Historical end of day futures data

Discussion in 'Data Sets and Feeds' started by trader sim, Jan 17, 2012.

  1. Anyone know where I can get historical end of day futures data ?(besides csidata - they are to expensive)
  2. Ditto
  3. jharmon


    I've used CSI, Pinnacle and Norgate.

    CSI's coverage is very comprehensive - but includes so much stuff you'd never trade. I just hada look at their site and they appear to have gone to a very high price point on data histories (North america + World Futures 30 yrs history only!?! $950)

    Pinnacle's data has a few errors in it, covers about 70 markets, but is much better value at $149.

    Norgate's futures history covers pretty much all of the liquid markets (a few more than Pinnacle I think), is reliable, has good history length and for $75 it's well worth a look.
  4. Do any of your EOD sources have SOQ settlement data fpr ES and NQ?
  5. eoddata.com is not expensive.
  6. jharmon


    Very few traders hold until settlement time so the SOQ is probably irrelevant. Spreads get progressively worse as open interest drops.

    Roll your position baby!
  7. SOQ is based on a calculation performed at 4pm and reported by CME.
    This calc is used for cross margin purposes and assignments.
    SOQ primarily applies to ES and NQ futures.
  8. jharmon


    I think you might have the terms mixed up.

    SOQ refers to Special Opening Quotation which is the final settlement price used on contract expiry day since the contract expires at the open of the cash market. It is not used at other times.

    If you don't hold to expiry (most traders don't) then the SOQ is irrelevant to you and pretty much out of your control anyway.

    Are you confusing it with the daily settlement price? If so, pretty much all of the data vendors use the daily settlement as the close price although a few have separate close/last traded price variations for some markets.

    Here is when the daily settlement price is determined:
  9. My Bad:

    Meant Special Fixing Prices (ESF, NQF)


    Thanks for clarifying.

    #10     Sep 13, 2012