Historical Futures Data Documentation.

Tick-level trades and bars from 10 seconds to 1 day in plain Parquet over HTTP. No account or API key is needed for the sample files.

Quick start
Access plans
Directory layout
Tick schema
Bar schema
Timeframes
HTTP

Historical Futures Data Quick Start

curl -LO https://historicalfuturesdata.com/MES/bars/10s/cme.mes.bars.10s.2026.parquet

import pandas as pd
df = pd.read_parquet("cme.mes.bars.10s.2026.parquet")

import polars as pl
df = pl.read_parquet("cme.mes.bars.10s.2026.parquet")

Access Plans

Downloads are tiered. The latest-year 10-second samples are free without an account. A free account adds the latest year of 1-minute and daily bars for every instrument. The complete archive (tick data, every timeframe, full history) is a one-time 59 USD payment in BTC or LTC. Your account updates as soon as the payment confirms.

Historical Futures Data Directory Layout

data/instruments/<SYMBOL>/
  contracts/     cme.<root>.tick.<CONTRACT>.parquet
  continuous/    cme.<root>.tick.continuous.<YEAR>.parquet
  bars/<TF>/     cme.<root>.bars.<TF>.<YEAR>.parquet
  bars/tick -> ../continuous
  rolls/         <ROOT>_rolls.json

Instruments: all published CME futures. Timeframes: 10s, 1m, 2m, 5m, 30m, 1h, 4h, 1D. The bars/tick symlink points at the continuous directory.

Tick-Level Futures Data Schema

Tick files are trade records. bid_sz and ask_sz are executed volumes, not resting depth.

Column	Type	Meaning
ts	timestamp[ns, UTC]	Feed receive time
recv_time	timestamp[ns, UTC]	Same clock as ts
event_time	timestamp[ns, UTC]	Null where not captured
price	float64	Traded price
volume	uint32	Contracts traded
bid_sz	uint32	Executed bid-side volume
ask_sz	uint32	Executed ask-side volume
trade_count	uint32	Trades in the record
oi	uint32	Zero; not available
symbol	string	Exchange contract code
exchange	string	CME, COMEX or NYMEX
price_raw	float64	Continuous only: unadjusted price
back_adjustment	float64	Continuous only: additive roll delta

10-Second to Daily Bar Schema

Column	Type	Meaning
ts	timestamp[ns, UTC]	Bar open time
open	float64	Open price
high	float64	High price
low	float64	Low price
close	float64	Close price
volume	uint32	Contracts traded
trade_count	uint32	Ticks in the bar

Historical Futures Data Timeframes

10-second bars are available for every instrument, alongside 1m, 2m, 5m, 30m, 1h, 4h and 1D. Intraday buckets are epoch-aligned UTC. 1D bars are Chicago sessions opening at 17:00 local time, DST-aware. Empty buckets are skipped.

Historical Futures Data HTTP API

Endpoint	Returns
`GET /api/inventory`	JSON inventory of every instrument
`GET /<SYMBOL>/...`	Direct Parquet and JSON downloads
`GET /files/`	Raw directory tree
`GET /healthz`	Plain-text health check

Byte-range requests are supported.