Is there a data provider that has historical daily settlement prices for download? I'm interested in a provider that spans multiple exchanges.
1$\begingroup$ Generally, this is the list of data sources: quant.stackexchange.com/questions/141/… $\endgroup$– EliSep 30, 2014 at 21:19
$\begingroup$ What exchanges in particular are you looking for? $\endgroup$– EliSep 30, 2014 at 21:19
FREE SOURCES --> http://www.cmegroup.com/market-data/settlements/ http://www.cboe.com/data/Settlement.aspx
Your best bet is going to each exchanges' website and downloading it directly from them. If not, you are going to have to find a data provider like a BBG or TR.
I strongly recommend that you check out or get on a Bloomberg terminal, and type in function CTM, which will bring up every exchange contract listed. Either hit contract table or find the desired ticker and put this into the excel api. The field would be px_last and you would have to select the time stamp.
Another recommendation would be to try and access "thomson reuters tick history" and search for the RIC which is a pain.
I have not had much luck, because their data has been spoty regarding tick data, but for daily settlement it should not be a problem.
Best of luck!
Since I do not have enough rep to post more links, check these out as well.
http:/online.wsj.com/mdc/public/page/2_3023-fut_metal-futures.html https:/globalderivatives.nyx.com/nyse-liffe-us/end-of-day-files http://ww.eurexchange.com/exchange-en/market-data/clearing-data/settlement-prices/
Get in touch with OptionMetrics, they have historical and daily updates for futures prices.
If you're looking for settlement prices, the best (free) site out there is www.Quandl.com
You will pay a lot for these guys but that's what large financial institutions use to price their futures. Pricing plans, timing and regional coverage depends on the vendor. They all pull prices from various exchanges.
Unfortunately it happens that these guys would pull the wrong settlement price from the various exchanges they feed from. It doesn't happen all the time but it does happen and in my line of business we can't let these discrepancies slip through the crack. We found out that the best way to confirm discrepant prices is to check against the exchange itself.
The DataTools product from Norgate covers 13 futures exchanges and about 100 markets. The "Close" price is the daily settlement value for all markets except where indicated (a handful of them shown are "Last" / "Official Close").
The coverage is not comprehensive; it covers markets that are liquid and in demand by traders.
Data is available in MetaStock and ASCII/CSV formats and is downloadable via a Windows-based app.
Full disclosure: I am a co-owner of Norgate.