It has come to my attention that we've been unable to get historical daily price data prior to 2005 for various Futures contracts. The symbols and specific years that are affected seems somewhat random. In cases where we make a request and the feed responds with "Symbol Not Found" we keep a record of it; none of these symbols have been reported as "not found" and they all return monthly and weekly bars but not daily bars.

I've attached a file with symbols we're having an issue with. This was pointed out to me when a user attempted to look at daily data for Crude Oil 2004 (specifically +CLZ04) which should be valid.

Any assistance in either clarifying the range of available historical data (my understanding was that there was 15 years of historical daily/weekly/monthly price data) or helping to resolve why we're not getting the daily data or these symbols would be greatly appreciated.

Hello Zeruel,

The best way to see 15+ years of historical daily data for futures contracts is to use the continuation contracts
(for example QCL# goes back to late-1996). We have historical data for actively traded contracts, but as you see,
we do not have historic daily data for all the older individual futures contracts.

Also, moving forward, you will find that the symbols that start with ‘+’ are losing their relevance as the electronic sessions grow in
popularity (except for the SP, DJ, and ND where the trading sessions are still separate).

I should also mention that our Market Data Services is working to add pre-2005 contracts that are not currently in our data. This is a time-consuming process, but more is being added to the feed.

Thanks Todd.

Here is an updated response to the original request:

We have restored all the floor traded history for the ICEFU softs products (Coffee, Sugar, Cocoa, Cotton, Orange Juice). Contract history restored was re-classified as ‘Electronic’, so you will have to use the ‘@’ sign to display each. One example is @CCN4. ICE discontinued floor trading Feb 29, 2008. ICE introduced electronic trading of these products Feb 2, 2007. We only restored floor traded history prior to Feb 2007, so we would not overwrite the electronic history (Feb 2007 – Feb 2008).

We have restored @TFS (Mini Russell) history prior to and including June 2007. Before June 2007 this product was solely traded on CME Group. The September 2007 contract was the first listed Mini Russell contract by ICE, but it ran side-by-side with CME until September 2008. The significant volume and open interest in this contract did not shift to ICE until the December 2008 contract.

CME lumber and all livestock contracts did not start electronic trading until 1/31/1994. We will not be pre-pending any floor traded livestock data to the electronic equivalent.

CME Class III Milk did not start trading electronically until Feb 2006.

Emini Natural Gas and Emini Crude did not start trading as a product until 1/9/2004, and it was only electronic.

We will search for and load any randomly missing composite contracts (+CLH03, +DJH01, etc.), but we won’t be creating any composite history where not necessary.