Futures
Historical U.S. futures tick data, 10-level depth, and intraday bars with aggressor flags since 2010. CME, CBOT, COMEX, and NYMEX coverage.
algoseek’s U.S. futures data covers contracts traded on CME, CBOT, COMEX, and NYMEX since 2010, providing tick-level trades and quotes, trade-only execution data, intraday bars, and multi-level order book depth.
Tick datasets include millisecond timestamps, trade aggressor flags (identifying buyer-initiated versus seller-initiated trades), and exchange condition codes. Trade and quote minute bars provide 50+ analytics per interval, including OHLC from both trades and quotes, VWAP, bid-ask spread metrics, and buy/sell aggressor counts. Trade-only minute and second bars isolate execution activity with OHLC, volume, dollar volume, and aggressor statistics.
The multiple depth dataset delivers 10 levels of bid and ask market depth with price, size, and order count at each level, supporting liquidity analysis, futures depth of market modelling, and execution simulation.
Futures options data is also available from 2012, covering tick-level trades and quotes and trade-only minute bars for options on futures contracts across all four exchanges.
Tick#
2 items
Intraday Bar#
2 items