Futures and Forex historical data

by Tom Huggens, 189 days ago

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This item downloads historical quotes for 40 futures. It also downloads historical quotes for 15 forex pairs. Before using this downloader, you should add the futures (Futures symbols) and forex (Forex symbols) symbols.

The downloaded futures data are back-adjusted continuous series. Because every futures contract expires, if we want to create a long-term price history of the future, we should construct continuous price series. We first choose a heavily traded contract and then switch or rollover to another contract on Open Interest when-reported forcing roll on 7 days prior to the expiration of the current contract.

The term Back-Adjusted refers to the use of rollover differential when switching from a contract to another one. At the time of rollover, the price history of all previous trading days in the series is shifted down or up by the amount of the rollover differential. This will remove the artificial gap in your time-series at the rollover date. On Close-to-Close adjustment, the rollover differential is the difference between the close prices of the two contracts that are involved in the switch at the rollover date.

For testing and back-testing trading strategies that involve futures, a trader should use Back-adjusted series, as the ones downloaded by this item.

How it works:
This item downloads a zip file, reads all the files contained in this archive, parses each one of them, gets the symbol name from the file name and then inserts the historical data for the futures back-adjusted continuous contract and for the forex pairs.