- ago
Is there a low cost futures data provider in any of the provider list for WL? I used to download them from my TD Ameritrade account but no longer possible. In the meantime I just want to get one even if it is delayed data. Mostly use for backtesting.
Thanks.
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- ago
#1
For EOD futures quotes, you can’t go wrong with NorgateData. I have been using them for many years, after using many others before that: Reuters DataLink, eSignal, etc.

They have a good coverage of markets, excellent data quality, at a reasonable price. And, very important: arithmetic back-adjusted continuous contracts. Still, it would be nice if it offered the option to tweak the back-adjustment method, but it’s good enough. Plus, they offer a Wealth-Lab extension, which makes it a bit easier to use (although you can have the quotes exported to CSV or Metastock formats too).

For my trading, the biggest shortcoming of the service is the time it takes for them to provide the closing of the current bar: during the week, futures markets have a very short window of time when they are effectively closed; and with an EOD system, that is the small moment of time (around 2h for US markets) that you have to run the system and check for potencial orders at the open of the next bar. Unfortunately, NorgateData only provides the close 2h too late for me; so I’m forced to compliment it with some scripts that download that close from Barchart (it was easier when they had their API open). But, to be honest, I never reported it to them, but maybe I should: they are usually very responsive and accommodating, so it might be worth it to mention and see if it would be possible to have a provisional closing bar offered shortly after market close…
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