I finally got around to programming an easy Python down loader for CME data from Quandl. I promised this in my last book, but haven’t got that many requests. On the Ultimate Algorithmic Trading System…. page I have provided some data going back to early 2008 on several markers. This is a work in progress. I also wrote a back adjuster that rolls when the Open Interest + Volume is greater in the next contract and adjusts the data retroactively (Panama process) by the discount on the roll date. As I state on the web page this data is not all that great even though it looks like it comes directly from CME. I do fill in gaps and try to fix glaring errors so take it for what it is. Its good data for preliminary testing, but to finalize an algorithm or to trade by I would definitely go the “paid” route. Although the later data looks pretty good.
Before downloading the data I would sign up for Quandl and get an API key. You will be amazed at the amount of data they make available – free and paid subscriptions.