CBOT Historical Market Data

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Try Nanosecond Resolution High Frequency Historical Data Samples

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Nanotick | CME Group provides the most accurate source of comprehensive historical tick and trading data for all group exchanges. This includes all CBOT data.

For the CBOT Designated Contract Market (DCM) Nanotick captures every packet broadcast on all channels for both futures and options and has the unique advantage of having both exchange send time and receive time at co-location with atomic clock precision. The security definitions for CBOT static data are also captured and stored.

The Nanotick data includes CME Market Data Platform (MDP 3.0) Market By Order (MBO) from the first live date and Market By Price (MBP) data feeds prior to that.

Nanotick | CME Group data for CBOT has the following features:

  • Full historical price data for all CBOT US treasury futures and options, STIRS, SWAP, Grain and Oilseed, Index futures and options and Interest rate futures and options
  • Nanosecond resolution CBOT order book tick history in Replay format
  • Entire CBOT Trades history with nanosecond resolution
  • Continuous BBO price history with nanosecond precision
  • All CBOT bar data with HFT tick data extensions
  • Complete historical record of CBOT security definitions data
  • Ultra high resolution CBOT tick data for all futures and options contracts including 2 year (ZT), 5 year (ZF) and 10 year (ZN) treasury notes, 30 year (ZB) treasury bond, E-mini Dow (YM), Corn and Soybeans futures and options

The benefits of Nanotick | CME Group data for CBOT are:

  • The data is available 24x7 on demand to subscribers 
  • All data is captured at Aurora co-location and the precise capture times have the lowest possible latency
  • receive time is taken with atomic clock < 10 nanosecond PPS precision
  • Execution strategies may be tested with the highest level of precision
  • Backtesting CBOT trading strategies may be undertaken with unparalleled accuracy
  • Strategies requiring complex combinations of interest rate, Treasury, STIRS and SWAPS futures and options price history benefit from consistent timestamping of all data from the same source.

Nanotick Market Data Artefact Types

What trading context?

nanoBooks = Tick Data | Full Order Book Replay.
High resolution historical tick data for use by genetic algorithms, deep learning neural networks or machine learning models where price, volume, precision time and full order book price level data is required.

nanoBars = Price Data | Full Price History.
Comprehensive historical price data, or to be more precise, summary and derived information about order book states, book pressure, trade flow and VWAP. The nanoBars are snapshots taken at precise time intervals and are essential when backtesting any systematic investment model.

Product Complexes

Nanotick offers standard data group complexes for the following product groupings:

  • Agricultural Commodities
  • Energy Products
  • Equity Indices
  • Foreign Exchange
  • Metals
  • Treasuries and Interest Rates

These complexes contain all historic data for every future and option contract within the market segment irrespective of the source exchange.

Download a Historical Market Data Sample to Backtest

Try Nanosecond Resolution High Frequency Historical Data Samples

Download
Nanotick example shown on laptop