CME Futures Historical DATA (FREE) | Reviews of Brokers and Data Feeds


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CME Futures Historical DATA (FREE)

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Tula, Russia
 
Trading Experience: Master
Platform: Sierra Chart, Algovisor
Favorite Futures: 6E, CL, ES
 
Posts: 5 since Jan 2012
Thanks: 4 given, 4 received

CME Futures Historical DATA

The database includes data on the following instruments:
— all currencies traded on CME: 6A,B,C,E,S,J
— indices: ES, NQ, YM, NKD, TK
— energy: CL
— metals: GS, SI, PL, HG
— goods: ZC, ZS, ZW, ZL
— bonds: ZN, ZB
— spread instruments, for example ZWH4-ZWK4

Data period from December 2013 to mid-2014. There are gaps on some instruments, but for research it is not critical. These include all the changes of limit orders in the DOM (Level 2) and all market orders.

The data format is as follows:
1) the name of the archive corresponds to the Ticker name
2) inside the archive contains a folder with the Ticker name
3) inside the folder contains files of format *.txt, the name of each file corresponds to a specific date (DD-MM-YYYY)
4) each file contains strings of a particular format, for example look at a few strings on the instrument CL (crude oil):

"A;17:57:22;11280;10090;10;6;1;"
A — changing the limit on the Ask side;
17:57:22 — time of the event;
11280 — microseconds;
10090 — the price at which this event occurred;
10 — current value limits;
6 and 1 internal datafeed flags

"B;17:57:22;12749;10087;19;16;1;"
B — change the limit on the side bids;
17:57:22 — time of the event;
12749 — microseconds;
10087 — the price at which this event occurred;
19 — current value limits;
16 and 1 internal datafeed flags

"T;17:57:24;9046;10087;1;S;"
T - trade;
17:57:24 — time of the event;
9046 — microseconds;
10087 — the price at which this event occurred;
1 is the current volume of trade;
S — side of the aggressor, in this case it was the sale

As you can see all the values in the file are separated by semicolons, thus these files can be easily downloaded into an Excel spreadsheet by choosing file format *.csv

download link:
cloud.mail.ru/public/04dbf91a0453%2FCME%20Historical%20DATA


Last edited by kirillxskynet; September 11th, 2015 at 08:05 AM.
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