Data Format
Futures
Folder Structure
The following table shows the paths of the Futures data files:
| Resolution | Zip File | CSV File |
|---|---|---|
| Tick, second, and minute | future / <market> / <resolution> / <ticker> / <date>_<tickType>.zip | <date>_<ticker>_<resolution>_<tickType>_<contractMonth>.csv |
| Hour and daily | future / <market> / <resolution> / <ticker>_<tickType>.zip | <ticker>_<tickType>_<contractMonth>.csv |
Each zip file contains one CSV file for each contract. For example, future / cme / minute / es / 20131006_quote.zip contains 20131006_es_minute_quote_201312.csv, which holds the quotes of the December 2013 ES contract. The daily file of the same contract is es_quote_201312.csv in future / cme / daily / es_quote.zip.
Bar Data
The following table shows the bar data, with example rows from the minute files of the December 2013 ES contract on October 6, 2013:
| Data Type | Resolutions | Example |
|---|---|---|
| Trade bar | Second, minute, hour, and daily | 79200000,1676.75,1677.25,1673.5,1675.25,1884 |
| Quote bar | Second, minute, hour, and daily | 68400000,1681.5,1681.5,1681.5,1681.5,5,1682,1682,1682,1682,19 |
| Open interest | Second, minute, hour, and daily | 72360000,2691941 |
Tick Data
Futures tick files have trade, quote, and open interest ticks. The following table describes the columns of trade ticks, with an example row from 20131007_gc_tick_trade_201310.csv in future / comex / tick / gc / 20131007_trade.zip:
| Column | Description | Example |
|---|---|---|
| Time | Milliseconds since midnight | 4933381 |
| Price | Trade price | 1313.8 |
| Quantity | Number of contracts traded | 1 |
| Exchange | Exchange of the trade | usa |
| Sale Condition | Sale condition of the trade | Empty |
| Suspicious | 1 if the tick is suspicious and 0 otherwise | 0 |
The following table describes the columns of quote ticks, with an example row from 20131007_gc_tick_quote_201310.csv in future / comex / tick / gc / 20131007_quote.zip:
| Column | Description | Example |
|---|---|---|
| Time | Milliseconds since midnight | 0 |
| Bid Price | Best bid price | 1313.4 |
| Bid Size | Number of contracts at the bid | 4 |
| Ask Price | Best ask price | 0 |
| Ask Size | Number of contracts at the ask | 0 |
| Exchange | Exchange of the quote | usa |
| Suspicious | 1 if the tick is suspicious and 0 otherwise | 0 |
The following table describes the open interest tick columns, with an example row from 20131007_gc_tick_openinterest_201310.csv in future / comex / tick / gc / 20131007_openinterest.zip:
| Column | Description | Example |
|---|---|---|
| Time | Milliseconds since midnight | 22068523 |
| Open Interest | Number of open contracts | 458 |
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