Evaluating Quandl Data Quality

November 15, 2013
By

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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).

Instrument Quandl Symbol Bloomberg Ticker Quandl StartDate Bloomberg StartDate Intersec. Mismatch
Australian Dollar OFDP/FUTURE_AD1 AD1 Curncy 13/01/1987 19/12/1989 5933 2640
DJ-UBS Commodity Index OFDP/FUTURE_AW1 DNA Index 03/10/2011 19/12/2008 532 42
Brent Crude Oil OFDP/FUTURE_B1 CO1 Comdty 17/08/1990 23/06/1988 5906 53
Soybean Oil OFDP/FUTURE_BO1 BO1 Comdty 01/07/1959 02/01/1975 8965 816
British Pound OFDP/FUTURE_BP1 BP1 Curncy 13/02/1975 20/03/1990 5879 2959
Brazilian Real OFDP/FUTURE_BR1 BR1 Curncy 08/11/1995 29/11/1995 2023 1526
Corn OFDP/FUTURE_C1 C 1 Comdty 01/07/1959 01/07/1959 13311 4407
Cocoa OFDP/FUTURE_CC1 CC1 Comdty 05/01/1970 01/07/1959 10826 903
Canadian Dollar OFDP/FUTURE_CD1 CD1 Curncy 17/01/1977 04/04/1986 6666 3055
CER Emissions OFDP/FUTURE_CER1 ICEDCER Index 18/03/2008 13/03/2009 1173 965
WTI Crude Oil OFDP/FUTURE_CL1 CL1 Comdty 30/03/1983 30/03/1983 7620 2549
Cotton OFDP/FUTURE_CT1 CT1 Comdty 01/07/1959 01/07/1959 13559 1361
Milk OFDP/FUTURE_DA1 DA1 Comdty 03/10/2011 11/01/1996 531 24
Full-size Dow Jones OFDP/FUTURE_DJ1 DJ1 Index 02/01/1998 03/04/1998 3918 683
US Dollar Index OFDP/FUTURE_DX1 DX1 Curncy 20/11/1985 07/04/1986 6872 285
Euro FX OFDP/FUTURE_EC1 EC1 Curncy 04/01/1999 16/12/1998 3735 1739
3-Month Eurodollar OFDP/FUTURE_ED1 ED1 Comdty 01/02/1982 01/04/1986 6800 2347
Ethanol OFDP/FUTURE_EH1 DL1 Comdty 03/10/2011 16/05/2005 532 0
1-Month Eurodollar OFDP/FUTURE_EM1 EM1 Comdty 01/10/2007 05/04/1990 1020 19
E-mini S&P 500 Index OFDP/FUTURE_ES1 ES1 Index 09/09/1997 09/09/1997 4112 1112
Feeder Cattle OFDP/FUTURE_FC1 FC1 Comdty 06/09/1973 30/11/1971 9995 4188
30-day Fed Funds OFDP/FUTURE_FF1 FF1 Comdty 03/10/1988 06/12/1988 5251 958
5-year Treasury Note OFDP/FUTURE_FV1 FV1 Comdty 20/05/1988 20/05/1988 6206 2565
Gold OFDP/FUTURE_GC1 GC1 Comdty 31/12/1974 02/01/1975 9214 3006
Copper OFDP/FUTURE_HG1 HG1 Comdty 01/07/1959 06/12/1988 5486 3785
Heating Oil OFDP/FUTURE_HO1 HO1 Comdty 06/03/1979 01/07/1986 6835 2806
Japanese Yen OFDP/FUTURE_JY1 JY1 Curncy 02/08/1976 19/12/1989 6012 2548
Coffee OFDP/FUTURE_KC1 KC1 Comdty 17/08/1973 16/08/1972 9891 324
Lumber OFDP/FUTURE_LB1 LB1 Comdty 16/11/1972 07/04/1986 6922 245
