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R&C FUTURES DATA

Contents


Availability

R&C futures historical daily and intraday data is available to current Kellogg faculty and doctoral students. The data is stored in the /kellogg/data/rcfuture path in skew3. The CDs may be borrowed from Research Computing by Kellogg faculty and doctoral students, if needed. The files are in comma delimited flat ASCII format with headers. Refer to the documentation and access instructions below.

Description

The R&C historical futures data includes both end-of-day and intraday data.

The Historical End of Day Futures Price Data Package covers 80 global commodities. It also offers actual contract data on continuous contracts. The data files are in plain ASCII format and include the following fields - Date, Open, High, Low, Close, Volume and Open Interest. The periods covered vary across different commodities. Some commodity (like Coca) has historical contract series as far back as in 1959. The periods covered for most commodities end in 2003.

The intraday data files cover six index futures series:

  • sp - S&P 500 Futures (Tick Data) - since 1982
  • dj - Dow Jones Futures (Tick Data) - since 1998
  • nd - NASDAQ 100 Futures (Tick Data) - since 1998
  • us - Thirty Year Bond Futures (Tick Data) - since 1978
  • minisp - Mini S&P 500 Futures (One Min.) - since 1998
  • minind - Mini NASDAQ 100 Futures (One Min.) - since 1998

The period covered is through August, 2004. Variables available include Date, Time, Open, High, Low, Close.

Vendor information

R & C Research/
R & C Research
50 Barrett Parkway Suite 1200
Box Number 286
Marietta, GA 30066
Phone: 1.888.877.9327
Fax: 1.888.877.9327
Email: info@grainmarketresearch.com

Accessing R&C Futures Data

To access the files, users must write programs to read the data. The file layouts can be found in the following web pages:

Other tick-by-tick data available at Kellogg: The CME Selective Time and Sales data (CME tick data); NYSE Trade and Quote (TAQ) data; LIFFE Tick data.

Additional futures data, end-of-day summaries: Futures Industry Association data. DRI, Datastream and Bloomberg also include some futures and options data.

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