Tip of the day: obtaining futures testing data

Discussion in 'Data Sets and Feeds' started by adadadog, Sep 10, 2009.

  1. You may know this already: Long term futures data is hard to obtain, given the nature of futures contract is time dependent. I have a solution to it. Futures data values are almost always proportionate to cash data values. It is easy to obtain cash data, use that for long term extensive testing of futures auto trading system. :D
  2. Probably a really bad idea. You gotta have the data for the instrument you are trading. Especially for intraday trading.
  3. What do you mean?
    S&p 500 Index cash vs. ES, big difference? Not to me, the two curves overlaps, except at extream points. with may be one tick difference.
  4. Retief


  5. cashcow


    If you had any fundamental understanding of the markets you would realise why what you are saying is nonsense.
    If you are trading futures - use futures data, simple. There are numerous sources where you can get futures data for relatively cheap. If you really need quality data and you cannot afford it, I would suggest you should be trading something different. Using the wrong data will ultimately cause you to lose more money that the $100 it would cost to buy the data in the first place.
  6. Maximum time frame for nqu9 minute data I can get is around 6 month; but I can get 2.5 years worth of cash index data. I test on both. The cash data is not perfect, it is a compromise.
  7. Occam


    NxCore can sell you full tick data for all North American futures markets going back several years. But I think it would cost you in the many thousands and you would need to use their API to access it.