Hi all, I am looking for historical OHLC data for futures spreads that are actually traded on exchange. Surprisingly Bloomberg only stores 2yrs of data(except a few cases, such as Euro$ spreads, etc.). Reuters also store a limited amount. So where can I find data? I just couldn't find enough data... Even within the very limited amount of data, there are lots of missing values... So I completely got dissappointed by the lack of data... And I am thinking of alternative routes... How about just construct the mathematical/synthetical spreads myself by taking two outright contracts and substract one from the other. What will be the difference between trading the synthetic spreads vs. trading the real exchange traded products? Thanks a lot!
Construct the spread yourself... There's enough people out there that make sure the spread is in line with the outrights over any reasonable period of time. My 2c.
Well, ideally speaking, based on non-arbitrage theory, I should be able to backtest on mathematical/synthetic spreads, and trade either the real spreads or the mathematical/synthetic spreads. But in reality, I don't know how realistic is this, especially when the bid-ask on individual legs are very wide. Also, trading mathematical/synthetic spreads can potentially have the problem of broken-legs... Therefore, hopefully, the most feasible route is to backtest on mathematical/synthetic spreads and trade the real spreads. Any thoughts?
Trading the ICE Brent-WTI Futures Spread will result in two separate positions in the underlying futures markets for WTI and Brent. The settlement of each leg will be respective expiry of the Brent and WTI futures contracts as made public by ICE Futures Europe and CME (NYMEX). Upon expiry of the Brent leg, holders of a WTI trade will then be left with a long or short position in the WTI market which will then be settled on expiry of the relevant underlying WTI contract. ICE WTI Futures - trading shall cease at the close of business on the 4th US business day prior to the 25th calendar day of the month proceeding the contract month. If the 25th calendar day of the month is not a US business day the final trading day shall be the trading day which is the 5th US business day preceding the 25th calendar day of the month proceeding the contract month. (A US business day is a day on which NYMEX is open for business) The West Texas Intermediate Light Sweet Crude Oil futures contract is cash settled against the prevailing market price for US light sweet crude. It is a price in USD per barrel equal to the penultimate settlement price for WTI crude futures as made public by CME/NYMEX for the month of production per 2005 ISDA Commodity Definitions. The weighted average price of trades is determined during a three minute settlement period from 19:27:00 to 19:30:00 London time (14:27:00 to 14:30:00 EST)
If I am not mistaken, CME offers the historical data for the actual exchange traded spreads. I am not sure that how much it costs.