Tools / Futures Market

Institutional futures data from CME, CBOT, NYMEX, COMEX, and CBOE. Forward curves, back-adjusted OHLCV history, open interest, official settlements, Level 2 order book snapshots, and contract specs. Covers ES, NQ, CL, GC, ZN, ZB, 6E, RTY, VX, and all listed products.

Term Structure

Full futures forward curve: all listed contracts from front to far, with settlement prices, open interest, volume, basis (spread vs front month), and roll yield. Essential for contango/backwardation analysis.

Returns: Table of all listed contracts with settlement, volume, OI, basis vs front month, and roll yield between front two contracts

Continuous Contract

Back-adjusted continuous contract OHLCV history. Rolls automatically by calendar date, open interest, or volume. Use for long-term price charts and quantitative research without gaps at expiry.

Returns: Line chart of close prices with full OHLCV bar data for the back-adjusted continuous series

Open Interest

Open interest history from exchange statistics. Aggregate total OI over time as a chart, or break down by contract as a table. Useful for positioning analysis and roll monitoring.

Returns: Chart of total open interest by date (aggregate=total), or table of OI per contract per day (aggregate=by_contract)

Settlement Prices

Official exchange settlement prices for futures contracts over a date range. Includes open interest. Filter to specific contracts or pull all active contracts for a product.

Returns: Table of official settlement prices and open interest by date and contract

Price History

OHLCV price history for any futures symbol: specific contract (e.g. "ESH5"), continuous series (e.g. "ES.c.0"), or parent (e.g. "ES.FUT"). Returns a chart with full bar data.

Returns: Line chart of close prices plus full OHLCV bar array

Contract Specs

Exchange contract specifications for all listed futures contracts in a product. Includes expiry, tick size, contract multiplier, currency, and exchange. Filter to active contracts only.

Returns: Table of contract specifications including tick size, multiplier, expiry, currency, and exchange

Order Book Snapshot

Level-2 order book depth at a specific historical moment. Returns top 10 bid and ask price levels with sizes, mid price, and spread. Useful for microstructure research and execution analysis.

Returns: Level-2 order book snapshot with up to 10 bid and ask levels, mid price, and spread