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If you plot the price series against volume or open interest, you'll see there was no trading at all in the contract during the early part of the series. This is common for futures – the exchange lists quite a few of them, but only nearby expiries are actually traded. The other contracts still have daily settlement prices, but cannot be relied upon.


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If you have a friend studying at almost any university you can get access to WRDS. Inside WRDS just go to Compustat which has all the info you need for dates since 1950.


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There are two mainly (good) free sources available online: wolphramalpha.com Quandl They report the mainly market and fundamental data, so you will not find any particular fundamental accounting ratio. In the case you need particular ratio or data, you should get some better financial data provider, as, for instance, Bloomberg or Thompson Reuters.


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I am and have been a silver member for 3 years with EODDATA. I have had no problems. BTW I write my own code and have a degree in Economics and am a former computer systems analyst. I download their data about once a week. I do not care about hourly price fluctuations or Milan stock exchange or commodities. I am just a simple and profitable investor in the ...


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Yes, the quotes are annually. You can cross-check with these: http://www.federalreserve.gov/releases/h15/data.htm


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Yes indeed. There is a western paper which uses order data, albeit trader identification was removed. It is obviously this one: http://www.cims.nyu.edu/~almgren/papers/costestim.pdf Unfortunately, this data wasn't public. The co-authors were senior analysts at Citi: Robert Almgren is associate professor in the departments of mathematics and computer ...


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I dug around and there's indeed an old publication on Risk.net written by a university professor that uses Citi's data: The data set on which we base our analysis contains, before filtering, almost 700,000 US stock trade orders executed by Citigroup equity trading desks for the 19-month period from December 2001 to June 2003.


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I've read a paper from an asian institute on trader's profitability. Unfortunately I can't find it anymore. They had such order data. Maybe it is easier to get such information in less regulated markets. However, I couldn't find anything useful there yet.


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On ratedata.gaincapital.com you can find about 150 GB of FX tick data. The data is split into zipped weekly .csv files. You can write a script downloading, unpacking and merging the .csv files as i did. Works fine.


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When an exchange (or ECN) receives an order, there is no identifier of the buyer or seller. Therefore the only place that this is available is at the broker themselves. No broker would be willing to provide this information even on an anonymized basis and it would be a violation of other laws and regulations (such as Regulation S-P). ...



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