Norgate Data - Futures Package

Norgate Data covers around 100 Futures markets drawn from 11 worldwide exchanges (or exchange groups). The coverage is selective rather than exhaustive. Generally-speaking, a contract has to establish a track-record of liquidity before it is added to the service.

Details of the coverage can be seen here.

Subscription

6 months = USD 148.50
12 months = USD 270

Notes

Historical data extends back to around 1980 or to the first day of trading in a market (with a few exceptions).

Unless otherwise specified, the Close price in the data is the official settlement price (and not the last-traded price).

Along with individual futures contracts, the service provides spot-month continuous contracts in 2 forms - unadjusted and back-adjusted. Back-adjustment is calculated arithmetically. For cash-settled futures contracts, the roll out of the expiring contact is performed on the business day prior to the last day of trading; for deliverable contracts, the roll is performed on the business day prior to First Notice Day. For some futures markets that have lightly-traded "interstitial" or "minor" contract months, the "spot month" is not necessarily the next month, and instead is determined to be the next month in the major contract cycle.

Arithmetic Back-adjustment for Continuous Contracts explained

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"Roll gaps" occur in an unadjusted continuous contract when the series rolls from one contract month to the next. At the time that the roll takes place, there could be a significant difference in price between the two futures contracts, with the new month trading well above or below the old. In the absence of any adjustment to the continuous series, this price disparity shows itself as a gap on a chart. However, the gap is not caused by trading activity. Therefore a system back-test that incorporates roll gaps as evidence of profit or loss is giving a false impression.

Back-adjustment serves to remove roll gaps. With each new roll, the extent of the latest gap is measured and all previous prices are adjusted up or down so that the gap is closed. An example is given below.

Market = Crude Oil - Light Sweet
Roll Date = July 19 2019 (the roll is assumed to take place on the close of the roll date)
Old contract Close = 55.63
New contract Close = 55.76
Roll gap = +13

To remove the roll gap, all prices in the series up to and including the roll date are adjusted up by 13 points.