Futures Tick
Tick-level U.S. futures trades, quotes, and 10-level market depth since 2010. Millisecond timestamps, aggressor flags. CME, CBOT, COMEX, NYMEX.
Tick-level U.S. futures data covering executed trades, quote updates, and multi-level order book depth across CME, CBOT, COMEX, and NYMEX since 2010.
Trade and quote (TAQ) tick data includes millisecond timestamps, trade aggressor flags, and exchange condition codes. Trade-only tick data isolates executions by filtering out quote updates, providing a clean view of trading activity for execution analysis and volume-based research. These datasets serve as futures tick-by-tick data for algorithmic trading, execution simulation, and order-flow analysis.
The multiple depth dataset delivers 10 levels of bid and ask market depth with price, size, and order count at each level, enabling liquidity profiling, order book reconstruction, and execution simulation at sub-second resolution.
Trade and Quote#
The U.S. Futures Trade and Quote (TAQ) dataset provides tick-level intraday trade and quote data for CME-listed futures contracts, delivering a detailed view of futures market activity across CME Group exchanges. The dataset captures executed trades and bid/ask quote updates with millisecond timestamp resolution and includes key event attributes such as exchange condition codes and a trade aggressor flag, indicating whether the buyer or seller initiated each trade. These fields enable precise analysis of execution dynamics, order-flow behavior, and short-horizon market microstructure. Coverage spans all futures contracts traded on U.S. exchanges, including products listed on CME, CBOT, COMEX, and NYMEX. Data is organized in UTC for consistency, with local exchange timestamps in Chicago time (CT) included to align with standard futures-market conventions. The dataset is designed to support intraday futures analytics, execution research, and high-resolution historical back-testing where accurate timing and trade/quote context are essential.
Trade Only#
The U.S. Futures Trade-Only dataset provides tick-level intraday trade data for CME-listed futures contracts, constructed by filtering quote events from the consolidated trade and quote (TAQ) feed. Each record represents an executed trade and includes core execution attributes such as price, quantity, trade aggressor flag (indicating whether the buyer or seller initiated the trade), and exchange condition codes, which provide additional context about trade execution. Trades are timestamped with millisecond resolution, enabling high-precision sequencing and detailed intraday analysis. The dataset covers major futures contracts traded on U.S. exchanges, including products listed on CME, CBOT, COMEX, and NYMEX. Data is organized in UTC, with local exchange timestamps in Chicago time (CT) included to align with standard futures-market conventions. By excluding quote updates, the dataset offers a focused view of pure trade activity, suitable for execution analysis, volume studies, and trade-based signal research.