The CME today ceased to provide consolidated tick data for all products via their ftp server ("time" + "gtime"). Sucks. Now Pay-Only in a stupid per-product format. No Thanks.
You can get data but its more work now and it doesn't include volume information. http://www.cme.com/html.wrap/wrappedpages/historical/globex_time_and_sales/ES07-12.html?h=1 Brutus
The CME lists a few thousand products these days. The big advantage of the FTP files was you could get all at once. I do not see any other venue offering this.
Ah....here is the result of the great decision by the CFTC to allow the merger of CBOT and the CME. Less competition => traders pay the price.