Evaluating Quandl Data Quality

November 15, 2013
By

(This article was first published on The R Trader » R, and kindly contributed to R-bloggers)

Quandl has indexed millions of time-series datasets from over 400 sources. All of Quandl’s datasets are open and free. This is great news but before performing any backtest using Quandl data, I want to compare it with a trusted source: Bloomberg for the purpose of this post. I will focus only on daily Futures data here (front month contract).

In the table below, the first few columns are self explanatory, the last two columns are:

  • Intersec. the number of common dates between Quandl and Bloomberg as of November 14, 2013
  • Mismatch the number of different closing prices among those common dates (Intersec. ≥ Mismatch).

InstrumentQuandl SymbolBloomberg TickerQuandl StartDateBloomberg StartDateIntersec.Mismatch
Australian DollarOFDP/FUTURE_AD1AD1 Curncy13/01/198719/12/198959332640
DJ-UBS Commodity IndexOFDP/FUTURE_AW1DNA Index03/10/201119/12/200853242
Brent Crude OilOFDP/FUTURE_B1CO1 Comdty17/08/199023/06/1988590653
Soybean OilOFDP/FUTURE_BO1BO1 Comdty01/07/195902/01/19758965816
British PoundOFDP/FUTURE_BP1BP1 Curncy13/02/197520/03/199058792959
Brazilian RealOFDP/FUTURE_BR1BR1 Curncy08/11/199529/11/199520231526
CornOFDP/FUTURE_C1C 1 Comdty01/07/195901/07/1959133114407
CocoaOFDP/FUTURE_CC1CC1 Comdty05/01/197001/07/195910826903
Canadian DollarOFDP/FUTURE_CD1CD1 Curncy17/01/197704/04/198666663055
CER EmissionsOFDP/FUTURE_CER1ICEDCER Index18/03/200813/03/20091173965
WTI Crude OilOFDP/FUTURE_CL1CL1 Comdty30/03/198330/03/198376202549
CottonOFDP/FUTURE_CT1CT1 Comdty01/07/195901/07/1959135591361
MilkOFDP/FUTURE_DA1DA1 Comdty03/10/201111/01/199653124
Full-size Dow JonesOFDP/FUTURE_DJ1DJ1 Index02/01/199803/04/19983918683
US Dollar IndexOFDP/FUTURE_DX1DX1 Curncy20/11/198507/04/19866872285
Euro FXOFDP/FUTURE_EC1EC1 Curncy04/01/199916/12/199837351739
3-Month EurodollarOFDP/FUTURE_ED1ED1 Comdty01/02/198201/04/198668002347
EthanolOFDP/FUTURE_EH1DL1 Comdty03/10/201116/05/20055320
1-Month EurodollarOFDP/FUTURE_EM1EM1 Comdty01/10/200705/04/1990102019
E-mini S&P 500 IndexOFDP/FUTURE_ES1ES1 Index09/09/199709/09/199741121112
Feeder CattleOFDP/FUTURE_FC1FC1 Comdty06/09/197330/11/197199954188
30-day Fed FundsOFDP/FUTURE_FF1FF1 Comdty03/10/198806/12/19885251958
5-year Treasury NoteOFDP/FUTURE_FV1FV1 Comdty20/05/198820/05/198862062565
GoldOFDP/FUTURE_GC1GC1 Comdty31/12/197402/01/197592143006
CopperOFDP/FUTURE_HG1HG1 Comdty01/07/195906/12/198854863785
Heating OilOFDP/FUTURE_HO1HO1 Comdty06/03/197901/07/198668352806
Japanese YenOFDP/FUTURE_JY1JY1 Curncy02/08/197619/12/198960122548
CoffeeOFDP/FUTURE_KC1KC1 Comdty17/08/197316/08/19729891324
LumberOFDP/FUTURE_LB1LB1 Comdty16/11/197207/04/19866922245
Live CattleOFDP/FUTURE_LC1LC1 Comdty30/11/196430/11/1964123145364
Lean HogsOFDP/FUTURE_LN1LH1 Comdty25/06/196901/04/198669373951
UK Natural GasOFDP/FUTURE_M1FN1 Comdty02/01/200730/01/199717663
S&P 400 Midcap IndexOFDP/FUTURE_MD1MD1 Index13/02/199213/02/19923980614
Mexican PesoOFDP/FUTURE_MP1PEA Curncy25/04/199511/05/2012382340
New Zealand DollarOFDP/FUTURE_NE1NV1 Curncy02/09/200408/05/19971937189
Natural GasOFDP/FUTURE_NG1NG1 Comdty03/04/199003/04/199056822460
Nikkei 225 IndexOFDP/FUTURE_NK1NX1 Index25/09/199002/10/19905643331
E-mini Nasdaq 100OFDP/FUTURE_NQ1NQ1 Index22/06/199921/06/19993635652
OatsOFDP/FUTURE_O1O 1 Comdty01/07/195901/07/1959127703600
Orange JuiceOFDP/FUTURE_OJ1JO1 Comdty01/02/196701/02/196711684560
PalladiumOFDP/FUTURE_PA1PA1 Comdty05/01/197701/04/198655961840
Russell 1000OFDP/FUTURE_RF1RM1 Index11/05/200720/09/2002165718
Russell GrowthOFDP/FUTURE_RG1RGAA Index03/05/201024/12/2012230192
Rough RiceOFDP/FUTURE_RR1RR1 Comdty20/08/198606/12/19885112363
Russian RubleOFDP/FUTURE_RU1RU1 Curncy03/10/201123/04/19985332
Russell ValueOFDP/FUTURE_RV1RVBA Index03/05/201024/12/2012230192
SoybeansOFDP/FUTURE_S1S 1 Comdty01/07/195901/07/1959134014299
SugarOFDP/FUTURE_SB1SB1 Comdty04/01/196103/01/196113105814
Swiss FrancOFDP/FUTURE_SF1SF1 Curncy13/02/197519/12/198960102741
SilverOFDP/FUTURE_SI1SI1 Comdty13/06/196302/01/197588483058
Soybean MealOFDP/FUTURE_SM1SM1 Comdty02/07/195902/01/19759234913
Full-size S&P500 IndexOFDP/FUTURE_SP1SP1 Index21/04/198221/04/198275802688
Russell Small-CapOFDP/FUTURE_TF1RTA1 Index20/08/200717/08/200716138
2-year Treasury NoteOFDP/FUTURE_TU1TU1 Comdty01/10/200725/06/19901521279
10-year Treasury NoteOFDP/FUTURE_TY1TY1 Comdty03/05/198203/05/198278172044
Ultra Treasury BondOFDP/FUTURE_UL1WN1 Comdty30/10/201211/01/20102620
30-year Treasury BondOFDP/FUTURE_US1US1 Comdty22/08/197722/08/197790675198
S&P500 Vol. IndexOFDP/FUTURE_VX1UX1 Index03/05/200426/03/20042270610
WheatOFDP/FUTURE_W1W 1 Comdty01/07/195901/07/1959134074033
E-mini Dow JonesOFDP/FUTURE_YM1DM1 Index01/10/200720/09/2002152615

