COMEX Historical Market Data

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

For the COMEX 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 COMEX 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 COMEX has the following features:

  • Nanosecond resolution COMEX order book tick history in Replay format
  • Entire COMEX Trades history with nanosecond resolution
  • Continuous BBO price history with nanosecond precision
  • All COMEX bar data with HFT tick data extensions
  • Complete historical record of COMEX security definitions data
  • This ultra high resolution COMEX tick data offering includes all futures and options contracts including the most actively traded such as Gold futures (GC), Silver futures (SI) and Copper futures (HG).

The benefits of Nanotick | CME Group data for COMEX 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 COMEX 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 historical data for every future and option contract within the market segment irrespective of the source exchange.