Futures — Intraday and End-of-Day OHLCV

Schema

Data formats

• Intraday bars (1-minute, 5-minute, 30-minute, 1-hour): the timestamp has the date and time, yyyy-MM-dd HH:mm:ss (US Eastern).
• End-of-day bars (daily): the timestamp is the date only, yyyy-MM-dd, with no time.
• Columns: timestamp, open, high, low, close, volume (contracts).
• Daily bars add an open interest column (open contracts at the end of the day). Intraday bars don't have it.

Intraday bars (1-minute example)

timestamp,open,high,low,close,volume
2026-10-01 00:00:00,7747.5,7749.0,7747.5,7749.0,565
2026-10-01 00:01:00,7749.0,7750.0,7748.75,7749.75,516
2026-10-01 00:02:00,7749.75,7750.0,7749.0,7749.25,352

End-of-day bars (daily)

timestamp,open,high,low,close,volume,open interest
2026-10-01,7719.5,7767.75,7672.75,7724.0,2214495,1885994
2026-10-02,7724.0,7810.25,7723.25,7777.25,1859407,1888645

One CSV per contract and frequency, covering continuous series (three adjustment types) and individual contracts such as ESZ29, delivered as bulk zip archives.

Methodology

Continuous series chain together the most liquid front-month contracts. Each roll happens before expiry under contract-specific rules, at midnight ET. There are three continuous variants. Unadjusted uses the actual traded prices. Absolute-adjusted shifts all earlier data by the price gap between the expiring and new contract at each roll, which suits analysis based on absolute price thresholds. Ratio-adjusted scales earlier data by the percentage gap, which preserves percentage moves. Individual contracts are also supplied unadjusted, one file per delivered contract.

Intended uses

• Training and evaluating forecasting and time-series models
• Building reinforcement-learning environments and market simulators
• Backtesting and quantitative research

Known limitations

• Bars with zero volume are left out rather than filled, so a gap in the sequence means no trades. Gaps are most common in small caps and in pre- and post-market hours.
• Trading halts, such as the March 2020 market-wide circuit breakers, show up as gaps.
• The unadjusted continuous series jumps at every roll. Use an adjusted series or the individual contracts for return calculations.
• Start dates vary by contract. Most begin in 2008, while newer products such as CME Bitcoin start later.

How to cite

@misc{frd_futures_intraday,
  title  = {Futures — Intraday and End-of-Day OHLCV},
  author = {FirstRate Data},
  year   = {2026},
  url    = {https://firstratedata.com/ai/datasets/futures-intraday}
}