Macro Codex Data specializes in providing financial market professionals clean, reliable historical data and end-of-day daily updates for an extensive range of exchange-traded futures strategies. Current strategies include basis spreads, calendar spreads, inter-commodity spreads, inter-exchange spreads and historical volatility. The attraction of these strategies has been recognized by sophisticated investment managers for decades and it is no coincidence that the most successful hedge funds and CTA’s which generate consistently positive risk-adjusted returns have embraced such strategies to enhance portfolio diversification and capital efficiency.
We cater to a variety of firms who rely on us for accurate futures data, including hedge funds, trading advisors, investment banks, brokerage firms, proprietary trading companies, family offices and academic institutions. Institutional investors use our strategy datasets for various tasks including back-testing of derivative strategies, trade identification, portfolio construction and risk management. As such, the majority of the datasets on offer focus on sophisticated strategies based on futures contracts whose daily liquidity makes them suitable for inclusion in institutional portfolios. We continue to expand the available services and periodically add new datasets and strategies based on client demand. We are always open to encquiries regarding new or difficult to source datasets such as discontinued exchange contracts.
The data packages on offer follow a subscription-based model and are structured to provide a reliable source of clean, deep historical data covering over 3200 of the most popular derivative strategies, utilized by sophisticated institutional investors worldwide. Strategies currently include basis spreads, intra-commodity spreads, inter-commodity spreads, inter-exchange spreads and historical volatility. The packages include Financials, which cover global Bond, Equity Index, Money Market and Foreign Exchange strategies and Commodities, which cover Energy, Grains, Livestock, Metals and Softs strategies.
As successful hedge fund portfolio managers and derivatives traders we are intimately aware of the importance of clean, reliable data.The algorithms that we use to monitor and clean raw data have been developed and perfected by us over the past 30 years and help us in our goal of providing the cleanest datasets to futures professionals worldwide. The service has built-in redundancy, employing a network of backup data servers around the world. The datasets follow the industry standard 7-column format comprised of Date, Open, High, Low, Settlement, Volume and Open Interest data.
All the strategy data files are in .csv format and can be downloaded in a few seconds via an API link that is delivered daily to each subscriber’s registered email account. The data packages are updated daily after the market close with futures strategy packages available to download after 7:15 PM EST and basis packages available after 9:15 PM EST.
Free trials are available for potential subscribers for all of our data products . Trials cover all strategies that are delivered with a full subscription, the only difference being that they are delivered with shortened data histories. Please contact us if you are interested in a trial, there is no obligation to subscribe.
In addition to our focus on futures strategy services, we cater to demand by clients for custom data solutions and related to that demand we are experiencing rapid expansion of our consulting service which offers custom derived data solutions to institutional clients.
