Futures data issues

Msant14

Dear Team,

I think your futures data have been changed, with more than an issue here and there. A quick example to catch one of the errors:

To me this sounds wrong because, first, I get an 800% return on the 23-12-2020, and second, all the prices look the same, right?

An example from ICE:

Am I wrong or is this not correct?

Thanks!

support

@msant14 Yes, your are right, we are fixing the issue now. Unfortunately we had to replace some datasets, more info at:

https://quantiacs.com/community/topic/60/data-for-futures

Do not hesitate to point out problems! As soon as the bug is fixed we will let you know.

support

@msant14 Hello, the issue has been fixed. Sorry, a problem with the data API. Please note that we are using 3month Euribor Futures from Eurex and not ICE

antinomy

@support
F_DE also looks odd on 2010-01-11:

import qnt.data as qndata
start_date = "2006-01-01"
futures = qndata.futures.load_data(min_date=start_date).sel(field='close').to_pandas()
futures.F_DE.loc[slice('2010-01-03', '2010-01-13')]

2010-01-04    1023.00
2010-01-05    1027.20
2010-01-06    1033.50
2010-01-07    1026.30
2010-01-08    1033.20
2010-01-11     103.39
2010-01-12    1020.30
2010-01-13    1022.40

as if the price somehow got divided by 10 on that day...

And EUR/YEN looks totally off:

futures.F_RY.plot()

support

@antinomy

Hello.

We fixed a problem with sudden "spikes" and "fissures" in the futures data (F_EB, F_ED), but I don't see the problem in the currency data (F_RY).

Can you remove the data-cache and try again? Is this issue with F_RY still relevant?

Regards.

antinomy

@support I have done that twice before my post, but now F_RY looks fine. There are several directories with scripts and notebooks I use with qnt, so maybe I deleted the wrong data-cache before...
Thanks for fixing the data!