NYMEX Historical Price Data | Full Price History nanoBars

Historical price data underpins modern financial trading. Trade history and best bid offer price history are essential when backtesting any systematic investment model. However, it is not always necessary to do the heavy lifting associated with full book NYMEX historical tick data

Nanotick | CME Group | NYMEX Historical Price Data | Full Price History nanoBars

nanoBars are the finest source of comprehensive historical price data, or to be more precise, summary and derived information about order book states, book pressure, trade flow and VWAP. The nanoBars are snapshots taken at precise time intervals and suit all but the most exacting, ultra high frequency strategy requirements.

Replaying full order book tick history requires time and investment in both technology and personnel. Cutting edge quantitative research and the development of investment strategies can be simplified and accelerated with high quality summary historical price data.

Full price history nanoBars  have been designed for:

  • Ease of use via csv and binary formats. 
  • Rapid, accurate becktesting of strategies for all NYMEX futures and options
  • Reduce the processing and storage requirements associated with tick based data, without overly denuding the value of the content
  • Minimise integration cost and data management issues
  • Optimised binary protocol for extremely quick replay directly into proprietary trading engines obviating the need to parse text
  • Simple and immediate delivery process, highly available history on-line, no physical shipment of media required
  • Highest level of content with the highest precision, timestamps generated by the Nanotick <10ns accurate capture plant
  • Sample python code to immediately plot and validate sample data sets
  • Compatibility with Bookmap, NinjaTrader, Tradestation and any other products compatible with CSV or "ASCII" data files

 

nanoBars – Distribution Contents

nanoBars are distributed as a minimum block of 6 months with historical quotes and traded data. Any extended period is available back to 2014 and a discount is applied to orders of 12 months or more of data. 

nanoBars are distributed as three sets of bar widths:

  • LFT1  Pack:  bar widths are  1, 5 and 10 minutes.
  • LFT2  Pack:  bar widths are 15, 30 and 60 minutes.

The LFT packs are distributed with a nanoCube containing deltas to be applied to the end of the bar at latency offsets of 0, 50, 100, 250 and 500 milliseconds after the bar has expired. These are targeted at strategies running remotely from the exchange

The LFT packs are also distributed with an associated “nanoslice”, a file that presents full book depth at the end of every bar width

The LFT packs also contain VWAP and signal data generated from the full raw tick stream. These are bespoke to each bar width and are non cummulative. 

  • HFT Packuser defined bar widths with nanosecond resolution. 

The high frequency bar widths are generated locally by the user. To facilitate this we provide data captured at the exchange in colocation with nanosecond precision time stamps, and our custom bar builder that replays the data via the OnixS directConnect CME Market Data Handler and generates the chosen bar widths in-situ and the associated nanoslices, high frequency nanocubes (0, 1, 5, 10 & 25 ms), VWAP and trade signal data.

The start time and end time of the bars may also be user defined. Bar widths may be created with any number of nanoseconds as the denominator.

Additional Premium Data Artefacts

In addition to the consolidated bar data there are three additional artefacts that may be included upon request:

  • An entire time and sales (TAS) record, the "Trades" artefact may also be provided for any period
  • An entire history of BBO (best bid and offer) is also available for any period.
  • A file that pinpoints all known Stops, Sweeps and Iceberg orders from within the full tick stream enabled by Nanotick packet capture.

nanoBars – Pricing

LFT packs

The price of LFT nanoBars is a function of the narrowest bar width within each pack and the underlying tick and trade densities within the futures or options contract itself, ergo the information density within the bar.  The most active contracts have the highest price $960 USD per annum of data, decaying to £180 USD for the less liquid contracts.

HFT Pack

The price of the HFT solution is based upon the cost of the Nanotick | CME Group | Replay  data artefact and an annual license for the bar builder and  OnixS directConnect CME Market Data Handler.

The following NYMEX  futures or options are priced according to group number in USD

Contract Symbol Group
WTI Crude Oil CL 1
Henry Hub Natural Gas NG 2
RBOB Gasoline RB 2
NY Harbor Heating Oil HO 2
Brent Crude Oil Financial BZ 2
Nymex Platinum PL 3
Nymex Paladium PA 3

This is only a sample rate card, all NYMEX futures and options contracts are available. Please contact us for details

Group 1 HFT LFT 1 LFT 2 BBO & TAS
6 months Custom* 510 260 110
12 months Custom* 960 480 210

 

Group 2 HFT LFT 1 LFT 2 BBO & TAS
6 months Custom* 315 160 70
12 months Custom* 590 300 130

 

Group 3 HFT LFT 1 LFT 2 BBO & TAS
6 months Custom* 195 100 45
12 months Custom* 370 180 80

* HFT bars below 1 minute in duration can be generated locally by clients using our custom bar builder and the appropriate Nanotick Replay data subscription. Please contact us for pricing on custom HFT nanoBars.