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

The importance of high availability COMEX 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 | COMEX 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

COMEX MDP3.0 Channel mappings

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

Channel 360 COMEX Globex Futures
Channel 361 COMEX Globex Options 

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

COMEX Tick Data Storage 

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

Nanotick CME Group COMEX  Gold & Silver Futures Tick Frequency.png Nanotick CME Group COMEX  Gold & Silver Options Tick Frequency.png