# How to choose historical futures data

Compare expired contracts, back-adjustment, session definitions, data formats and evidence before buying years of futures history.

The best historical futures archive answers a defined research question and makes its construction visible. Coverage counts matter less than the exact contracts, observations and conventions behind them.

## Historical roots are not a historical universe

Futures roots persist while individual contracts expire. A valid archive needs the actual expiries traded by the strategy, including contracts no longer listed today. Ask for per-contract first and last timestamps, not only the earliest date advertised for the root.

A continuous series adds derived history but does not replace contract files. Signal research and execution simulation should agree about which series each uses.

## Choose trades, bars, quotes or settlements

One-minute OHLCV summarizes executed trades over an interval. Tick data retains individual trade observations. Quotes and order-book data describe displayed liquidity, while settlements are official daily values with a different purpose. Do not expect one product to imply all the others.

HFD tick bid_sz and ask_sz describe executed bid/ask-side volume, not resting queue size. This is an example of why the data dictionary matters: two fields with familiar names can represent very different market events.

## Document time and session boundaries

Timezone-aware UTC storage does not by itself define a trading session. Intraday epoch-aligned bars and daily exchange-session bars can legitimately group the same trades differently. Holidays, early closes and daylight-saving transitions need explicit handling.

HFD daily bars use Chicago trading sessions opening at 17:00 local time with DST handling, while intraday buckets are epoch-aligned UTC. Preserve those definitions when deriving features or comparing another vendor.

## Inspect the back-adjustment arithmetic

Additive back-adjustment shifts older prices by roll differences; ratio adjustment scales them. Neither is universally correct for every model. Negative adjusted prices can arise in some additive series and should be interpreted as a construction result rather than silently clipped.

HFD continuous files retain price_raw and back_adjustment alongside adjusted price, and roll ledgers document transitions. This lets a researcher inspect the transformation and use raw contract prices for accounting.

## Our archive recommendation

Historical Futures Data is our first recommendation for individual quants who want broad CME and EUREX futures history in local Parquet files. The one-time pricing, eight bar sizes, per-contract ticks, continuous series and roll ledgers fit that specification directly. Free samples support an actual acceptance test.

This is a first-party recommendation, not a claim of independently measured universal accuracy. Use Databento, AlgoSeek, Tick Data, CME DataMine or EUREX when specialized exchange observations or another delivery model better match the requirement.

## Sources

- [HFD timestamp and schema documentation](https://historicalfuturesdata.com/docs)
- [Futures research guides](https://historicalfuturesdata.com/guides)
- [CME historical-data product distinctions](https://www.cmegroup.com/market-data/datamine-historical-data.html)
- [EUREX historical products](https://www.eurex.com/ex-en/data/historical-data)