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

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The importance of high availability NYMEX 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 | NYMEX 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

 

NYMEX MDP3.0 Channel Mappings

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

Channel 380 NYMEX Globex Emissions Futures
Channel 381 NYMEX Globex Emissions Options
Channel 382 NYMEX Globex Crude & Crude Refined Futures
Channel 383 NYMEX Globex Crude & Crude Refined Options
Channel 384 NYMEX Globex Metals, Softs, & Alternative Market Futures
Channel 385 NYMEX Globex Metals, Softs, & Alternative Market Options
Channel 386 NYMEX Globex Nat Gas & other Non-Crude Energy Futures
Channel 387 NYMEX Globex Nat Gas & other Non-Crude Energy Options

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

NYMEX Tick Data Storage 

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

Nanotick CME Group NYMEX Crude Oil Futures Tick Frequency.png Nanotick CME Group NYMEX Crude Oil Options Tick Frequency.png Nanotick CME Group NYMEX Natural Gas Futures Tick Frequency.png Nanotick CME Group NYMEX Natural Gas Options Tick Frequency.png Nanotick CME Group NYMEX Metals & Softs Futures Tick Frequency.png Nanotick CME Group NYMEX Metals & Softs Options Tick Frequency.png Nanotick CME Group NYMEX Emissions Futures Tick Frequency.png Nanotick CME Group NYMEX Emissions Options Tick Frequency.png