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I am looking for a package to download historical data of Futures (NO STOCK DATA).

could someone advice me some good R package?

Thanks!

P.S. I Know there are many packages, but they only seem to retrive stock prices, and not Futures. I Only need futures.

Dail
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  • http://stackoverflow.com/questions/13282094/download-vix-futures-prices-from-cboe related question. I'm not aware of a specific package that lets you download, but you can get them from raw sources. – Brandon Bertelsen Mar 13 '13 at 13:51
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    @Downvoter It's courteous to identify the reason you downvoted the question. – Brandon Bertelsen Mar 13 '13 at 14:04
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    This is off-topic. Even if it weren't, you've got to be a lot more specific than "futures". There are dozens of futures exchanges. Most of them charge for data. – GSee Mar 13 '13 at 14:05
  • Here, I spent more time than warranted answering a similar question yesterday: https://stat.ethz.ch/pipermail/r-sig-finance/2013q1/011417.html. In short, some exchanges, like SGX, provide time and sales data free. For other ones, you have to pay. Interactive Brokers is a cheap source. – GSee Mar 13 '13 at 14:08
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    http://quant.stackexchange.com/questions/141/what-data-sources-are-available-online – GSee Mar 13 '13 at 14:10

1 Answers1

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There is no free source of futures data. Atleast not comprehensive.

You can look into 'FinancialInstruments` package's source on R-Forge especially this file

https://r-forge.r-project.org/scm/viewvc.php/pkg/FinancialInstrument/inst/parser/download.tblox.R?view=markup&root=blotter

It will download historical data for select futures which TradingBlox publishes daily. Mind you this data is back adjusted continuous contract data and is created using TradingBlox's own methodology of back adjusting.

Among paid sources, CSI data is reasonably priced for smaller traders and can give data in multiple formats and allows you to customize back adjustment logic.

There is interesting project Quandl but I really haven't seen it mentioned around much or tested accuracy of the data.

CHP
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    There's also `getSymbols.cfe` from [qmao](https://r-forge.r-project.org/R/?group_id=1113) to get daily historical VIX futures data... such a broad question... – GSee Mar 13 '13 at 14:16