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Futures FAQ

If you have any questions about our data or software products, you can likely find the answers here amongst our FAQ, File Format Guides, and TickWrite® User Guides. However, if you cannot find the answer to your question and/or prefer to speak with one of our data experts, please contact Tick Data today.

Can I create continuous files of multiple futures contracts?

YES. Using several of our Data Delivery Options it is simple to build continuous contracts using several different roll methodologies and adjustment types.

What if I find a problem with my data?

Tick Data works very diligently to ensure the data is as clean and robust as possible. However, no data set is perfect. If you find any questionable anomalies, please contact our Support Desk. We will make every attempt to fix the problem.

Is the data clean?

We employ several proprietary tick filtering algorithms and verification methodologies to remove or repair what we deem to be suspect ticks.

How is my data delivered?

Our preferred method of delivering data is via download.  However, if the data set is too large to deliver via download, we will ship your data to you on external hard drive (shipping & handling charges will apply).

Do I need Windows to use the data?

The delimited text files (both as-traded or time series) can be used with any operating system. If you store the data in your infrastructure and use our TickWrite® data management software, TickWrite® requires Windows® or Linux®.

Does the futures data contain a second or millisecond time stamp?

Since Jun-1-2003, all of our futures data contains a second time stamp (e.g. HH:MM:SS). Prior to then, some of our data has seconds, but most does not. From Jul-1-2011 forward, all futures data contains a millisecond time stamp (e.g. HH:MM:SS.000).

Why do the futures trading volumes observed in End-of-Day data not equal the volumes in Tick Data’s “Daily” data files?

Tick Data’s “Daily” files are produced by aggregating the open, high, low, close and volume from a day’s tick-by-tick trade data. Official “End-of-Day” (EOD) data is acquired by EOD data vendors (including online and electronic outlets like Yahoo!, Bloomberg and CSI Data), who receive the official information from exchanges or data wholesalers. Official EOD data includes trades that did not occur on the exchange, such as Exchange-For-Physicals (EFPs) and block trades. Prior to Jul-1-2011, these off-exchange transactions are not found in our intraday trade data. They did not actually trade on the exchange, but since they must clear through the exchange’s clearing house, they are included in the official figures. From Jul-1-2011 on, these trades are in our data, though they are excluded from output by default. They can be included in the output by checking the “Use Excluded Records in Output” box under TickWrite’s Formatting/Filtering tab.

Is quote data available for all futures contracts?

We have futures quote data available for all symbols starting Jan-4-2010. Quote data is top of book (Level 1 or BBO) and includes corresponding trade data free of charge. Trade and quote data are not interlaced and are delivered in separate files. See a complete listing of our available futures data »

What is the source of the futures and cash index data?

Since Tick Data began offering historical intraday data in 1984, we have sourced our futures and cash index data from various reputable sources, including data vendors and directly from exchanges. The data was not collected in real-time, but rather was downloaded from the source after the close of trading. The data is then validated, filtered and compressed for delivery to our clients. However, some exchanges do not grant redistribution rights, or don’t archive their data, or archive their data in a manner that the resulting files are not usable for our purpose of building a complete, accurate high-frequency research data set. So for all futures & cash index data since January 2010 we use a triple-redundant data collection & archival process whereby a direct exchange data feed is collected into three (3) geographical diverse data centers, over three separate lines. The resulting archives are then compared to ensure the most complete, accurate archive possible.

Does Tick Data provide the complete history of trading for each contract month?

Prior to Jul-1-2003, we were limited by the original Tick Data file naming convention, which only allowed for 11 months of history for each contract month. For example, the June 2001 Eurodollar contract (EDM01) could not contain history prior to July 2000 or the files would have the same name. In July 2003, we changed our format and file naming convention to allow the storage of data for all contract months. It took a few years to capture data for far-out contracts, but since then we have data for all active contract months.

Does the futures data contain trade volume information?

All electronic session data since Jul-1-2003 contains trade volume, but prior to that date, there is no trade volume data available. Additionally, trade volume information is not available for Pit sessions, so Pit trades are designated by having a volume value of “0.”

How can I receive updates to the data?

Tick Data offers daily update subscriptions for futures data that can be retrieved through TickWrite’s Scheduler feature for automatic download. Clients can subscribe to futures data updates while also selecting symbols. We offer 6-month, 1 year and 2 year subscriptions, with discounts applied to 1- and 2 year subscriptions. Learn more about futures data market updates »

Does the data include GLOBEX, electronic or the overnight sessions?

