Does anyone know of a data provider that provides downloadable end of day data for the exchange listed spreads?

I have spent some time trying to identify a source, but I have had no luck. Currently we are using CSI data and performing mathematical calculations on the underlying data, but I am very curious to see the difference between the mathematical synthetic and the actual Exchange Traded data.

My thanks in advance.
-Corvus

Corvus 

Does anyone know of a data provider that provides downloadable end of day data for the exchange listed spreads? I have spent some time trying to identify a source, but I have had no luck. Currently we are using CSI data and performing mathematical calculations on the underlying data, but I am very curious to see the difference between the mathematical synthetic and the actual Exchange Traded data. My thanks in advance. -Corvus

I am pretty sure that using settlement prices of individual contracts and then running the proper calculation, and comparing it to the exchange spread settlement price, will always be the same.

Whenever I have backtested spreads, I always used the settlement prices of the individual contracts, and just performed the math myself. It has always been accurate.

Of course, as you probably know, you can only do the math with settlement prices. Open, high and low can NOT be used accurately.

I agree, I cannot ever recall finding an end of day price discrepancy either (that said we are only looking at Calendar Spreads- never at the inters)

It it the OHLC and V that really interests me. I am really surprised that the data is not more available considering the added data will provide to quantified strategies.

Cheers!
-Corvus

Corvus 

I agree, I cannot ever recall finding an end of day price discrepancy either (that said we are only looking at Calendar Spreads- never at the inters) It it the OHLC and V that really interests me. I am really surprised that the data is not more available considering the added data will provide to quantified strategies. Cheers! -Corvus

I agree. Having OHLC exchange spread data would be great! I hope you find a source.

(Tradestation has told me that they plan to offer it - meaning it can be tested, etc - sometime in the near future. I'm not holding my breath).

I will let you know if I make any progress. i suspect we are going to have to create a tool that will grab the data from one of our data providers, but that is really a last resort.

Corvus 

Does anyone know of a data provider that provides downloadable end of day data for the exchange listed spreads? I have spent some time trying to identify a source, but I have had no luck. Currently we are using CSI data and performing mathematical calculations on the underlying data, but I am very curious to see the difference between the mathematical synthetic and the actual Exchange Traded data. My thanks in advance. -Corvus

DTN IQ Feed has all the exchange traded spreads data, intraday tick data as well as any timeframe.

kevinkdog 

I am pretty sure that using settlement prices of individual contracts and then running the proper calculation, and comparing it to the exchange spread settlement price, will always be the same.

Hmmmmm..... While Kevin's statement is correct for many (most?) situations I will offer a word of warning by saying that it is not uncommon for CL settlements to reflect spread prices that were unobtainable in real trading once you get out of the prompt few months.

SMCJB 

Hmmmmm..... While Kevin's statement is correct for many (most?) situations I will offer a word of warning by saying that it is not uncommon for CL settlements to reflect spread prices that were unobtainable in real trading once you get out of the prompt few months.

VERY good point. You may not be able to trade at the settlement prices, especially as you go to lower volume contracts. I try to account for this with healthy slippage estimates when I am designing a system. Then, even if I don't get the settlement spread price, I should still be OK.