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I'm currently working on an algorithm to estimate implied spot prices on commodity futures using a pretty old paper (Schwartz 1997).

My algorithm works just fine, I just need to run the data to optimize the parameters - it's a Kalman filtration using a one-factor model in which the logarithm of the spot price of the commodity is assumed to follow a mean reverting process of the Ornstein-Uhlenbeck type - for those that are curious.

I'd be very happy someone could tell me where could I find daily prices of futures on different contract lengths, with the remaining time to expiration (or the maturity date). I tried googling it of course, but either I have to pay for the information or the time not given.

Thanks in advance. For those that are interested I can publish the results and the python code if you want to try it out yourselves.

Tryrshaugh
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  • Here for example you can find the prices of different contracts for Gold www.barchart.com/futures/quotes/GC*0/futures-prices?viewName=main – Alex C Oct 28 '19 at 13:23
  • ...and if you click on a specific contract it gives you the expiration date for example Gold Nov '19 (GCX19) expires on 11/26/19 (in 29 days) – Alex C Oct 28 '19 at 22:46

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I haven't looked exhaustively recently, and don't know precisely what you need, but futures data, particularly historical versus live, tends to cost.

You might check here to see if any of the sources fit your needs: What data sources are available online?

Chris
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If you want free daily data, Quandl's futures database works reasonably well.

https://www.quandl.com/data/CHRIS-Wiki-Continuous-Futures

They have API endpoints as well, so you can access via Python, R, etc.

Joel Alcedo
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