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:
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.