Why is it so hard/expensive to get historical intra-day futures data.

This is a discussion on Why is it so hard/expensive to get historical intra-day futures data. within the Data Feeds forums, part of the Methods category; Hey People, I have been looking for historical intra-day hourly or more frequent data(10 years back) for my thesis but ...

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Old Jun 24, 2010, 10:32pm   #1
 
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Why is it so hard/expensive to get historical intra-day futures data.

Hey People,

I have been looking for historical intra-day hourly or more frequent data(10 years back) for my thesis but so far nothing seems available for free on the internet and the cheapest offer I got from a company is 1200 $.

The data is following:
-Chicago Mercantile Exchange -S&P 500 INDEX Futures
-Chicago Mercantile Exchange - 1 Year EURODOLLAR interest rate futures
-Chicago board of trade - 30 DAY FED FUNDS futures

Is there anyone who can help me obtain this data for free or for a reasonable price?

Additionally, the way the prices are fixed I think I might well just start learning to program after my degree. A program to gather similar data on real time platforms and selling it to half a price might just be the right job. It seems this would bring much better returns than chasing trends.
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Old Jun 26, 2010, 5:51pm   #2
 
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Re: Why is it so hard/expensive to get historical intra-day futures data.

Hi Gucci
try disktrading.com - they charge 100 or 120 dollars or thereabouts for their packages.
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Old Jul 2, 2010, 11:31am   #3
 
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Re: Why is it so hard/expensive to get historical intra-day futures data.

gucci_qb started this thread Thanks for the reply. I did manage to get S&P500 and Eurodollar, but no one seems to provide the Fed Funds rate futures. Do you have any idea? or any suggestions? Anyone?
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Old Jul 2, 2010, 12:28pm   #4
 
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Re: Why is it so hard/expensive to get historical intra-day futures data.

Quote:
Originally Posted by gucci_qb View Post
Additionally, the way the prices are fixed I think I might well just start learning to program after my degree. A program to gather similar data on real time platforms and selling it to half a price might just be the right job. It seems this would bring much better returns than chasing trends.
Which is the heart of your complaint. The reason no one has done that already is because there is licensing attached to the data... sorry...

And said licensing is what stops it from being free.

edit: just noticed you were doing it for a thesis. I'm sure you would be able to get it for free from somewhere somehow under those conditions, have you tried contacting the merc direct?

P.S. Remember you ain't getting ticks from the pit, definitely not during fast markets

P.P.S. 30 day funds. Why!?
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Old Jul 2, 2010, 8:48pm   #5
 
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Re: Why is it so hard/expensive to get historical intra-day futures data.

gucci_qb started this thread @arabianights

Thank you for clearing that out. I have tried various data providers and it seems disktrading will be the one, unfortunately they don’t have fed funds. So I am still searching for this data from various companies but no one seems to have them, except for a couple of trading platform sellers but they dont want to help since I am not going to buy their program( which I probably would if it wasn’t that expensive).

- What is this merc direct? Can you send me a link, somehow I couldn’t find it online.

- Well, that is what the CBOT have named (based on the underlying units maturity )the futures which are being traded in the market. It is said to be the ones that capture expectations to FED announcements

cmegroup.com/trading/interest-rates/stir/30-day-federal-fund.html
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Old Jul 7, 2010, 8:11pm   #6
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Re: Why is it so hard/expensive to get historical intra-day futures data.

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Originally Posted by arabianights View Post
P.P.S. 30 day funds. Why!?
30 day fed funds is not an easy find for tick data. Not even tickdata.com offers the symbol. Good luck with your quest.

Many platforms offer the symbol (i.e. eSignal), but only offer a couple of months back for tick data.
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Old Jul 8, 2010, 11:15pm   #7
 
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Re: Why is it so hard/expensive to get historical intra-day futures data.

gucci_qb started this thread No, I am still looking for that data and you are right it is really hard to get it. I dont know what I am going to do. I mean the data is out there for those who use/have access to bloomberg and reuters datascope terminals. So if anybody fell over this please let me know.
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Old Dec 10, 2010, 5:37pm   #8
 
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Re: Why is it so hard/expensive to get historical intra-day futures data.

Did you ever find the intraday fed funds futures data and the intraday eurodollar futures data? I am also looking for this data for a thesis, and I've had similar problems. If you've found the data, would you be willing to share?
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