I will extract and engineer custom futures datasets
Quantitative Architect Financial Data Engineer Algorithmic Trading Specialis
About this Gig
NEED A CUSTOM TIMEFRAME OR SPECIFIC DATES?
Packages are base rates for 1 full calendar year. For custom durations (e.g., 3 months, 1.5 years) or specific dates, click "Contact Seller" before ordering for a custom offer.
ABOUT THIS SERVICE
Custom historical CME data extraction, engineering, and cleansing tailored for quantitative traders, systematic funds, and backtesting developers.
COMPLIANCE NOTE
I provide custom software implementation and data processing services according to your algorithmic specifications. I do not sell static databases, trading signals, or financial advice.
SUPPORTED INSTRUMENTS
- Micro E-mini: MES, MNQ
- Standard E-mini: ES, NQ
WHAT YOU GET
- Precision Timestamps: Microsecond tick-by-tick aligned to UTC or local time.
- Session Filters: Complete 24/5 ETH or filtered RTH hours.
- Data Cleansing: Bad print filtering, deduplication, and timestamp checks.
- High Performance: Apache Parquet (optimized for Python/Polars) or CSV.
- Order Flow Data: Top-of-Book BBO snapshot reconstruction for market depth research.
Please message me with your symbol and date range before placing an order.
My Portfolio
FAQ
How do custom timeframes work?
Packages cover 1 full calendar year. If you need a different timeframe (like 3 months, 6 months, or 18 months), send me a message with your target dates and I will send you a tailored Custom Offer matching your exact data volume.
What file format do you deliver?
I deliver highly optimized Apache Parquet files by default, which compress up to 80% disk space and load 20x faster into Python/Polars. Standard CSV format is also available upon request.
What is the difference between Tick and BBO?
Tick data contains executed trades (Price, Volume, Direction). BBO (Best Bid/Offer) captures top-of-book quote changes with microsecond precision, essential for microstructure analysis and order flow research.
Do you provide continuous rolled contracts?
By default, files are separated by contract. If you need continuous stitched contracts (volume-based or date-based roll rules), select the "Custom Roll Logic" extra or mention it when requesting a custom offer.