Data for electronic and overnight sessions is included for all applicable markets beginning Jul-1-2003. Prior to then, our futures data contains only day session data.

Is the E-mini data 24 hours?

Our E-mini data, futures contracts that represent a fraction of the value of normal contracts, contains the full 24-hour session, with volume, beginning on Jul-1-2003. Prior to then, it begins each day at 12:00 a.m. and ends at 3:15 p.m. Central time.

In what format does the data come?

We deliver all of our data (both as-traded and time series) in comma-delimited text files.

In what time zone is the data?

All of our data is delivered in the time zone of the instrument’s exchange. Depending on which of our Data Delivery Options you use, you may output the data in the time zone of the instrument’s exchange, in GMT or in local time (as set on your computer).

What software can I use to analyze the data?

Virtually any software that can import delimited text files can read our data (e.g. OneTick©, Microsoft Excel®, NinjaTrader®, MetaTrader®, TradeStation®, MATLAB®, etc.). If you have questions about whether or not your software can analyze our data, contact us.

TickWrite Support

  • Instructions for creating Futures Data time series begin on page 44 of the TickWrite User Guide.
  • Instructions for creating Cash Index and Indicator Data time series begin on page 61 of the TickWrite User Guide.

Recommended Roll Dates

While most futures contracts will roll in TickWrite using the FRONT and AUTO methods, some contracts will not roll using these settings. The exceptions are indicated below:

Symbol Description Exchange Sector Roll Date Notes
AD Australian Dollar CME Group CURRENCY

11

AI DJ UBS Commodity Index Futures CME Group EQUITY

11

AU Australian 90-Day Bank Bill ASX Group INTEREST RATE

0

Roll on ‘Expiration’; ‘Most Active’ Recommended
AX Australian 10 yr Bond ASX Group INTEREST RATE

0

Use ‘Expiration’ Roll Method
AY Australian 3 yr Bond ASX Group INTEREST RATE

0

Use ‘Expiration’ Roll Method
AZ 30 Day Interbank Cash Rate ASX Group INTEREST RATE

3

BD Big Dow CBOT/CME Group EQUITY

12

BL Euro-Bobl 5 yr Eurex INTEREST RATE

*28

BM Bovespa, Mini BM&F Bovespa EQUITY

14

BN Euro-Bund 10 yr Eurex INTEREST RATE

*28

BO Soybean Oil CBOT/CME Group GRAIN

*20

BP British Pound CME Group CURRENCY

10

BR Brazilian Bovespa Futures BM&F BOVESPA EQUITY

0

Use ‘Expiration’ Roll Method
BX Euro-Buxl 30 yr Eurex INTEREST RATE

*28

BZ Euro-Schatz 2 yr Eurex INTEREST RATE

*28

CA FTSE China A50 Singapore Exchange EQUITY

29

CB Canadian 10 yr Montreal Stock Exchange INTEREST RATE

*27

CC Cocoa ICE Intercontinental Exchange SOFTS

*15

CD Canadian Dollar CME Group CURRENCY

10

CF CAC 40 Index Futures NYSE Liffe EQUITY

0

Use ‘Expiration’ Roll Method
CL Light Crude NYMEX NYMEX/CME Group ENERGY

*19

CM Corn E-Mini CBOT/CME Group GRAIN

*20

CN Corn CBOT/CME Group GRAIN

*20

CO Brent Crude ICE Intercontinental Exchange ENERGY

0

CT Cotton #2 Intercontinental Exchange SOFTS

*20

CX Canadian Bankers’ Acceptance 3 mo Montreal Exchange INTEREST RATE

28

DA DAX Futures Eurex EQUITY

17

DJ DJIA Futures CBOT/CME Group EQUITY

12

DM German Mark CME Group CURRENCY

10

Stopped collecting 08/1999
DX Dollar Index ICE Intercontinental Exchange CURRENCY

