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Hi:
I've been watching the discussion on data providers with interest because for about the last month I have been searching for one myself. I have looked at the free services, including Yahoo, and the majority don't offer futures data, only stock data. Even though some sites indicate that Yahoo has futures data, I didn't find it there. I think that futures data is a little more complex than stock and options.
I am interested only in end of day data and my requirements for futures data is it must have cash data along with the contract data. After searching the web for free or on the cheap data I narrowed in on Reuters. In beginning to set up my folders with The Downloader I soon made the discovery that Reuters does not provide cash data for a significant number of commodities. (Trying to understand their contract symbols file was a chore as they have altered the exchanges symbols and trying to wade through their 1200 cash symbols file is next to impossible.) As an example, they have no cash data for any of the meats and livestock as well as several of the softs and financials. On my initial upgrade to MetaStock 8.0, Equis support advised me that UA/CSI's data was not compatible with MetaStock. It took me almost a month of many emails to Equis Sales and Support as well as UA/CSI Sales and Support to determine to my satisfaction that UA/CSI is in fact compatible with MetaStock. UA/CSI has been in been in close contact with Equis and has all the tools and formats to be in sync with them up through version 8.0 and in my estimation they are in sync. Two or three years ago I had a MetaStock plug-in fail because of an incompatibility problem so this has been near and dear to me. I don't intend to run any more plug-ins, but that difficulty may be fixed anyway. I have received a demo copy of UA and their data and have run extensive tests and find that it does work with MS 8.0.
Other advantages to UA/CSI are that they provide volume data at the contract level (Reuters only reports total volume, their data format does not support contract level volume), and they make adjustments to incorrect data on a daily basis. Exchanges make errors in reporting every day and then correct it either the next day or in days following. I can't find anything in Reuters/The Downloader where these data corrections are applied. And of course the data vendor themselves make data errors too. But UA/CSI corrects all of these. There are other diffugalties with data too. For example it is not uncommon for an exchange to report a closing price that is out of range of the daily high and low. UA/CSI gives you the option of either allowing it to remain out of bounds, or to allow the high or low to extend to the close.
Futures data itself has inherent problems. All end of day volume figures are estimates and when the real ones come out the next day they can be so different as to not be believable. Also open interest is always reported on a one-day delay. These factors have to be kept in mind if you are using either one in formulas in any of your indicators. UA/CSI always reports the estimated volume, and then adjusts it the next day to the actual. I don't know how Reuters handles this.
I am in no way associated with UA/CSI but feel that when it comes to data one must first determine their personal requirements before making a selection and this is something that I've been looking at for the past month. Twenty years ago I entered my own data manually, then eventually went to CSI, and then to UA. I've been out of the market for a couple of years but am reentering and cash data is a part of my trading technique. I've got to have it, and have discovered that it is difficult to come by.
Jay
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