US Futures Multiple Depth
US Futures Multiple Depth
Production
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The Futures Multiple Depth dataset provides extensive coverage of all futures contracts from CME, CBOT, COMEX, and NYMEX. This dataset delivers summary information, including price, size, and the number of orders, for 10 levels of market depth on both the buy and sell sides of the order book. It is an essential resource for traders and analysts looking to understand market liquidity and order flow in real-time. Files are neatly organized by date and futures contract, making it easy to access specific data. If you need a custom file arrangement or additional features, algoseek support is available to assist. information.
Dataset Info
CSV (S3)
Algoseek Dataset ID
US6002
Data Class
Futures
Dataset Name ID
fut_multiple_depth
Data Format
Market Data
Version
1.0
Time Granularity
Tick
Region
US
Data Type
Other
Universe
All symbols from US exchanges
Update Frequencies
End of day
Start Date
2011-12-18
End Date
Ongoing
Update Frequency
1 Day
Total Size
7.9 TB
Annual Size
870 GB / year
Update Size
2.5 GB
Start Date
01/01/2023
End Date
03/31/2023
Access Methods
SQL
Description
Three months of data (Jan. - March 2023) for the full universe of symbols
Included in Data Research Packages: