[R-SIG-Finance] Futures data

G See gsee000 at gmail.com
Sun Dec 16 05:43:46 CET 2012


If you have an Interactive Brokers account -- which isn't free, but
pretty close to it -- you can get a year's worth of intraday data for
most futures with the IBrokers package (on CRAN).  See
?reqHistoricalData.  I also have some wrappers for IBrokers functions
for getting lots of data from Interactive Brokers in my twsInstrument
package on R-Forge. https://r-forge.r-project.org/R/?group_id=1113
(see ?reqTBBOhistory)

IB offers 1 second bars, but if you want to get a meaningful amount of
history, you're best off getting 1 minute bars because of their
historical data request pacing rules.


On Sat, Dec 15, 2012 at 9:39 PM, Robert A'gata <rhelpacc at gmail.com> wrote:
> Hi,
> I am wondering if there is any source that one can download futures data
> such as Eurodollar, treasury, S&P500 e-mini, crude oil, natural gas,
> agricultural, etc? Especially downloading from R. Of course, not bloomberg.
> Thank you.
> Robert
>         [[alternative HTML version deleted]]
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