Hi, I'm looking for intraday price data for the following CME Group futures. All contracts should be continuous and going back 5 years. Format should be 5 minute bars (OHLCV). I prefer to use a .csv or api because it has to be converted into pandas dataframes. If you know of a company who sells this kind of data let me know CME Group Interest Rate Futures SOFR EURODOLLAR 2 Year Note 5 Year Note 10 year note 30 year bond Equity Index Futures E-Mini Nasdaq 100 E-Mini S&P 500 Micro E-Mini Nasdaq 100 Micro E-Mini S&P 500 Metals Futures COMEX Gold Energy Futures Crude Oil PHY Natural Gas PHY FX Futures EURO FX AG Products CORN SOYBEAN
I suspect that you will only get access to data from the individual contracts, and that you have to stitch them together yourself to get the continuous contract. There are multiple ways of stitching contracts, so you may have to decide which method suits your purpose best.
The CME has a data mining service, with a trial subscription, I haven´t tried it myself but it looks like that it has an API. https://datamine.cmegroup.com
QUODD has tick level historical data available for the all the exchanges listed here: https://quodd.com/real-time-data/
Algoseek has Us futures data from 2010 to the present. The data includes base futures, spreads, and VIX futures. Our OHLCV minute data is available is CSV format.