CBOT Historical Tick Data | Full Order Book Raw and Replay nanoBooks

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Try Nanosecond Resolution High Frequency Historical Data Samples

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The importance of high availability CBOT tick data cannot be underestimated by anyone considering passive market making algorithms or active liquidity removal strategies.

The methods deployed may use genetic algorithms, deep learning neural networks or classical machine learning models but in a universe described by price, volume and time the value of multiple price level data is denuded without precise time. The ready availability of datasets used to retrain and recalibrate in a consistent method is often undervalued.

Nanotick | CME Group | CBOT historical market data service is the most accurate and complete historical data available. It includes the follow features:

  • Based on hardware network packet capture source data
  • Replay artefacts for quick, full feed decoding using OnixS directConnect: CME MDP3 Market Data Handler
  • Lossless data capture from the Nanotick bespoke capture plant
  • Atomic clock precision to <10ns
  • Nanosecond timestamps
  • High availability

CBOT MDP3.0 Channel Mappings

CBOT market data is distributed via the following market data broadcast channels:

Channel 340 CBOT Globex Commodity Futures
Channel 341 CBOT Globex Commodity Options
Channel 342 CBOT Globex Equity Index Futures
Channel 343 CBOT Globex Equity Index Options
Channel 344 CBOT Globex Interest Rate Futures
Channel 345 CBOT Globex Interest Rate Options
Channel 346 CBOT Globex Commodity Futures II

Nanotick | CME Group | CBOT  historical data is distributed by the channel and not by the product. This ensures that when replaying data a simulation has real world attributes.

CBOT Tick Data Storage 

The graphics below show the tick density by time of day for all data stored for each of the seven channels above on a sample day.

Nanotick CME Group CBOT Treasury Bond Interest Rate Futures Tick Frequency.png Nanotick CME Group CBOT Treasury Bond Interest Rate Options Tick Frequency.png Nanotick CME Group CBOT Commodity Futures Tick Frequency.png Nanotick CME Group CBOT Commodity Options Tick Frequency.png Nanotick CME Group CBOT Equity Index Futures Tick Frequency.png Nanotick CME Group CBOT Equity Index Options Tick Frequency.png Nanotick CME Group CBOT Commodity Futures II Tick Frequency.png