Updated – as of 7/18/2013 (daily market data 7/19/2013 for COT)
Note: I’ve shrunk the number of periods down to 1400 daily which allows a few more markets to get picked up. Gasoline, Russell among others are now available.
Additionally, a comment on the prices of futures like the grains – these time series are continuous contracts. The data comes from Quandl which is aggregated from various sites (CBOT, CME) but because these are continuous contracts they may not reflect exact contract prices in the current front month for a future. Rather like the Adj.Price vs Price in an equity time series – a continuous contract price is a fabrication – a blend of historic multi contract price streams. It’s obvious that some of these continuous contracts have drifted quite a ways from the current prices of various futures.