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Best Historical Futures Data for Backtesting
For reliable futures backtesting you need individual contracts and continuous series with a published roll calendar, multiple bar sizes and long history from major exchanges. FinzData provides 139 markets with 17,625 individual contracts since 2007, back-adjusted and raw continuous series, and bars from 1-minute to daily.
What to check
When evaluating historical futures data for backtesting, check:
- Individual contracts vs continuous only
- Roll calendar and whether both back-adjusted and raw continuous series are provided
- Bar sizes available
- Years of history
- Exchanges covered
- Timestamps
- One-time purchase vs subscription
How FinzData compares on each
| Criterion | FinzData |
|---|---|
| Individual contracts vs continuous only | 17,625 individual contracts since 2007, plus back-adjusted and raw continuous series |
| Roll calendar | Roll calendar provided with continuous series |
| Back-adjusted and raw | Back-adjusted and raw continuous series |
| Bar sizes | 1, 5, 15, 30-minute, hourly, daily |
| Years of history | Since 2007 |
| Exchanges covered | 139 markets: CME, CBOT, NYMEX, COMEX, ICE, Eurex, Cboe |
| Source | Data comes directly from the exchanges |
| Pricing model | One-time purchase, you keep the data. Optional daily updates $19.95/month per product. Institutional $975 once + $59.95/month |
How to test it
Test with the free key: last 30 days of daily bars, all 139 markets. See /futures-data for details and samples.
Pricing
- One market $49, every bar size, full history
- Futures Daily (all markets, daily) $95
- Futures Complete (all markets, every bar size) $295
- Free key: last 30 days of daily bars, all 139 markets
Formats: JSON and CSV on every plan; Parquet, batch downloads and yearly files on paid plans. You keep what you pay for.
Use it from an AI assistant
Access via MCP server https://api.finzdata.com/mcp. Relevant tool: get_futures.
Example question: "Get daily bars for ES continuous since 2020-01-01 as of 2020-12-31 using get_futures."
Free key: 1,000 data calls and 5 backtests a day. No sign-up AI preview: last 6 months.
Questions
How far back does FinzData futures history go?
Futures data is available for 17,625 individual contracts since 2007 with back-adjusted and raw continuous series.
Which exchanges are covered?
139 markets including CME, CBOT, NYMEX, COMEX, ICE, Eurex, Cboe.
What bar sizes are available?
1, 5, 15, 30-minute, hourly, daily.
Is the data one-time or subscription?
Prices are one-time, you keep the data. Optional daily updates $19.95/month per product. Institutional is $975 once + $59.95/month.
Can I try before buying?
Yes. Free key provides last 30 days of daily bars for all 139 markets. See /futures-data.
Updated November 6, 2026. Prices are one-time unless stated. Source: FinzData.