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:
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 Historical Tick Data Pricing
Our charges are based on the stored data volumes per channel. The table below shows our charges for 6 months and 12 months of CBOT historical tick data by channel:
|Channel||6 Months (USD)||12 Months (USD)|
|CBOT Commodity Futures (340)||450||800|
|CBOT Commodity Options (341)||1,690||3,010|
|CBOT Equity Index Futures (342)||120||200|
|CBOT Equity Index Options (343)||120||200|
|CBOT Interest Rate Futures (344)||720||1,270|
|CBOT Interest Rate Options (345)||1,400||2,480|
|CBOT Commodity Futures II (346)||910||1,610|
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.