Sources, trade types, timestamps, expiries and continuous contracts: click a question to read the answer.
Historical Futures market data
Where does the data come from?
The historical data covers trades and quotes from the exchanges on which futures contracts are traded, supplied through the data providers associated with our offering and directly by the exchanges themselves. Sources and coverage may vary by market, instrument and period. Contact us to confirm the origin of your requested dataset.
Is the data aggregated or filtered before delivery?
The data is supplied as received from the exchange, without aggregation. We apply a filter to remove erroneous trades outside the bid–ask spread; otherwise, the original observations are preserved.
Does the data include only trades executed in the electronic order book?
Off-book and block-trade identification depends on the trade-type indicators available in the source. We cannot confirm that the dataset contains only central order-book trades.
Can certain trade types be filtered out?
We apply a filter to remove erroneous trades outside the bid–ask spread. Filtering specific trade types depends on the codes or indicators available in the source file. The identifiable categories and coverage of this filtering must be confirmed for the requested historical dataset.
Can removed trades still be identified in the filtered file?
The delivered files do not include a separate audit trail of cancelled or corrected trades. Once a record has been removed by filtering, no trace of it remains in the delivered dataset.
What do futures timestamps represent?
The timestamp is the native event timestamp supplied by the exchange or source, rather than the time at which the data is received or recorded in our systems. Depending on the market, period and dataset, files may be offered with millisecond, microsecond or even nanosecond precision.
Is nanosecond precision available throughout the entire history?
No. The available precision depends on the source’s precision for the relevant period. The same instrument may have different timestamp resolutions over its history. Adding decimal places to a timestamp does not create precision absent from the original data.
Which time zone do you use?
By default, data is delivered in the exchange’s native time zone. Delivery in GMT/UTC or another time zone can be selected when ordering. Daylight saving time changes and trading session hours depend on the market and historical period.
Why are there several files for the same futures instrument?
A futures instrument has multiple contract expirations, also known as maturities. Each expiry is a separate contract, with its own identifier, trading period and expiration date. Several expirations of the same futures instrument may trade simultaneously.
What is the difference between individual contract histories and continuous historical data?
Individual contract files preserve the data for each expiry separately. A continuous history links successive contracts according to a rollover rule. This rule affects analytical results: the rollover date or criterion and any price adjustment must be specified.
Are prices adjusted when rolling between contracts?
Tick, Trades & Quotes and Order Book data is supplied without back-adjustment of prices. For Minute or Daily series, specify whether you require adjusted or unadjusted data, subject to product availability. An adjusted continuous series must be distinguished from the prices actually quoted for each contract expiry.
What does volume represent?
For futures trades, volume generally represents the number of contracts traded. Quantities displayed at the Bid or Ask represent contracts offered for purchase or sale, without guaranteeing execution. Traded volume, available order book quantity and trade count are different measures.
Can historical data contain gaps?
Missing data may correspond to a market closure, a session break, an absence of trades in a less active contract or a source interruption. Trading hours may also change over the historical period. The first and last dates in a file do not guarantee continuous activity between those dates.
Is the data guaranteed to be error-free, and can all corrections be traced?
No historical dataset can be guaranteed completely free of errors or omissions. The delivered files do not include a separate audit trail of cancelled or corrected trades. Once a record has been removed by filtering, no trace of it remains in the delivered dataset. To report an anomaly, specify the exact contract, its expiry, the date, time and affected rows.
How far back does the data go?
Coverage depends on the futures instrument, contract expiry and format. Trade data may be available over a longer period than quotes or order book data. Two expirations of the same futures instrument may also have different start dates. Check the catalogue or contact us for exact coverage.
What are the file formats and sizes?
Data is delivered as text files, including TXT or CSV, which may be compressed. File size depends on the market, number of expirations, period and level of detail. Historical order book data can be substantially larger than trade data or Minute bars. An estimate can be requested before ordering.
How is the data delivered and updated?
Files are supplied via a cloud download link and remain available for one month. Download them and keep your own backup. Your order covers the instruments, formats and periods purchased; subsequent updates are a separate service.
Can I convert the files or use them in my trading platform?
You may convert them for your authorised use, subject to your licence terms and platform compatibility. Converting data to another format does not grant any additional rights to share, resell or redistribute it.
Can I display the data to my clients or redistribute it?
Permitted use depends on the selected licence. Client-facing display requires an appropriate licence and compliance with its terms. Resale, file sharing, downloads by third parties or distribution through an API are not permitted without explicit agreement.