where do you get the data?

gordonwilson · Newbie Joined: 09 Jun 2005 Posts: 3

Henry, Bill, smallwonder,
Where do you get the raw data?
That is:
put/call 10yr bull/bear PMI FFR GDP USD PPI CPI M2 SPY NYSEVOL

I see some of this data is available from finance.yahoo.com
in a csv format. Is there a better source?

And, is it possible to automatically download this data
each day (or week) as it becomes available?

HenryTo · Posted: Thu Aug 18, 2005 12:32 pm Post subject:

Gordon,

According to what I see, the sept contract closed at 87.93 yesterday. And the December contract closed at 87.68.

I will check out your link later tonight.

Henry

gordonwilson · Newbie Joined: 09 Jun 2005 Posts: 3

I found what appears to be the USD futures data.
You have to do a free registration.
This is the site:
http://sderdc.cme.com:443/cs/charts.jsp?_quickEntry=USDU05&_symbol=USD&_month=U&_year=05&_period=day&_barType=Lines&_size=small&_density=low&_selectedIndicators=&_availableIndicators=&_submit=Get+chart

If the above URL doesn't work, go to www.cme.com
delayed quotes and charts
charts
quick entry: usd (after you enter, and left mouse another spot,
this will change to something like USDU05 - sept 05 USD)
period: daily
style: line
choose contract: it will automatically go to CME$ Index(Electronic)
expire date: Nearby (I assume that this is the next expiration date?)

It seems that they only have expire dates every 3 months:
mar, jun, sep, dec

The value for 8/17/05 is 93.23 (sep 05)
Does that sound right?

nodoodahs · Moderator Joined: 06 May 2005 Posts: 1872

I can calculate, based on applying the formula to daily rates for the six currencies, the U.S. dollar index and match Henry’s data. But this calculation is about 3% higher than the Fed’s trade-weighted reported data. They are very highly (97.68% r-square) correlated, though! Whether this is because of similarities in the formulae, or because the dollar tends to move equally amongst all trading partners, is anyone’s guess. Also, the Fed must either include other currencies, or rebalance their index periodically, because any formula I use to try and match the Fed data produces errors over time. I think the Fed formula gives more weight to Canada and less to Europe and Japan.

The two are NOT the same. Good call, Henry!

Apparently you have to subscribe to the get the data directly. If you want a 100% accurate CME U.S. dollar index using the free Fed data – you have to download the daily or monthly exchange rates for the six currencies and calculate it for yourself. If you are a completely hopeless math nerd and want to see the calculations, email or PM me and I’ll send it.
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HenryTo · Posted: Thu Aug 18, 2005 8:07 am Post subject:

Bill,

Thanks Bill, for doing the research on this! Honestly, I haven't really looked into how the Fed constructs its Dollar Index vs. what the CME uses. I will look into it whenever I get the time. Cool

Take care,

Henry

nodoodahs · Moderator Joined: 06 May 2005 Posts: 1872

http://www.akmos.com/main/forex/usdx.html

Either the weighting used in the U.S. dollar index has changed since the above page was published, or the Fed uses a different weighting than the CME, because applying the formula does not yield the correct number.
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nodoodahs · Moderator Joined: 06 May 2005 Posts: 1872

Henry,

Is it correct to say that the Fed site listed has actual, historical values for the weighted exchange rate, while what is traded on the CME are future options for that exchange rate, i.e. guesses on what the exchange rate will be? After all, the USDX close on the CME for today is not today's exchange rate, but a contract delivery price for a future date, and whether or not I make profit from a "87" contract today depends on whether the actual exchange rate on the delivery date is higher, or lower, than "87".
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HenryTo · Posted: Wed Aug 17, 2005 5:02 pm Post subject:

Gordon,

No problem - you're welcome. Actually the USD index data (that is traded on the CME) is not on the St. Louis website. The link that you provided is to another trade-weighted index that the Fed constructed. I get my daily data through a paid subscription.

Best,

Henry

gordonwilson · Newbie Joined: 09 Jun 2005 Posts: 3

Thanks.

I can't seem to find the USDX at www.cboe.com
Is this it?
http://research.stlouisfed.org/fred2/series/TWEXM/105

HenryTo · Posted: Wed Aug 17, 2005 2:26 pm Post subject: Gordon,

Bill pretty much hit the spot in terms of free data. I try to use yahoo whenever I can - although there are holes in some of their financial indices data (not to mention for individual stocks). I also use the datasets from the St. Louis Fed, and the CRB trader site contains very good monthly data for the CRB Index as well as for all the CRB sub-indices.

If you're looking for energy data, then you can download them off of the EIA website, although the data that I use is actually from a subscription website (which is much more convenient).

As for the Bulls-Bears statistics, ARMS, etc., they all come from a subscription-based website. The median home prices came from economy.com, I think.

Hope this helped.

Henry

nodoodahs · Moderator Joined: 06 May 2005 Posts: 1872

www.cboe.com has daily put/call ratios and volumes for equity, index, and total to 2003. Henry provided a spreadsheet to me with historical to 1997.

www.stlouisfed.com has FFR, GDP, USDX, CPI, M2, etc. Follow the link on the bottom right to "FRED II" which is their database. Most data is monthly or weekly with a slight delay, some is quarterly like GDP deflator, GDP, etc. They also have a monthly summary of oil prices, west TX intermediate crude I think.

finance.yahoo.com has most of the other stuff. Some of it, like bulls-bears etc., I don't know where they get it and they may be paying for it. I don't typically like to pay for data ...

The main issue I have had, aggregating data from different sources, is linking the right week to the right week. Some Fed data is weekly to Fridays while the Yahoo is weekly to Mondays, so some "adjusting" is needed. And don't forget to skip a week for 9/11/01 since the markets weren't open but there were still other data reported that week ...
_________________
He was wearing my Harvard tie. Can you believe it? My Harvard tie. Like oh, sure, HE went to Harvard.