CME 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 CME 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 | CME 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

CME MDP3.0 Channel Mappings

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

Channel 310 CME Globex Equity Futures
Channel 311 CME Globex Equity Options
Channel 312 CME Globex Interest Rate Futures
Channel 313 CME Globex Interest Rate Options
Channel 314 CME Globex FX Futures
Channel 315 CME Globex FX Options
Channel 316 CME Globex Commodity Futures
Channel 317 CME Globex Commodity Options
Channel 318 CME Globex Equity Futures
Channel 319 CME Globex Equity Options
Channel 320 CME Globex FX Futures II
Channel 321 CME Globex FX Options II

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

CME Tick Data Storage 

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

Nanotick CME Group CME S&P 500 e-mini Equity Index Futures Tick Frequency.png Nanotick CME Group CME S&P 500 e-mini Equity Index Options Tick Frequency.png Nanotick CME Group CME Eurodollar Interest Rate Futures Tick Frequency.png Nanotick CME Group CME Eurodollar Interest Rate Options Tick Frequency.png Nanotick CME Group CME FX IMM Currency Futures Tick Frequency.png Nanotick CME Group CME FX IMM Currency Options Tick Frequency.png Nanotick CME Group CME Commodity Futures Tick Frequency.png Nanotick CME Group CME Commodity Options Tick Frequency.png Nanotick CME Group CME Equity Index Futures Tick Frequency.png Nanotick CME Group CME Equity Index Options Tick Frequency.png Nanotick CME Group CME FX IMM Currency Futures II Tick Frequency.png Nanotick CME Group CME FX IMM Currency Options II Tick Frequency.png