Main findings

  • I managed to find Bloomberg tickers for 60 contracts out of 68 available on Quandl
  • At first glance differences seem scary but digging a bit deeper reveals a different picture.
  • For some contracts Bloomberg and Quandl don’t use the same number of decimals which inflate artificially the mismatch numbers
  • Some contracts are not expressed in the same unit between Bloomberg and Quandl. I had to apply a multiplier to make an “apple to apple” comparison.
  • Differences seem to cluster in time. It seems like there are different rules for building front month contract (or data source changes?)
  • Differences are often more pronounced at the beginning of the sample.
  • I used PX_LAST field in Bloomberg which might not be the settlement price for all contracts (I have to check this). Quandl uses a settlement price. This might explain some differences as well.

Conclusion

This post isn’t a fully-fledged analysis but it highlights potential issues and it’s up to the interested reader to solve them. I don’t think there are major issues with Quandl data but I wouldn’t use it for serious analysis until I understand better the differences with Bloomberg. This means going through each contract individually and trying to understand the source of the differences. Finally I put below my Quandl wish list:

  • Add  European Equity Indices Futures coverage (I’m not sure a free source even exists)
  • Add an ETF category to Quandl list of instruments
  • Provide more accurate availability schedule for all instruments

For anyone keen on reproducing this analysis, I saved the code used in this post on a Gist/Github repository.

Any comments welcome

To leave a comment for the author, please follow the link and comment on his blog: The R Trader » R.

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