Historical Futures and Future Options

AlgoSeek has historical Futures and Future Options from June 2009 to present from the CME, NYMEX, COMEX and CBOT. The historical data includes every expiration contract for each trading day for base futures, spreads and future options. Choose from a variey of data formats.

Data Formats

Trades and Quotes/Tick

Bid/Ask, Trades, Settlement prices all with millisecond timestamps. Trades show if buyer or seller initiated.

Trades Only

Every Trade for every expiration and shows if buyer or seller initiated.

Minute Bars

Trades Only or Trades+Quotes minute bars with 50+ fieldss including millisecond Bid/Ask OHLC, buy/sell trade count, trade direction, min/max spread, etc.

Custom Bars

AlgoSeek parallel cloud framework can quickly build custom bars for any intraday timeframe with custom field calculations.

Level 2/Tick Data

Ten levels of the Bid/Ask book with all Bid/Ask events.

Documentation

Trades + Quotes Trades Only Trade+Quotes
Minute Bars
Trade
Minute Bars
Full Depth
Guides Guide Guide Guide Guide Guide

Sample Data

Trades + Quotes Trades Only Trade+Quotes
Minute Bars
Trade
Minute Bars
Full Depth
Futures: ESH5 Sample Sample Sample Sample Sample
Futures: ZNH5 Sample Sample Sample Sample Sample
Future Options: ESH5 C2110 Sample Sample Contact Us Contact Us Sample

View List of Base Futures for 27 January 2017

About The Data

Timestamps

Each event is timestamped to the millisecond.

Updates

Weekly update subscriptions are available.

Research

AlgoSeek data is perfect for your institution’s historical research and backtesting.

Data Format

Data is provided in CSV format for easy manipulation.

Data Collection

The data is raw without any filtering to provide the most realistic dataset for research and backtesting. Learn more about data collection.

Data Delivery

Delivery choices include Amazon AWS Cloud, AWS S3, FTP and disk. Learn more about data delivery choices.

Clients

Data is used by professional traders, hedge funds, banks and universities.

Futures Pricing

Prices for CME, CBOT, NYMEX and COMEX Historical Futures from June 2009 to Present

Per Base Future Per Year

Each day Includes all contract expiration months.
Trades + Quotes Trades Only Trade + Quotes
Minute Bars
Trade
Minute Bars
Full Depth
Per Symbol $200 $100 $80 $50 $300
Select 10 $160 $80 $70 $40 $240
Select 20 $140 $70 $60 $30 $210
Select 30 $120 $60 $50 $25 $180

Complete Futures Dataset

Includes every expiration date for each base future per day.
Trades + Quotes Trades Only Trade + Quotes
Minute Bars
Trade
Minute Bars
Depth / Level II
1 year $12,000 $6,000 $3,000 $2,000 $18,000
2 years $16,000 $8,000 $4,600 $2,800 $24,000
3 years $20,000 $10,000 $6,200 $3,600 $30,000
4 years $24,000 $12,000 $7,600 $4,300 $36,000
5 years $28,000 $14,000 $9,000 $5,000 $42,000
6 years $32,000 $15,200 $10,200 $5,600 $48,000
7 years $35,000 $16,600 $11,200 $6,100 $52,500
Complete
data set
$38,000 $18,000 $14,180 $8,090 $55,000

Futures Options Pricing

Prices for CME, CBOT, NYMEX and COMEX Historical Futures Options from June 2009 to Present

Futures Options Per Base Future Per Year

Includes all option types (American, monthly, weekly, etc) for every contract expiration month.
Trades + Quotes Trades Only Trade + Quotes
Minute Bars
Trade
Minute Bars
Depth / Level II
Per Symbol $200 $100 $80 $50 Contact Us
Select 10 $160 $80 $70 $40 Contact Us
Select 20 $140 $70 $60 $30 Contact Us
Select 30 $120 $60 $50 $25 Contact Us

Complete Futures Options Database

Trades + Quotes Trades Only Trade + Quotes
Minute Bars
Trade
Minute Bars
Depth / Level II
1 year $8,000 $4,000 $2,000 $1,000 Contact Us
2 years $12,000 $6,000 $3,600 $1,800 Contact Us
3 years $16,000 $8,000 $5,200 $2,600 Contact Us
4 years $20,000 $10,000 $6,600 $3,300 Contact Us
5 years $24,000 $12,000 $8,000 $4,000 Contact Us
6 years $26,400 $13,200 $9,200 $4,600 Contact Us
7 years $28,000 $14,600 $10,200 $5,100 Contact Us
Complete
data set
$28,000 $14,000 $12,180 $6,090 Contact Us

Updates and Pricing Information

Updates Receive weekly updates to keep your historical data updated.
Please contact us for more information.
Pricing One-Time Monthly or Quarterly Lease
One time payment to buy the historical data. For firms (meeting requirements) to purchase data and pay over time. For firms (meeting requirements) requiring on premise data.
Discounts Education Discount Startup Discount
Discount available for Educational Institutions. Discount available for startups.
Minimum Order Size $500 minimum order size.

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Historical Data

Contact Information