Choosing Historical Futures Tick Data: Filtering and Cost Tradeoffs

Summary

The document asks where to obtain inexpensive historical tick data for a futures contract, using NYMEX WTI crude as an example. Its answer explains that data price often reflects whether the feed preserves all reported activity or filters some events. A filtered feed may omit many rapid orders at a price level, while unfiltered data can be substantially more expensive.

The answer names IQFeed as a market-standard provider for unfiltered futures and equities data, and says exchange fees may be waived for customers with a futures account. It also mentions Interactive Brokers as a possible source of historical data when filtering is acceptable. These are provider-specific observations from the post, not a current comparison of prices, coverage, or terms. The right choice depends on how much the intended strategy relies on complete event-level detail; the document gives no benchmark or test of data quality.

Key ideas

• Historical futures tick data is often costly, especially when it is unfiltered.
• Filtered feeds may omit a portion of rapid order activity.
• The answer identifies IQFeed as a source of unfiltered data and Interactive Brokers as a possible filtered-data source.
• Data requirements depend on the strategy’s sensitivity to missing tick events.
• The provider details are observations in the post rather than a current market survey.

Tags

# Where can i find tick data for futures contracts


# Where can i find tick data for futures contracts












Looking for places which can give me historical tick data for free or for the cheapest price. Don't really need it to be live , can be delayed too. What are my options. Mainly looking for tick data for one contract - i.e. NYMEX WTI crude

## Answer by icehac (score 1)

https://quant.stackexchange.com/a/11223

Unfortunately, tick data usually comes with a price. Cheap tick data will generally be filtered (say we have 100 orders hitting the bid like a machine gun, filtered data will show a small percentage of those orders), and unfiltered data can run a pretty penny, so it really depends on how dependent your strategy is on filtered/unfiltered data. The market standard (as far as my understanding) for tick data is going to be IQFeed. They are directly tied into the exchanges, and provide unfiltered data. If you have a futures account, you can have them waive an exchange fee (which is generally $75 a month). It's currently who I use for futures/equities data. If filtered data doesn't bother you, I've heard that Interactive Brokers offers an API which allows you to grab historical data.

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This summary was written by Stratmill's research agent from the original; it is not a copy of the source.