1

EC Euro FX CME Group CURRENCY

10

ED Eurodollar CME Group INTEREST RATE

*15

Roll using 3rd back-month
EE Euro FX E-mini CME Group CURRENCY

10

EI MSCI Emerging Markets Mini NYSE Liffe US EQUITY

12

EL Eurodollar-NYSE LIFFE Futures NYSE U.S. LIFFE EQUITY

21

EM LIBOR 1 mo CME Group INTEREST RATE

*28

Stopped collecting 07/2001
EN Nikkei 225 Futures SGX Singapore Exchange EQUITY

0

Use ‘Most Active’ or HMUZ; ‘Expiration’ Roll Method
EO Amsterdam AEX Index Futures NYSE Liffe EQUITY

*20

ER Russell 2000 Mini Intercontinental Exchange EQUITY

12

ES S&P 500 E-Mini CME Group EQUITY

12

ET Denatured Ethanol CBOT CBOT/CME Group ENERGY

*20

EU Euro FX E-micro CME Group CURRENCY

13

FC Feeder Cattle CME Group MEAT

*29

Gap 3/1981
FF 30-Day Federal Funds CBOT/CME Group INTEREST RATE

*28

FS 5-Year Interest Rate Swap CBOT/CME Group INTEREST RATE

*28

FT FTSE 100 Index Futures NYSE Liffe EQUITY

21

FV TNote 5 yr CBOT/CME Group INTEREST RATE

*28

GC Gold COMEX COMEX/CME Group METAL

*27

Use ‘Most Active’
GL Long Gilt NYSE Liffe INTEREST RATE

5

GO Gasoil Future ICE Intercontinental Exchange ENERGY

0

HC Hang Seng China Enterprises Index Hong Kong Stock Exchange EQUITY

29

HG Copper High Grade COMEX COMEX/CME Group METAL

*27

Use ‘Most Active’
HI Hang Seng Index Futures Hong Kong Exchanges EQUITY

28

HM Hang Seng mini Hong Kong Futures Exchange EQUITY

29

HO Heating Oil #2 NYMEX NYMEX/CME Group ENERGY

*27

HU Unleaded Gasoline NYMEX NYMEX/CME Group ENERGY

*27

Stopped Collecting 12/2006
IB IBEX 35 Futures MEFF Renta Variable EQUITY

18

IG NYH (RBOB) Gasoline ICE Intercontinental Exchange ENERGY

0

Use ‘Expiration’ Roll Method
II FTSE MIB Index Futures Borsa Italiana EQUITY

18

IM FTSE MIB Mini Borsa Italiana EQUITY

17

IN UK Natural Gas ICE Intercontinental Exchange ENERGY

0

Use ‘Expiration’ Roll Method
IO Heating Oil ICE Intercontinental Exchange ENERGY

0

Use ‘Expiration’ Roll Method
IX IBEX 35 Mini MEFF Renta Variable EQUITY

16

JA Platinum TOCOM Tokyo Commodity Exchange METAL

0

JB Japanese 10 yr Bond TSE Tokyo Stock Exchange INTEREST RATE

12

JE Japanese Yen E-Mini CME Group CURRENCY

10

JG Gold TOCOM Tokyo Commodity Exchange METAL

0

Use ‘Expiration’ Roll Method
JM Gold Mini-sized TOCOM Tokyo Commodity Exchange METAL

28

JO Orange Juice ICE Intercontinental Exchange SOFTS

1

JY Japanese Yen CME Group CURRENCY

10

KC Coffee “C” Intercontinental Exchange SOFTS

*20

KE Korean 3 yr Korea Exchange INTEREST RATE

20

Use ‘Expiration’ Roll Method
KM KOSPI 200 Futures Korea Exchange EQUITY

0

Use ‘Expiration’ Roll Method
LB Lumber CME Group SOFTS

*24

LC Live Cattle CME Group MEAT

*29

LH Lean Hogs CME Group MEAT

*24

Gap 3/1981
MB Municipal Bonds CBOT/CME Group INTEREST RATE

*28

Stopped Collecting 3/2006
MD S&P 400 MidCap Futures CME Group EQUITY

12

ME Mexican Peso CME Group CURRENCY

10

Uncheck all contract months except H,M,U,Z
MG MSCI EAFE Mini NYSE Liffe US EQUITY

