It appears the headers on the incoming data (cme futures) don't correspond to the accepted column names used in the source code (wiki stock data works fine). For example, the provided example getting YHOO data under WIKI If you haven’t come across the great data resource Quandl.com I highly suggest in doing so. A quick scroll through their “free” data set page reveals a treasure trove of free data sets, including: An excellent source of diversification is the futures markets, which contain contracts on instruments ranging as far and wide as metals, forex, energies, and more. Guides . If you head over to the Quandl EOD Wiki page, you will see a … Unfortunately, futures are not continuous in nature, and data for futures are harder to find. Wiki Continuous Futures – This dataset is built on top of raw data from ICE, CME, LIFFE, etc, and is curated by the Quandl community. You'll find comprehensive guides and documentation to help you start working with Quandl as quickly as possible, as well as support if you get stuck. Let's get started. We have shown how you can use Excel to retrieve large or small datasets easily from Quandl… Alpha Vantage beats Quandl in terms of individual stock data, as Quandl charges for access to most intraday datasets (daily close stock data is free, however). As a result, the WIKI data feed is likely to be a lot less reliable in the future, with potentially missing or incorrect data or delayed updates. We will continue to host this data feed on Quandl, but we no longer recommend using it for investment or analysis. Consequently, the data exists in a multitude of formats. Welcome to Quandl. This page is a tutorial on usage of the API to access futures data. Thanks to Quandl, however, there is some freely available futures data. Quandl is a large data community where anyone can upload their data. However, Quandl offers a plethora of other data sets for free. Quandl also provides free historical data for continuous futures contracts and for commitment of traders reports published by the CFTC, accessible via the same API and libraries. The data is so far from being uniform that groups of related instruments (let's say futures) might have different field sets! Now the US-focused EOD Wiki is no longer actively supported. First, we lost the London Stock Exchange with only paid subscription as an alternative. Quandl’s Excel Add-on and formula offering is a simple introduction to data access platforms. A portion of the data that I used in writing my latest book came from Quandl, specifically the wiki futures or CHRIS database. Quandl was a great resource for free EOD data. For this tutorial we're interested in one of the most liquid financial instruments available, the E-Mini S&P500 futures contract, which has the futures symbol ES. 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