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

[gucci_qb]

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.

 

[Adamus]

Hi Gucci
try disktrading.com - they charge 100 or 120 dollars or thereabouts for their packages.

 

[gucci_qb]

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?

 

[arabianights]

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!?

 

[gucci_qb]

@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

 

[kipptrader]

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.

 

[gucci_qb]

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.

 

[lethemar]

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?

 

[Martinghoul]

Why not get it from the CME directly? Here: http://www.cmegroup.com/market-data/datamine-historical-data/datamine.html

 

[Maria_T]

Is there any hope to find intra-day FF1 (FF4) prices?

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.

Hello!

I'm also interested in this intra-day data for a long recent period of time (the goal is the same)...Did you managed to find it? I would really appreciate if you share it with me..
Could I find such data on Bloomberg?

Looking forward to your reply!

Best regards,
Maria

 

[trading.moex]

Guys, I have intra-day tick by tick level 2 data (stock market, futures & options markets) for all data feeds for the Moscow Exchange (MOEX). If you need - let me know. I would like to find customers to develop HFT strategies for the Moscow Exchange. In this case all data + conversion tools will be FREE for you.

 

[Trading Spaces]

Do a search on www.quandl.com for the data you are looking for.

Alternatively subscribe to esignal classic or iqfeed for one month and use qcollector to download the intra day data you want. Esignal classic is $55 for the month.

 

[Trading Spaces]

Do a search on www.quandl.com for the data you are looking for.

Alternatively subscribe to esignal classic or iqfeed for one month and use qcollector to download the intra day data you want. Esignal classic is $55 for the month.

Qcollector is $129 from www.mechtrading.com