Free Time Series Data for EXPO Users

Increasing numbers of financial institutions, educational facilities, and government agencies are publishing a wealth of free economic and financial data on the Internet. This comes as great news to EXPO users, who can now download this data into EXPO for viewing, graphing and analysis. This page points you to some of the better free data sources that we've found, and gives some helpful hints on how to download different data formats.

Note that data available on the Web comes in many formats. While most data formats move easily into EXPO, you may need to change the formatting of some data before you import the data into EXPO. If you have the Microsoft Windows notepad and/or a spreadsheet like EXCEL, most of the more difficult formats are easily conquered. You might want to check out this tutorial on how EXPO expects data to be formatted.

If you have any suggestions as to other free data sources, please mail LMT, so that we can update this page.

PLEASE NOTE -- LMT BEARS NO RESPONSIBILITY FOR THE ACCURACY OR COMPLETENESS OF THE DATA AT ANY OF THESE OR OTHER SOURCES MENTIONED IN LMT's WEB PAGE.

Index

This Free Data page suggests sources for the following interesting categories of financial and economic data:

US Financial Market Data

• Bonds
• CDs
• Treasuries
• Commodities

Economic Data

• US
• World

Foreign Exchange

• Historical

Bonds

http://munshi.sonoma.edu/invest/bondyld.html: Monthly data dating from 1970 to 1992 for US Treasury Notes, and other sorted bond yields.

Back to INDEX

Certificates of Deposit

Federal Reserve Bank of Chicago

http://www.frbchi.org/econinfo/finance/int-rates/welcome.html

Current (1994 - present)

• Daily and Weekly Certificate of Deposit Rates

Historical (1965 -1993)

• Daily and Weekly Certificate of Deposit Rates

Click here for information on Chicago Fed's file formats, and how to best import the data into EXPO.

Back to INDEX

Treasuries

Federal Reserve Bank of Chicago

http://www.frbchi.org/econinfo/finance/int-rates/welcome.html

Current (1994- present)

• Daily and Weekly Treasury Bill rates
• daily and weekly Treasury Constant Maturity rates

Historical (1960 -1993)

• Daily and Weekly Treasury Bill Rates, Secondary Market
• Daily and Weekly Treasury Constant Maturity Rates

Click here for information on Chicago Fed's file formats, and how to best import the data into EXPO.

Back to INDEX

Commodities - EBAY.COM

http://www.ebay.com:80/invest/data/: Historical time series data on the following commodities:

Cocoa, Coffee, Copper, Corn, Live Cattle, Live Hogs, Pork Bellies, Soybeans, Sugar, and Wheat.

This site also provides data on these other instruments:

D-Mark, Eurodollar, Gold, Japanese Yen, S&P 500 Index, Silver, Swiss Franc, T-Bill, and the T-Bond.

Click here for information on the file formats that the data comes in, and how to best import it into EXPO.

Back to INDEX

Economic Data

There are a lot of great sources of economic data on the Web, too many to mention them all here. Click here to access a site that will lead you to both US and World data.

Nijenrode Business Webserver

http://www.nijenrode.nl/nbr/trends/: Economic Data, Statistical Data, Trends per Country. This site is especially useful if you are looking for sources of non-US economic data.

Federal Reserve Board of St. Louis

http://www.stls.frb.org/fred/dataindx.html: The Federal Reserve Board supplies historical US economic data spanning back sometimes as early as the first quarter of this century! You can either download individual series, or compressed zip that span the entire data category. In addition, they provide update files that merge in new data into existing files.

Data is available in the following categories:

• Daily/Weekly U.S. Financial Data,
• Monthly Monetary Data
• Monthly Interest Rates
• Monthly Reserves
• Monthly Commercial Banking Data formerly Loans
• Quarterly Business/Fiscal Data
• Quarterly Gross Domestic Product and Components
• Monthly Consumer Price Indexes
• Monthly Producer Price Indexes
• Monthly Employment and Population Data
• Monthly Regional Data

Also, see about the FRB of St. Louis' file formats.

US Economy Business Cycle Indicators

http://www.mlinet.com/bci/catBCI.html: LOTS of stuff. You can download data as a .wks file, which you can then import into Lotus or Excel, before importing it into EXPO.

Bureau of Labor Statistics

http://stats.bls.gov/: This government agency not only publishes tons of data, but also supplies you with a form-based application/search engine, to help you narrow down your search.

Federal Reserve Board of Chicago

http://www.frbchi.org/econinfo/econ-ind/welcome.html: Business/Consumer Indicators, Housing, Real Estate and Construction, and National Income and Product Accounts.

