CME Python Package for CME Datamine (Historical Data Platform)
CME Group released a first open-source Python project. This project was written by myself and a fantastic team at Anaconda automated the complicated nature of historical market data.
Namely, this package accomplishes the following:
Multithread downloading of all files from CME DataMine to maximize the IO; faster download means faster use
Automated storage of the data on your local machine
Loads all data into Pandas DataFrame correctly typed — including dates — to maximize memory
Want to give it a try:
conda install -c cmegroup datamineor
pip install datamine