lynx1231/historical-futures-data-sample

Historical Futures Data Sample

This repository contains a free evaluation sample of historical futures data across selected contracts and frequencies. The complete catalog covers more than 2,000 futures roots and 900 million observations. View Data and Pricing: https://futuresforexandsomeindexes.com/

This package is a normalized evaluation sample containing 40 selected contracts across 8 futures roots: CL, ES, GC, SB, SR3, VX, ZC, ZN.

The original root and contract files are maintained as nested JSON. This public package flattens the observations into Parquet while preserving the original price and volume values and the original integer timestamp in timestamp_ms.

Package contents

• catalog.csv / catalog.parquet: one row per sampled root.
• files.csv / files.parquet: one row per contract-frequency Parquet file, including row counts, date bounds, quality diagnostics, and checksums.
• schema.json: normalized daily and minute schemas and timestamp semantics.
• data/: one Parquet file per contract and frequency.
• checksums.sha256: SHA-256 checksums for package files.
• examples/: minimal loading and query examples.

Timestamp semantics

Minute-level source timestamps are integer millisecond labels representing daylight-saving-time-aware America/Chicago wall-clock values. They are not true UTC instants. The output therefore includes:

• timestamp_ms: the original integer value, unchanged.
• timestamp_chicago_wall: a timezone-naive timestamp containing the intended Chicago wall-clock components.
• trading_date: the calendar date derived from that wall-clock label.
• minute_of_day: hour × 60 + minute.

Do not interpret timestamp_ms as UTC or apply an automatic UTC-to-Chicago conversion.

Daily timestamps are standard Unix-millisecond date labels set to 00:00:00 UTC. The output includes the original timestamp_ms and a normalized date column. Negative timestamp values are valid for dates before 1970-01-01.

Bar columns

• open, high, low, close: price values.
• volume: reported volume when available.
• open_interest: reported open interest in daily data when available.

Long-dated and deferred contracts may contain settlement-like observations with no reported volume and no intrabar price range. These records are retained.

Contract selection

For each root, the build selects the newest 5 contract symbols that:

1. exist in both daily and minute directories;
2. are listed in both root metadata files; and
3. have a delivery month before the configured as-of month, unless current-month selection is explicitly enabled.

The selection uses delivery month rather than an exchange-specific last-trade date because exact expiration specifications are not contained in the source package.

Complete Dataset

This sample contains a limited selection of futures roots and contracts intended for schema evaluation, quality inspection, and integration testing.

The complete dataset includes:

• More than 2,000 futures roots
• More than 900 million observations
• Daily and minute-level data, where available
• Individual contract histories
• Root-level coverage and summary statistics
• JSON dataset downloads

View the complete catalog, availability, and pricing at:

https://futuresforexandsomeindexes.com/

Generated

2026-07-30T01:28:56.524203+00:00