Back to INDEX

Foreign Exchange

Federal Reserve Bank of Chicago

http://www.frbchi.org/econinfo/finance/for-exchange/welcome.html

• Historical (1971 - 1993) and Current (1993- ?) daily data on the Canadian Dollar, German Mark, Great British Pound, Japanese Yen, French Franc, Trade Weighted Value of the Dollar, Italian Lira, Spanish Peseta, Belgian Franc, Swedish Krona, Hong Kong Dollar, Taiwanese Dollar, Swiss Franc, Mexican Peso, South Korean Won, Australian Dollar in US Dollar, Dutch Guilder, and Singaporean Dollar.
• Current (1994 - present) daily data on Austrian Schilling, Chinese Yuan, Danish Krone, European Community ECU, Finnish Markka, Greek Drachma, Indian Rupee, Malaysian Ringgit, Mexican Peso, Norwegian Krone, Portuguese Escudo, South African Rand, Sri Lankan Rupee, Thai Baht.
• Click here for information on these Foreign Exchange file formats.

Federal Reserve Board of St. Louis

http://www.stls.frb.org/fred/dataindx.html: Monthly Exchange Rate Data

• Monthly Exchange Rate Data

Back to INDEX

Commodities - Ebay.com

Downloading the Data

If you want a portion of the data:

• Select the region of data you want, and Copy it to the clipboard. You can then paste it into a text editor.

If you want all the data:

• Choose File, then Save As. Be sure to remove the header information.

Importing the Data into EXPO

• Remove any header information.
• From the Data pull-down, select Import From File, then With Dates and Times. Give the filename, and specify periodicity of D, 1 date columns, and 4 data columns. Also, set Swap column to 1, or TRUE (This makes OHLC data CHLO)
• Alternately, you can issue the command:

	readahist("FILENAME","D",1,4,-1,1)

where the -1 argument indicates to use the default interval, and the final '1' tells EXPO to swap CHLO for OHLC.

• To read in the Volume or Open Interest columns, use the Data -> Import From File -> Array, command, or the READTABLE command.

File Formats

This data comes in a very simple format: a single column of dates, followed by CHLO data, then by a column of open interest.

Note that futures are non-continuous, i.e., not processed.

	Date    Open    High    Low     Close   Volume  Op Int

Sample File

	Date    Open    High    Low     Close   Volume  Op Int

	911021  1173    1190    1173    1188    4404    56264

	911022  1168    1179    1156    1177    6989    55445

	911023  1164    1202    1164    1194    5617    52437

	911024  1190    1202    1183    1186    4086    52868

Back to Commodities

Bureau of Labor Statistics: LABSTAT

Downloading the Data

If you want a portion of the data:

• Select the region of data you want, and Copy it to the clipboard. You can then paste it into a text editor.

If you want all the data:

• Choose File, then Save As.

Importing the Data into EXPO

In order to import these files into EXPO, you must

• Remove the first column of data (Series ID) from the file, with a text editor.
• Remove any header information.
• Change the date format to one recognized by EXPO. Click here for a document that describes EXPO-compatible date formats.
• From the Data pull-down, select Import From File, then With Dates and Times. Give the filename, and specify periodicity of M, 1 date columns, and 1 data column.
• Alternately, you can issue the command:

	readahist("FILENAME","M",1,1)

File Format

	Series ID Year Period Value 

Sample File

	cuur0000sa0 1985 M01 105.5 

	cuur0000sa0 1985 M02 106.0 

	cuur0000sa0 1985 M03 106.4 

	. 

	. 

	cuur0000sa0 1986 M09 110.2 

Back to US Economic Data

Nijenrode Business Web Server

File formats depend largely on what you are asking for.

Back to World Economic Data

Certificates of Deposit: Federal Reserve Board of Chicago

Downloading the Data

If you want a portion of the data:

• Select the region of data you want, and Copy it to the clipboard. You can then paste it into a text editor.

If you want all the data:

• Choose File, then Save As.

Importing the Data into EXPO

• To read in the CD3 series, from the Data pull-down, select Import From File, then With Dates/Times. There, specify the filename, periodicity "D", 1 date column, and 1 column of data.
• To read in the CD6 series, from the Data pull-down, select Import From File, then Array. The CD6 series is located in column 3.

File Formats

	Header

	. 

	. 

	. 

	MM/DD/YY CD3 CD6 

Sample File

	"Daily Certificate of Deposit Rates, Secondary Market"

	"Jan. 1, 1994 to most recent" 

	"An average of dealer offering rates on nationally traded" 

	"certificates of deposit" 

	"Annualized using a 360-day year or bank interest" 

	"Source: Federal Reserve Statistical Release H.15" 

	"Board of Governors of the Federal Reserve System" 

	"DATE = MM/DD/YY FORMAT" 

	"CD3 = THREE-MONTH CD RATE" 

	"CD6 = SIX-MONTH CD RATE" 

	"DATE", "CD3", "CD6" 

	01/03/94 3.23 3.37 

	01/04/94 3.25 3.39 

	01/05/94 3.23 3.38 

Back to Certificates of Deposit

Treasuries: Federal Reserve Board of Chicago

Downloading the Data

If you want a portion of the data:

• select the region of data you want, and Copy it to the clipboard. You can then paste it into a text editor.

