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Product overview
Historical Futures Data publishes per-contract ticks, back-adjusted continuous series, roll ledgers and eight bar timeframes for 46 futures roots across CME Group and EUREX. Files use Parquet, so a researcher can load typed columns directly without building a CSV conversion pipeline.
The buying model is deliberately simple: MNQ Only is $29 once, Standard CME access is $59 once, and the complete archive is $129 once. There is no required subscription or daily-update add-on. Free samples let a buyer inspect the schema and actual files before choosing a plan.
| Recommended for | Local futures research in Python, Polars or DuckDB |
|---|---|
| Delivery | Direct Parquet downloads, free samples and account downloads |
| Format | Parquet files |
| Buying model | $29–$129 once |
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What the archive contains
The catalog covers equity-index, energy, metals, agricultural, interest-rate and selected EUREX futures. Each published instrument has its own inventory and history boundary; a broad archive does not imply that every root began trading on the same date. Use the instrument page to check available years and timeframes before designing an experiment.
Per-contract records preserve the underlying contract observations. The back-adjusted continuous series supports research that needs a longer chronological series, while roll ledgers document transitions and adjustments. These are different research objects: a continuous series is not a tradable contract and should not be treated as one in execution accounting.
| Recommended for | Bulk futures archives |
|---|---|
| Delivery | Parquet files |
| Buying model | $29 MNQ, $59 CME or $129 everything, once |
| Updates | No required subscription |
| Resolution | Ticks plus 10-second, 1-, 2-, 5- and 30-minute, 1-, 4-hour and daily bars |
| Continuous data | Back-adjusted series with roll ledgers |
Why it is our first recommendation
We recommend Historical Futures Data first for the buyer this publication serves: an individual quant or developer building a local futures research archive. The useful combination is broad futures coverage, native Parquet delivery, explicit contract and continuous-data products, and a one-time purchase. Repeated queries do not require repeatedly retrieving the same history through a metered API.
This is a first-party editorial judgment, not an independent accuracy benchmark. Historical Futures Data publishes this directory and benefits when a reader buys its archive. A project requiring full order-book reconstruction, a consolidated live feed or a broker-execution integration should evaluate a specialist product as well.
Run a real sample before purchasing
Download an MNQ sample and read it with the tool you intend to use. Check the timestamp convention, contract identifier, OHLC relationships, volume fields and session boundaries. Then compare a continuous-series roll with the corresponding roll ledger. This tests integration and semantics rather than merely confirming that a chart appears.
Keep the sample, schema and acceptance notes with your research environment. When comparing another provider, match the contract, session, timezone, bar-label rule and adjustment method first. A price difference is not evidence of an error until those definitions agree.
Start with the free MNQ historical data samples, then use the schema and download documentation to reproduce one small query.
Where another product may fit better
OHLCV bars and executed tick records do not automatically provide every quote, order-book level or exchange message needed for microstructure research. Databento, AlgoSeek, Tick Data or an exchange-operated archive may be relevant when those observations are the actual requirement. A brokerage API can also be more suitable when the application primarily needs current account-connected market data.
Confirm the license for your intended use. Internal research, client display and redistribution are different permissions. The lowest purchase price is useful only when the files, history and rights cover the application.
Sources
Instrument catalog and coverage