Finding Commodity Futures Data for Multi-Maturity Spot Estimation
Summary
The document asks where to obtain daily prices for commodity futures across contract maturities, including each contract’s time to expiration. The data is intended to calibrate a one-factor commodity model based on Schwartz (1997): log spot price follows a mean-reverting Ornstein–Uhlenbeck process, and a Kalman filter estimates the implied spot price and model parameters.
The replies point to historical futures databases and note that such data often costs money. One response suggests Quandl’s futures database as a free daily source and says it provides programmatic access. The discussion does not establish whether that source includes all the maturities or expiration details the researcher needs, nor does it compare coverage, quality, or licensing. The proposed data source is a starting point, so users would need to confirm that its contract series and dates fit their calibration requirements.
Key ideas
- A one-factor mean-reverting model can represent the logarithm of a commodity’s spot price.
- A Kalman filter can be used to estimate implied spot prices and optimize model parameters.
- Calibration requires daily futures prices across maturities and information about time to expiration.
- Historical futures data may be paid, while the response identifies a free database with daily data and API access.
- The suggested source is not confirmed to contain every requested maturity or expiration field.
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Full text
# Where can one find the daily prices of commodity futures of multiple maturities and time to expiration of the contracts? # Where can one find the daily prices of commodity futures of multiple maturities and time to expiration of the contracts? 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. ## Answer by Chris (score 1) https://quant.stackexchange.com/a/49432 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? ## Answer by Joel Alcedo (score 1) https://quant.stackexchange.com/a/49630 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.
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