If you want all the data:

• Choose File, then Save As.

Importing the Data into EXPO

In order to import these files into EXPO, you must

• Remove the header information at the top of the file with a text editor.
• Once you've removed the header information, choose Data -> Import From File -> With Dates/Times. There, specify periodicity "D", 1 column of dates, and 1 column of data.
• To read the data in using the READAHIST function, type:

	READAHIST("filename","d", 1,1)

File Formats

	Header	. 

	. 

	. 

	mm/dd/yy value value value 

Sample File

	"Daily Treasury Bill Rates, Secondary Market" 

	"Jan. 1, 1994 to most recent" 

	"Quoted on a discount basis" 

	"Annualized using a 360-day year or bank interest" 

	"Source: Federal Reserve Statistical Release H.15" 

	"Board of Governors of the Federal Reserve System" 

	"DATE = MM/DD/YY FORMAT" 

	"TB03 = 3-MONTH T-BILL RATE" 

	"TB06 = 6-MONTH T-BILL RATE" 

	"TBY = 1-YEAR T-BILL RATE" 

	"DATE", "TB03", "TB06", "TBY" 

	01/03/94 3.03 3.24 3.50 

	01/04/94 3.08 3.27 3.48 

	01/05/94 3.07 3.26 3.48 

Back to Treasuries

Foreign Exchange: Federal Reserve Board of Chicago

Downloading the Data

If you want a portion of the data:

• select the region of data you want, and Copy it to the clipboard. You can then paste it into a text editor.

If you want all the data:

• Choose File, then Save As.

Importing the Data into EXPO

In order to import these files into EXPO, you must

• Remove the header information at the top of the file with a text editor.
• To read in currency in the first heading, choose Data -> Import From File -> With Dates/Times. There, specify periodicity "D", 1 column of dates, and 1 column of data.
• To read the data in using the READAHIST function, type:

	READAHIST("filename","d", 1,1)

• To read in currencies from columns other than the second column, you must either reformat the data so that the data column you want is in the second column (and dates are in the first), or you can choose Data -> Import From File -> Array, and specify the column number of the data you want to read in. Note that dates will have to be read set independently.

File Formats

	Header	

.	

.	

mm/dd/yy	forex1	forex2	...	forexn	

mm/dd/yy	value	value	...	value

Sample File

	"Daily Foreign Exchange Rates" 

	"Jan 1, 1971 to Dec 31, 1993"

	"Currency units per dollar unless otherwise indicated"	

	Noon buying rates in New York City certified by the Federal"

	Reserve Bank of New York for customs purposes for cable transfers"

	payable in foreign currencies."

	Trade weighted value of the dollar = index of weighted average"

	exchange value of U.S. dollar against the currencies of other"

	G-10 countries.  Weights are 1972-76 global trade of each of the"

	10 countries."	"Source:  Federal Reserve Statistical Release H.10"

	DATE	  = MM/DD/YY FORMAT"	

	CANADA   = CANADIAN DOLLAR"

	GERMANY  = GERMAN MARK"

	UK       = UNITED KINGDOM POUND IN U.S. DOLLARS"

	JAPAN    = JAPANESE YEN"

	FRANCE   = FRENCH FRANC"

	TWD      = TRADE WEIGHTED VALUE OF THE DOLLAR, NSA, MARCH 1973 = 100"

	  "DATE",   "CANADA", "GERMANY",  "UK",     "JAPAN",   "FRANCE",   "TWD"

	1/01/71      0          0          0            0        0            0

	1/04/71     1.0109     3.6434     2.3938     357.73     5.5211     120.53

Back to Foreign Exchange

Federal Reserve Board of St. Louis

Downloading the Data

There is data at the St. Louis Federal Reserve Board for the following categories:

• Daily/Weekly U.S. Financial Data,
• Monthly Monetary Data
• Monthly Interest Rates
• Monthly Reserves
• Monthly Commercial Banking Data formerly Loans
• Quarterly Business/Fiscal Data
• Quarterly Gross Domestic Product and Components
• Monthly Consumer Price Indexes
• Monthly Producer Price Indexes
• Monthly Employment and Population Data
• Monthly Exchange Rate Data
• Monthly Regional Data

When downloading the data, you can either choose to download individual series (File/Save As), or, more efficiently, you can download a zip file of all the data series in the category. The zip file is listed at the top of the list of available data series.

Importing the Data into EXPO

• Remove the header information at the top of the file with a text editor.
• To read in currency in the first heading, choose Data -> Import From File -> With Dates/Times. There, specify the appropriate periodicity, 1 column of dates, and 1 column of data.
• To read the data in using the READAHIST function, type, for example:

	READAHIST("filename","d", 1,1)

File Formats

File formats at the St. Louis FRB vary from periodicity to periodicity, rather than by type of financial data.

Daily Data Format

	yymmdd value

Weekly Data Format

	yymmdd value

Monthly Data Format

yyyy.mm value

	yymm value