Our historical futures data set provides over 10 years of intraday and end-of-day historical futures price data (open / high / low / close bars) and volumes as well as open interest for over 120 of the most actively traded futures tickers (please review the 'ticker listing' file in the sample for the full listing of tickers).
The futures data set includes both continuous data series as well as all the individual contracts in multiple timeframes.
Download Sample Data
Purchase includes one month of free daily updates.
A subscription for updates can be purchased for $65 per month
All data is in csv format, with a single file for each ticker / timeframe (for example, the ES 1-minute data will be a single file). The trade data is aggregated into OHLCV (open, high, low, close, volume bars), open interest is also included for the end-of-day data.
The available timeframes are 1-minute, 5-minute, 30-minute, 1-hour and end-of-day.
We provide full csv data files of the complete historical series with a single data file per ticker (please download the sample to review the data).
The csv data format is compatible with Excel and major data analysis packages such as MetaTrader, TradingView, NinjaTrader, and TradeStation.
In addition to providing all the individual contracts for a ticker (ie the full trading history for each of the monthly or quarterly contract expiries) we also include three types of continuous data series.
The continuous series is comprised of the front-month contracts chained into a single series to simplify the data anlaysis. In addition to an unadjusted continuous series we also provide two types of adjusted continuous series which amend the series to avoid the price jumps on a contract roll (as these would not typically create a trading profit/loss).
The absolute adjusted continous series, uses the absolute value of the price jump on the roll to adjust the series, where the ratio-adjusted series uses the percentage change.
A mapping file of all the contracts used in creating the continuous data series is also provided.
All data files are available immediately upon payment. There are two methods of accessing the data - via download from your dedicated account page or via API.
The individual data files are batched into zip archives for convenient and efficient downloading.
The total size of the data set is 5GB compressed in zip format and 60GB uncompressed
We update all data files daily at the end of each trading day. All purchases come with one month of free daily updates, thereafter, a subscription can be purchased for $65 per month.