NYMEX Historical Market Data

Download a Historical Market Data Sample to Backtest

Try Nanosecond Resolution High Frequency Historical Data Samples

Download
Nanotick example shown on laptop

Nanotick | CME Group provides the most accurate source of comprehensive historical tick and trading data for all group exchanges. This includes all NYMEX data.

For the NYMEX Designated Contract Market (DCM) Nanotick captures every packet broadcast on all channels for both futures and options and has the unique advantage of having both exchange send time and receive time at co-location with atomic clock precision. The security definitions for NYMEX static data are also captured and stored.

The Nanotick data includes CME Market Data Platform (MDP 3.0) Market By Order (MBO) from the first live date and Market By Price (MBP) data feeds prior to that.

Nanotick | CME Group data for NYMEX has the following features:

  • Full historical price data for all NYMEX precious, ferrous and non-ferrous metals contracts. All energy contracts and refined products. All electricity futures data.
  • Nanosecond resolution NYMEX order book tick history in Raw and Replay formats
  • Entire NYMEX Trades history with nanosecond resolution
  • Continuous BBO price history with nanosecond precision
  • All NYMEX bar data with HFT tick data extensions
  • Complete historical record of NYMEX security definitions data
  • Ultra high resolution NYMEX tick data for all futures and options contracts including WTI Crude Oil (CL), Natural Gas (NG), ERCOT, Platinum (PL) and Palladium (PA)

The benefits of Nanotick | CME Group data for NYMEX are:

  • The data is available 24x7 on demand to subscribers 
  • All data is captured at Aurora co-location and the precise capture times have the lowest possible latency
  • receive time is taken with atomic clock < 10 nanosecond PPS precision
  • atomic time gives exact arbitrage evaluation when comparing NYMEX futures like WTI Crude Oil with highly correlated oil and energy contracts
  • Extensive redundancy at the capture plant, exchange cross-connect, server and NIC levels ensure incomparable levels of data fidelity.
  • Execution strategies may be tested with the highest level of precision
  • Backtesting NYMEX trading strategies may be undertaken with unparalleled accuracy
  • The Nanotick | CME Group historical NYMEX data has both Raw and Reply data formats. CSV and binary formats are available for consolidated bar data, trades and BBO.

 

Nanotick Market Data Artefact Types

What trading context?

nanoBooks = Tick Data | Full Order Book Raw and Replay.
High resolution historical tick data for use by genetic algorithms, deep learning neural networks or machine learning models where price, volume, precision time and full order book price level data is required.

nanoBars = Price Data | Full Price History.
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 are essential when backtesting any systematic investment model.

 

Product Complexes

Nanotick offers standard data group complexes for the following product groupings:

  • Agricultural Commodities
  • Energy Products
  • Equity Indices
  • Foreign Exchange
  • Metals
  • Treasuries and Interest Rates

These complexes contain all historic data for every future and option contract within the market segment irrespective of the source exchange.

Download a Historical Market Data Sample to Backtest

Try Nanosecond Resolution High Frequency Historical Data Samples

Download
Nanotick example shown on laptop