Looking for CME Futures Data

S

skinny

Hi, I'm looking for intraday price data for the following CME Group futures. All contracts should be continuous and going back 5 years. Format should be 5 minute bars (OHLCV). I prefer to use a .csv or api because it has to be converted into pandas dataframes. If you know of a company who sells this kind of data let me know :)

  • CME Group
    • Interest Rate Futures
      • SOFR
      • EURODOLLAR
      • 2 Year Note
      • 5 Year Note
      • 10 year note
      • 30 year bond
    • Equity Index Futures
      • E-Mini Nasdaq 100
      • E-Mini S&P 500
      • Micro E-Mini Nasdaq 100
      • Micro E-Mini S&P 500
    • Metals Futures
      • COMEX Gold
    • Energy Futures
      • Crude Oil PHY
      • Natural Gas PHY
    • FX Futures
      • EURO FX
    • AG Products
      • CORN
      • SOYBEAN
 
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I suspect that you will only get access to data from the individual contracts, and that you have to stitch them together yourself to get the continuous contract. There are multiple ways of stitching contracts, so you may have to decide which method suits your purpose best.
 
Algoseek has Us futures data from 2010 to the present. The data includes base futures, spreads, and VIX futures. Our OHLCV minute data is available is CSV format.
 
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