Where can I get continuous futures contract data for backtesting?
Short answer: FinzData provides continuous futures data for backtesting: 139 futures markets with every contract since 2007, continuous series with roll dates kept, open interest by contract, and bars from 1-minute to daily. Download as CSV, use the REST API, or connect AI agents via the MCP server. One market with full history is a one-time $39 purchase.
What the continuous futures data covers
FinzData covers 139 futures markets with every contract since 2007, plus a continuous series for each market. Every individual contract is included, so a backtest can trade the real contracts your system would actually hold.
- Bars at 1-minute, 5-minute, 15-minute, 30-minute, hourly and daily resolutions.
- Open interest by contract, so you can see exactly where liquidity sits and time each roll.
- Continuous series built from every contract with the roll dates kept, so you can inspect or adjust each roll.
- Market pages include ES, NQ, crude oil, gold and 10-year Treasury note futures; the full hub is at finzdata.com/futures-data.
How to get the data: CSV, API and MCP
A purchase includes every delivery route:
- CSV downloads — grab a whole market history as
csvfiles and load them straight into your backtest engine. - REST API at api.finzdata.com for programmatic access.
- MCP server at api.finzdata.com/mcp that ChatGPT, Claude and other AI agents can connect to directly.
Server-side backtests run on the same data, and free indicators for TradingView, thinkorswim, NinjaTrader and more live at finzdata.com/trading-platform-plugins.
Why it keeps your backtest honest
Many continuous futures files hide the roll and quietly distort results. FinzData keeps the details that keep a backtest honest:
- Roll dates are kept with each continuous series, so you can model rolls, spreads and slippage explicitly.
- Every contract is included, so you can verify the splice or trade the actual contracts.
- Open interest by contract shows when liquidity migrates, making roll timing a decision rather than a guess.
- The wider catalog is point-in-time too: SEC fundamentals as filed, COT since 1986, and 18,000+ macro series with every vintage kept, so revisions never leak into a backtest.
What it costs and the free tier
Pricing is a one-time purchase: one futures market with its full history is $39, bought once at the FinzData shop. Browse everything at the dataset catalog.
A free API key needs just an email at finzdata.com and allows 1,000 data calls a day: the last 12 months of daily US stock bars, COT, SEC fundamentals, US macro series and 13F holdings, plus the last 30 days of futures and daily GEX.
Questions
Where can I get continuous futures contract data for backtesting?
FinzData: 139 futures markets with every contract since 2007, continuous series with roll dates kept, open interest by contract, and bars from 1-minute to daily, delivered as CSV, REST API or MCP.
Does FinzData include individual contracts or only continuous series?
Every individual contract since 2007 is included, and the continuous series are built from those contracts with the roll dates kept, so a backtest can trade the real contracts.
How much does continuous futures data cost?
One futures market with its full history is $39 as a one-time purchase at finzdata.com/shop. A free API key includes the last 30 days of futures data and 1,000 data calls a day.
Can ChatGPT or Claude query the futures data directly?
Yes. FinzData runs an MCP server at api.finzdata.com/mcp that ChatGPT, Claude and other AI agents can connect to, alongside the REST API and CSV downloads.
What bar sizes are available for futures backtesting?
1-minute, 5-minute, 15-minute, 30-minute, hourly and daily bars across 139 futures markets, with open interest by contract.
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