CME Historical Market Data

Nanotick | CME Group provides the most accurate source of comprehensive historical tick and trading data for all CMEgroup exchanges. This includes all data for CME itself in addition to CBOT, COMEX and NYMEX.

For the CME 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 CME 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 CME has the following features:

  • Full historical price data for all CME STIRS, Livestock, FX futures and E-micros, Equities, Interest rate and commodity index futures and options
  • Nanosecond resolution CME order book tick history in Replay format
  • Entire CME Trades history with nanosecond resolution
  • Continuous BBO price history with nanosecond precision
  • All CME bar data with HFT tick data extensions
  • Complete historical record of CME security definitions data
  • Ultra high resolution CME tick data for all futures and options contracts including Euro EUR/USD FX futures (6E), Eurodollar interest rate futures (GE), Yen JPY/USD FX futures (6J), E-mini S&P 500 futures and options

The benefits of Nanotick | CME Group data for CME 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
  • atomic time presents a more finely bounded arbitrage channel when comparing CME futures such as GBP Sterling (6B) with pure arbitrage opportunities on cash forex venues with known transmission latencies
  • Execution strategies may be tested with the highest level of precision
  • Backtesting CME trading strategies may be undertaken with unparalleled accuracy

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.