Live Cattle OFDP/FUTURE_LC1 LC1 Comdty 30/11/1964 30/11/1964 12314 5364
Lean Hogs OFDP/FUTURE_LN1 LH1 Comdty 25/06/1969 01/04/1986 6937 3951
UK Natural Gas OFDP/FUTURE_M1 FN1 Comdty 02/01/2007 30/01/1997 1766 3
S&P 400 Midcap Index OFDP/FUTURE_MD1 MD1 Index 13/02/1992 13/02/1992 3980 614
Mexican Peso OFDP/FUTURE_MP1 PEA Curncy 25/04/1995 11/05/2012 382 340
New Zealand Dollar OFDP/FUTURE_NE1 NV1 Curncy 02/09/2004 08/05/1997 1937 189
Natural Gas OFDP/FUTURE_NG1 NG1 Comdty 03/04/1990 03/04/1990 5682 2460
Nikkei 225 Index OFDP/FUTURE_NK1 NX1 Index 25/09/1990 02/10/1990 5643 331
E-mini Nasdaq 100 OFDP/FUTURE_NQ1 NQ1 Index 22/06/1999 21/06/1999 3635 652
Oats OFDP/FUTURE_O1 O 1 Comdty 01/07/1959 01/07/1959 12770 3600
Orange Juice OFDP/FUTURE_OJ1 JO1 Comdty 01/02/1967 01/02/1967 11684 560
Palladium OFDP/FUTURE_PA1 PA1 Comdty 05/01/1977 01/04/1986 5596 1840
Russell 1000 OFDP/FUTURE_RF1 RM1 Index 11/05/2007 20/09/2002 1657 18
Russell Growth OFDP/FUTURE_RG1 RGAA Index 03/05/2010 24/12/2012 230 192
Rough Rice OFDP/FUTURE_RR1 RR1 Comdty 20/08/1986 06/12/1988 5112 363
Russian Ruble OFDP/FUTURE_RU1 RU1 Curncy 03/10/2011 23/04/1998 533 2
Russell Value OFDP/FUTURE_RV1 RVBA Index 03/05/2010 24/12/2012 230 192
Soybeans OFDP/FUTURE_S1 S 1 Comdty 01/07/1959 01/07/1959 13401 4299
Sugar OFDP/FUTURE_SB1 SB1 Comdty 04/01/1961 03/01/1961 13105 814
Swiss Franc OFDP/FUTURE_SF1 SF1 Curncy 13/02/1975 19/12/1989 6010 2741
Silver OFDP/FUTURE_SI1 SI1 Comdty 13/06/1963 02/01/1975 8848 3058
Soybean Meal OFDP/FUTURE_SM1 SM1 Comdty 02/07/1959 02/01/1975 9234 913
Full-size S&P500 Index OFDP/FUTURE_SP1 SP1 Index 21/04/1982 21/04/1982 7580 2688
Russell Small-Cap OFDP/FUTURE_TF1 RTA1 Index 20/08/2007 17/08/2007 1613 8
2-year Treasury Note OFDP/FUTURE_TU1 TU1 Comdty 01/10/2007 25/06/1990 1521 279
10-year Treasury Note OFDP/FUTURE_TY1 TY1 Comdty 03/05/1982 03/05/1982 7817 2044
Ultra Treasury Bond OFDP/FUTURE_UL1 WN1 Comdty 30/10/2012 11/01/2010 262 0
30-year Treasury Bond OFDP/FUTURE_US1 US1 Comdty 22/08/1977 22/08/1977 9067 5198
S&P500 Vol. Index OFDP/FUTURE_VX1 UX1 Index 03/05/2004 26/03/2004 2270 610
Wheat OFDP/FUTURE_W1 W 1 Comdty 01/07/1959 01/07/1959 13407 4033
E-mini Dow Jones OFDP/FUTURE_YM1 DM1 Index 01/10/2007 20/09/2002 1526 15

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 their blog: The R Trader » R.

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