Research Computing >> Data >> R&C Futures Data
R&C FUTURES DATA
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.
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:
The period covered is through August, 2004. Variables available include Date, Time, Open, High, Low, Close.
R & C Research/
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.
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