous session), if this stock has not yet opened. This can and does lead to differences between cash index and future prices which severely influence results of backtests. regards Bernd Kuerbs
yes, severely indeed Thanks for reply's! Feel free to contribute to this thread if you have info on other EUREX daily data providers.
They used to give 2 years worth of data, now it is just 1 year. Still looking for continuous contract data or reliable proxies.
Yeah I've been searching the web for continuous daily closes. I know turtletrader provides daily data, but on a per contract basic. Figuring out the program to make on "continuous contract" from every diff. month, would be harder than the actual tests I'm trying to run. Any ideas on where to find free cont. data guys?