Every futures contract, every exchange, one schema.
Research any contract at any granularity, from nanosecond ticks to minute bars, with ten levels of order book depth. One schema across all exchanges, one pipeline from backtest to live.
Licensed by CME · Trusted by two US regulators, bulge bracket banks, and top funds
US Futures TAQ Minute Bar
ES
CME
Open
High
Low
Close
VWAP
Volume
TradeCount
BidPrice
AskPrice
Spread
Depth
+24 more
09:30
5,245.25
5,247.50
5,244.00
5,246.75
12,832
09:31
5,246.75
5,248.00
5,246.25
5,247.50
9,441
09:32
5,247.50
5,249.25
5,247.00
5,248.75
7,218
ArdaDB Query
SELECT * FROM USFuturesMarketData.TradeAndQuoteMinuteBar
WHERE Ticker = ‘ESH3’
73,762 rows
182ms
US Futures Data
Every CME Group exchange, every contract, one schema.
Six dataset types covering CME, CBOT, NYMEX, COMEX, and CFE identically: ticks to minute bars plus ten levels of depth, all with nanosecond timestamps. No daily bars yet.
US Futures Trade and Quote Minute Bar
Production · algoseek
CSVSQL
US Futures Trade and Quote
Production · algoseek
CSVSQL
US Futures Multiple Depth
Production · algoseek
CSVSQL
US Futures Trade Only
Production · algoseek
CSVSQL
US Futures Trade Only Minute Bar
Production · algoseek
CSVSQL
US Futures Trade Only Second Bar
Production · algoseek
CSV
Data partner or data vendor
What separates the data partner from the data vendor
Futures data looks simple until you try to use it, and every piece of that complexity lands on someone. The question is who absorbs it.
algoseek
Owns the outcome
Data partner
Ten levels of market depth across all four CME Group exchanges
One depth schema across CME, CBOT, NYMEX, and COMEX.
One schema across CME, CBOT, NYMEX, and COMEX
One parser handles all four exchanges.
Historical data is the direct capture of the real-time feed
From research to production, the data does not change.
Exchange licensing handled for you
algoseek handles the CME relationship directly.
Chosen by two US regulators after full due diligence
So did bulge bracket banks and top funds.
Core team from the trading side
When you call, you reach someone at your level.
Nanosecond timestamps and full contract history since 2014
Every contract preserved, including expired series.
The data vendor
Sells you a feed
Best bid and ask only, or no depth at all
Different schemas per exchange
Backtest data and live feed are different products
You manage exchange licensing yourself
Marketing claims about data quality
Support reads from a troubleshooting script
Microsecond timestamps or worse, and patchy contract coverage
Delivery and Licensing
One pipeline writes the archive and streams the live feed. The data is identical.
Historical data written from the same Mercury feeds that stream to real-time clients. algoseek handles CME licensing directly, so provenance is clean without you managing the relationship.
Mercury Ticker Plant
Sandbox
ArdaDB SQL
S3 / Download
RESTful API
Streaming
Same feed handler · Same schema · Same normalization
algoseek Sandbox
Run SQL or Python against real futures datasets. Up to a year of data, no credit card required.
ArdaDB Cloud SQL
Subsecond SQL queries across the full historical archive, queryable from a browser. No downloads, no local infrastructure.
AWS S3, SFTP, and Direct Download
Compressed CSV and Apache Parquet. Daily automated updates. Store it in the cloud, in a data center, or on your own laptops.
RESTful API
Programmatic access via the algoseek Python library or direct HTTP. Same data, same schema.
Real-Time Streaming
Direct multicast exchange feeds via the Mercury ticker plant: microsecond latency, regional redundancy, 4-way arbitration. Real-time or 15-minute delayed over TCP/IP, to co-location, cloud, or the internet.
Use Cases
Treasuries, equity index, energy, metals, agriculture. One pipeline.
Futures TAQ + Equities TAQ + ArdaDB
CME equity index futures alongside the full US equity universe, on consistent schemas. One query engine, one pipeline, no new contract per asset class.
CME equity index futures
Cross-asset consistency
ArdaDB SQL access
NYMEX/COMEX + Depth + Second Bars
Full NYMEX and COMEX coverage with ten levels of depth: crude, natural gas, metals, and ags at tick, second, and minute resolution. Nanosecond timestamps for event reconstruction around inventory reports.
NYMEX energy complex
COMEX metals
10-level depth
Cross-exchange + Consistent schemas
Treasuries from CBOT, equity index from CME, energy and metals from NYMEX and COMEX, all under one schema. The same data from research to live, so your backtest behaves like production.
Treasury futures (CBOT)
Equity index futures (CME)
Energy and metals (NYMEX/COMEX)
Multiple Depth + Second Bars + Tick TAQ
Ten levels of depth for liquidity analysis, second bars for intraday patterns, tick TAQ for execution reconstruction and TCA. Depth included, not a separate add-on.
10-level order book
Second bar resolution
Tick-level reconstruction
Bulk Download + Licensing + ArdaDB
Consistent schemas, CSV or Parquet via S3, daily automated updates. algoseek works closely with clients on CME licensing to minimize redistribution costs.
CSV and Parquet via S3
Exchange licensing expertise
Consistent CME schemas
Questions teams ask before switching
-
Which exchanges are covered?
CME, CBOT, NYMEX, COMEX, and CFE. The same dataset types are available for every exchange with consistent schemas. Equity index futures, treasuries, energy, metals, agriculture, FX futures, and volatility products.
-
How far back does the futures data go?
US futures data goes back to 2014 across all exchanges. Full history of every contract including expired series. algoseek has data further back but has not yet validated it to the standard required for release.
-
What is Multiple Depth?
Ten levels of order book depth from all exchanges. Every price level beyond the best bid and ask. Included in the futures package, not sold as a separate product or add-on.
-
Can I try the data before committing?
Yes. The algoseek Sandbox gives you up to a year of historical data across all asset classes. Jupyter notebooks, SQL via ArdaDB, Python, Excel, and download. No credit card required.
-
What delivery methods are available?
Historical: AWS S3 flat files, RESTful API, ArdaDB cloud SQL, Jupyter notebooks, and Python library. Streaming: TCP/IP with co-location, to cloud, and over the internet.
-
What does real-time streaming cost?
algoseek futures streaming is $2,500 per month for real-time and $1,250 for delayed feeds. Package subscribers receive 50% off. Exchange licensing fees from CME are separate and vary by exchange. algoseek handles the licensing relationship.
-
Is algoseek licensed by CME?
Yes. Officially licensed with full regulatory compliance and licensing transparency. algoseek handles the exchange licensing relationship directly so you do not have to manage it yourself.
-
Are daily bars available for futures?
Not yet. algoseek currently offers tick, second, and minute bar resolutions for futures. Daily bar coverage is planned.
-
What is the difference between a dataset and a package?
A dataset is a single product. A package is every dataset for an entire asset class under one price. The US Futures Package includes all datasets across all exchanges, including depth. New datasets added automatically at no extra cost.
One License, Every CME Group Exchange
The US Futures Package
Tick data, minute bars, second bars, and ten levels of depth across CME, CBOT, NYMEX, COMEX, and CFE under one contract. Depth included, not an add-on.
Two ways to start
See the data first, or talk to someone who knows it.
See the data
Run SQL or Python against real futures datasets in the Sandbox. No credit card. Up to a year of data.
Talk to someone who has worked with it
Our core team comes from the trading side and understands the data at the same level you do.