FuturesDownloader - EOD data feed for futures trading

FuturesDownloader provides a collection of long-term continuous price histories for more than 200 of the most popular US and international futures contracts (CBT, CEC, CME, EUREX,NYM, NYMEX). Coverage includes precious metals, currencies, indexes, interest rates, bonds, energy commodities, agricultural (Corn, Wheat, etc.) commodities. The data is updated on a daily base and includes full historical data going back an average of 30 years per contract.

All the data is available in individual contract and in continuous contract form. Several roll choices are supported of the continuous contract creation:

  • On the last trading day of the expiring contract
  • On the first day of the contract delivery month or on the contract end date
  • On the first day that the back contract has a higher open interest than the front contract.

Moreover, the continuous contracts are available in price (gap) adjusted form or unadjusted form. The EOD data can be stored in form of ASCII files (Excel, CSV) and in MetaStock format. Additionally, it is possible to download the data in an Excel workbook without doing copy & paste of the data records.

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FuturesDownloader supports Continuous Futures Contracts and Individual Future Contracts

FuturesDownloader allows you to download individual future contracts as well as continuous future contracts.

Individual futures contracts are valid only for a very short periods of time, and are therefore unsuitable for long-horizon analysis. Continuous futures contracts are solving this problem by chaining together a series of individual futures contracts, to provide a long-term price history that is suitable for trading, behavioral and strategy analysis.

In general there are two things that needs to be considered how the continuous future contracts are created:

  • The date on which to splice together ("roll") successive contracts
  • The adjustment made to the raw contract prices

Roll Date Rules

FuturesDownloader supports several ways how the contracts get spliced together.

  • On the last trading day of the expiring contract (end-to-end roll method). This method allows you to use the front contract for as long as possible. However you may face the risk that the activity has switched to the back contract prior to your roll.
  • On the first day of the contract delivery month or on the contract end date, whichever is sooner (first-of-month roll method). It is used by most major data terminals as their default roll method. The advantage is that it is uniform across all contracts and completely predictable. On the other side, this method has limited connection with the underlying mechanics of the contract. It is connected neither to the contract's trading activity, nor to its specific delivery rules.
  • On the first day that the back contract has a higher open interest than the front contract (open-interest-switch or liquidity-based roll method). It is used by most technical traders, especially in financial futures. By definition this roll rule offers the highest liquidity to traders. However, please note that it is completely inappropriate for interest rates futures, and should be used with care for energy and agriculture futures.

Price/Gap Adjustments Rules

Price adjustments are required to eliminate unseemly and error-inducing "jumps" in the continuous contract history, caused by discontinuities in the prices of successive underlying futures contracts. FuturesDownloader creates the continuous futures in two ways:

  • Backwards panama canal method (last-true method). Shift successive contracts up or down by a constant amount so as to eliminate jumps, working backwards from the current contract. The price of the current continuous contract will be "true" and match market prices.


    23/3/2015 - June Lean Hogs - 69.950

    23/3/2015 - April Lean Hogs - 62.525

    Roll gap = + 7.425

    FuturesDownloader will adjust all previous prices up by 7.425 points. This effectively "closes" the gap.

  • No price adjustment: The prices you see are always actual transaction prices. However, there are discontinuous jumps in the long-term futures price history.

Supported Futures (including continuous contracts) grouped by product group

Find below a list with all futures that are supported by FuturesDownloader. Click on the boxes on the left side to expand/collapse the list. Alternatively, you can download a list with all supported futures by clicking here. Following exchanges are supported: CBT, CEC, CME, EUREX,NYM, NYMEX.

Data can be downloaded directly into Excel spreadheets

Excel is a great productivity tool that lets you analyze data very efficiently. Of course, the first step is to get the data into Excel, and the simplest way to move data from the Web to Excel is to copy and paste it. However, this is not a very efficient way to get data - especially if you need to do this daily.

We provide the possebility that data can be directly downloaded into Excel without manual copy & paste. You can do this by using Excel's Web Queries and using following URL:


Please click here for a detailed tutorial how you can download the data directly into Excel.

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