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To get historical data (you said 20 years) on commodities, you have a wide
range of alternatives. First, however, I would urge you to determine a
number of issues in advance of calling vendors. First, determine the format
you need, if you haven't already, because not all data vendors offer all
formats. The format may be limited by the programs or tools you are using,
unless those tools are of your own invention. For example, if you use
TradeStation, the company, Omega, can provide those data on a CD, free. If
you need data in the ASCII format, Omega can't help. Many data sources can
be adjusted to the format you want if it's fairly common, such as Excel.
Lots of vendors have linked data sources, such as CQG (proprietary modem
download) and TechTools (user-selected list via nightly modem download).
(Hey, forgive me, I didn't mean to talk down to you - just not sure how much
you know!) Second, you need to answer the killer "continuous or discrete
contract?" issue we all wrestle with, i.e., do you want the data just for
each individual contract or do you want them somehow woven together (a
continuous contract)? And if you want separate contracts, make sure you are
comfortable with the vendors's various conventions about when they roll to
the new contract (date of first notice? when open interest is greater? five
days from expiration?) If you want a continuous contract, be aware that some
vendors can and some vendors do adjust them, i.e., add something to the past
contracts so that the current one is current and there are no gaps on
rollover (this is especially an issue withe the S&P futures contract).
Third, check the contracts you want to satisfy yourself when you talk to the
vendor that "introductions," if any in your list, are handled the way you
want. The biggest of these is the Spring 1997 switch from the old "Live
Hogs" to the new "Lean Hogs" contract (trading at some 30% lower), which many
vendors auto-adjusted past data to fit. Is this okay with you?
Then you are ready to call any one of the various vendors, ask about format
of the data, ask about how it is shipped (some can download directly to your
hard-drive over your modem; disk? CD?), ask them (or RT) about reliability
of the past data, and of course ask about price. You might wish to start by
calling the vendor of whatever charting system or analysis packages you use
to see if he or she has a recommendation; most vendors don't like to help
customers with data-fit problems, so they will be happy to recommend
something that works for others. But if you just want some names, there are
many. Here are a few I know of:
- Pinnacle Data, phone 800-724-4903, website www.pinnacledata.com
- Trader's Access, phone 714-721-8603, website www.tbspinc.com
- Bridge Futures Markets, phone 312-454-1801, website news.bridge.com/crb/
- Commodity Systems, phone 800-274-4727, website www.csidata.com
- Tick Data - I see its ads all the time but have no phone number or website
I assume you didn't mean data in hard-copy format. There's a different list
of vendors for that kind of stuff!
Good luck.
Larry
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