You are correct about TickData.com being expensive but it is also really good quality data. Here are some other quality vendors you can try: AlgoSeek.com : Have all CME data including full depth and tick. Buy symbol per year as needed. Instituational data but much better priced than TickData.com. See algoseek.com/futures/ BarChartOnDemand.com : Have been doing Futures data since the 1930s (apparently). Well known for their futures data and have an API to download (see www.barchartondemand.com/api.php ) CQG Data Factory. Have not actually tried this but believe they have the CME time and sales data. QuantGo.com : Rent access to the data instead of buying (so costs less) but must use a computer in the amazon cloud. TickData.com : As you said...it is expensive.