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:
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 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 COMEX historical tick data by channel:
|Channel||6 Months (USD)||12 Months (USD)|
|COMEX Globex Futures (360)||460||820|
|COMEX Globex Options (361)||500||890|
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.