Low Cost Derivatives Datafeed Required

Discussion in 'Data Sets and Feeds' started by soundfx, Jun 14, 2008.

  1. soundfx



    I've been trying for some time to make sense of the "forward points" as shown at:


    I've found the formula to use, however whatever interest rates I use, I can never get the same values as those quoted on the CME site. These FP's come from ICAP, who only deal with institutional customers - so no chance of me getting the data from them.

    Unless anyone here can point me to a free source for the interest rates I need to use to calculate FPs, I need to obtain these from a low cost datafeed so I can calculate the FP's myself. Even better, if a datafeed exists which will give me regularly updated FP's which match with those from ICAP, all the better.

    However, here lies the rub...the obvious answer is use Reuters or Bloomerg. However, I think that this is far too much to pay for a few interest rate %'s or FP changes each day for a small-time trader like me.

    If anyone has any recommendations for low cost datafeeds with derivatives data please let me know.