12

MI S&P 400 MidCap E-Mini CME Group EQUITY

12

MS Soybeans E-Mini CBOT/CME Group GRAIN

*20

MW Wheat E-Mini CBOT/CME Group GRAIN

*20

ND NASDAQ 100 Futures CME Group EQUITY

12

NE Nikkei 225 Futures OSE Osaka Securities Exchange EQUITY

0

NF S&P CNX Nifty Index Futures National Stock Exch of India EQUITY

26

NG Natural Gas NYMEX NYMEX/CME Group ENERGY

0

Use ‘Expiration’ Roll Method
NK Nikkei 225 Futures CME CME Group EQUITY

0

Use ‘Expiration’ Roll Method
NM Nikkei 225 mini Osaka Securities Exchange EQUITY

9

NQ NASDAQ 100 E-Mini CME Group EQUITY

12

NZ New Zealand Dollar CME Group CURRENCY

11

OA Oats CBOT/CME Group GRAIN

*20

OB One-Day Interbank Deposit BM&F Bovespa INTEREST RATE

22

Use ‘Most Active’
PA Palladium NYMEX NYMEX/CME Group METAL

*26

Uncheck all contract months except H,M,U,Z
PB Pork Bellies CME Group MEAT

*29

PL Platinum NYMEX NYMEX/CME Group METAL

*26

Roll on Expiration and only check F,J,N,V contracts
PT S&P Canada 60 Futures Montreal Stock Exchange EQUITY

9

QG Natural Gas E-Mini NYMEX/CME Group ENERGY

0

Use ‘Expiration’ Roll Method
QM Crude Oil E-Mini NYMEX/CME Group ENERGY

*19

RL Russell 2000 Futures Intercontinental Exchange EQUITY

12

Stopped Collecting 12/2008
RM Russell 1000 Mini Intercontinental Exchange EQUITY

12

RR Rough Rice CBOT/CME Group GRAIN

*20

SB Sugar #11 Intercontinental Exchange SOFTS

*25

SF Swiss Franc CME Group CURRENCY

10

SM Soybean Meal CBOT/CME Group GRAIN

*20

SP S&P 500 Futures CME Group EQUITY

12

ST Sterling 3 mo NYSE Liffe INTEREST RATE

*15

Roll using 3rd back-month and ‘Most Active’
SV Silver COMEX COMEX/CME Group METAL

*27

SW Swiss Market Index Futures Eurex EQUITY

13

SY Soybeans CBOT/CME Group GRAIN

*20

TB TBills CME Group INTEREST RATE

*28

Stopped collecting 09/2003
TM Mini Topix Tokyo Stock Exchange EQUITY

0

Use ‘Expiration’ Roll Method
TP TOPIX Futures TSE Tokyo Stock Exchange EQUITY

0

Use ‘Expiration’ Roll Method
TS 10-Year Interest Rate Swap CBOT/CME Group INTEREST RATE

*28

TU TNote 2 yr CBOT/CME Group INTEREST RATE

*28

TW MSCI Taiwan Index Singapore Exchange EQUITY

27

Received on a delayed basis
TY TNote 10 yr CBOT/CME Group INTEREST RATE

*28

UB Ultra Tbond CBOT/CME Group INTEREST RATE

*28

UR Euribor 3 mo NYSE Liffe INTEREST RATE

*15

Roll using 3rd back-month and ‘Most Active’
US TBond 30 yr CBOT/CME Group INTEREST RATE

*28

VH STOXX Europe 50 Index Futures Eurex EQUITY

13

VX VIX Futures CBOE EQUITY

8

WC Wheat CBOT CBOT/CME Group GRAIN

*20

WM Wheat No. 2 Milling NYSE Liffe NYSE LIFFE GRAIN

*15

WT WTI Crude Future ICE Intercontinental Exchange ENERGY

0

Use ‘Expiration’ Roll Method
XB RBOB Gasoline Futures NYMEX NYMEX/CME Group ENERGY

*27

XG Gold Mini-sized NYSE Liffe NYSE Liffe US METAL

*27

XP ASX SPI 200 Index Futures ASX Group EQUITY

13

Roll on ‘Expiration’ and use ‘Most Active’
XX EURO STOXX 50 Index Futures Eurex EQUITY

13

YM Dow Jones E-mini CBOT/CME Group EQUITY

12

YS Silver Mini-sized NYSE Liffe NYSE Liffe US METAL

21

YX NYSE Comp Futures New York Futures Exchange EQUITY

12

Stopped collecting 05/2003

 

NOTE: An asterisk next to Roll Date indicates this roll date is in month prior to expiration month.

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