Back Adjusted Continuous Contract Data from Quandl

I finally got around to programming an easy Python down loader for CME data from Quandl.  I promised this in my last book, but haven’t got that many requests.   On the Ultimate Algorithmic Trading System…. page I have provided some data going back to early 2008 on several markers.  This is a work in progress.  I also wrote a back adjuster that rolls when the Open Interest + Volume is greater in the next contract and adjusts the data retroactively (Panama process) by the discount on the roll date.  As I state on the web page this data is not all that great even though it looks like it comes directly from CME.   I do fill in gaps and try to fix glaring errors so take it for what it is.  Its good data for preliminary testing, but to finalize an algorithm or to trade by I would definitely go the “paid” route.  Although the later data looks pretty good.

Before downloading the data I would sign up for Quandl and get an API key.  You will be amazed at the amount of data they make available – free and paid subscriptions.

 

 

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2 thoughts on “Back Adjusted Continuous Contract Data from Quandl”

  1. I subscribe to Quandl for data. Would you agree that the most appropriate futures continuous contract data for simulating historical trades in doaars would be 1st contract, backwards panama, open interest switch? Thank you.

    1. Hi, again Richard. Quandl no longer offers the individual CME data contracts that I was using to link the contracts together. They do offer a database that includes all of the front months in a single file. They also have the second month in files as well. From this data, you can splice together an adjusted continuous contract. The backwards panama with OI triggers is a great algorithm to use. Some prefer a volume and OI trigger. But I think you can get a robust database using just OI.

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