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Nasdaq Data Link
Futures
Futures are one of the most common derivatives for trading and hedging purposes. Commercial traders such as food companies and energy traders use futures to hedge against the risk of price changes in the physical commodity. Hedge funds and high-frequency traders take advantage of minute price discrepancies, adding liquidity to the market, and lowering the cost of trading. Speculators like us use futures to express our views on market direction in a risk-defined way. Futures have a defined expiration date, after which point the contract stops trading. Market dynamics and trading strategies shift traders’ attention from one contract to the next through time. While the flexibility of futures is great for trading, it makes it hard to acquire data for research and backtesting.
The most common way to get started analyzing futures contracts is through continuous futures data. As the name implies, continuous futures provide a continuously adjusted data feed that takes into consideration the roll from one expiration to the next. Continuous futures data lets traders and analysts backtest long-term trading strategies. Since futures expire, traders buy or sell positions in the expiring contract to enter a similar position in the next expiring contract. It’s this process of contract expiration that makes continuous futures data important for long-term analysis. The downside of continuous futures data is that the impact of the roll over long time frames can be significant, so it needs to be taken into consideration in strategies that rely on different roll strategies.
With Nasdaq Data Link, previously known as Quandl, you can access continuous contract data for 600 futures contracts built on top of raw data from CME, ICE, LIFFE, and other exchanges. This recipe will guide you through the process of obtaining continuous futures data using the Nasdaq Data Link client.