futures intraday historical data

Discussion in 'Data Sets and Feeds' started by gorgias, Dec 29, 2001.

  1. gorgias


    I am looking for intraday historical data for us-futures (especially 5y - Treasury Notes), going back 2 years or so. It would be nice if they were not expensive which means less than 100$. Does anybody know a solution?
  2. dozu888



    I think these people have the data for the 10-year Treasury if you wonna use that.... Check their data quality and use at your own risk... but it's cheap anyway, $15/symbol.

    I have bot some data from them before, not in any way affiliated with them.
  3. rickty


    quote.com provides about 3 years of historical intra-day data.
    However, they only guarantee about 1 years worth. By the
    way, this if for wide range of stocks, futures and I believe
    options, etc.
    You can get at this data using a software called QCollector:
    It costs $79.

    Up until about a week ago I was able to access quote.com
    data with my free registration at their site. But alas, this
    appears no more to be the case. I've sent them an email
    asking for clarification but am yet to hear from them.

  4. Hi Richard,

    how did you access this data with a free registration ?

    Tanks in advance
  5. rickty


    how did you access this data with a free registration ?

    Well I was able to simply logon with the same username and
    password as that for accessing Livecharts. However, as I
    mentioned before, I haven't been able to do this for about
    a week now. There may be a change of policy at quote.com.
    However, their web site does say that they do provide
    free delayed quotes. Now, if only they would answer my
    email so I could get some clarification on this ...

  6. gorgias -

    Are you looking for trade by trade tick data or just historical 1 minute bars?

    Be aware that except for e-minis, futures tick data will not necessarily contain every trade that actually occured nor will it contain reliable volume info (or any volume data in most cases) because of the way in which it's collected by the exchanges.
  7. gorgias


    I am looking for 1 min - bars. Thanks for the advise about the unexact data but I already planned with it.
    Do you know some cheap and simple source for 1 min-bars?
  8. gorgias -

    I currently use Quote.com for bar data ($79/month+exchange fees - although unless you want realtime futures data you can do without the CME/CBOT/etc. exchange fees and take the data delayed).

    If you can read ASCII format data, you can just open up a chart for the particular contract you're looking for and then export the bar data to Ascii.

    Note that the data is by contract, so if you're interested in continuous contract data, you'll need to massage the data from multiple contracts to create it.

    You can also check http://www.price-data.com/int_futures.cfm - they have CDs of intraday data for sale at reasonable prices
  9. rickty


    You can also check http://www.price-data.com/int_futures.cfm - they have CDs of intraday data for sale at reasonable prices

    What a great site. I have been looking high and low for an inexpensive source of intraday data and up until now I thought
    that using quote.com's historical database (about 3 years worth)
    was the best that I could do. And if I wanted more then I would
    have to pay good money to tickdata inc. Many thanks for letting
    us know about the above site.

    I noticed they have some sought of report on money management for $99. For that money I would expect a decently
    informative work. Do you have any comments about whether
    this is so?

    Thanks again.

  10. vikana

    vikana Moderator

    Genesis Financial Data is the best I've found. Don't let the fact that they also sell Jake Bernstein and Larry Williams stuff deter you. I have bought several complete contracts from them in the past. Good data and good software. No affiliation other than a customer. Haven't bought from them since 1998/99 (I've collected in real-time since)

    #10     Jan 1, 2002