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Free futures data: Binance USDⓈ-M quarterlies

Date: 2026-09-30 Question: which free source gives per-contract futures data good enough to develop and test qkt's futures support (contracts, rolls, expiry), and what does it actually contain?

Source

  • data.binance.vision (no key): daily and monthly zip files per contract, e.g. data/futures/um/daily/klines/BTCUSDT_240927/1m/BTCUSDT_240927-1m-2024-09-27.zip. Kline intervals 1m to 1d; also trades, aggTrades, metrics (open interest). Top-of-book bookTicker files for quarterlies stop after March 2024.
  • The S3 listing (s3-ap-northeast-1.amazonaws.com/data.binance.vision?prefix=…&delimiter=/) lists every quarterly that ever had monthly klines.
  • fapi.binance.com/futures/data/delivery-price?pair=BTCUSDT (no key): delivery prices.

What a real fetch returned (2026-09-30)

  • qkt fetch BINANCE_UM:BTCUSDT --catalog: 24 quarterlies, BTCUSDT_210326 … BTCUSDT_261225. 18 carry a delivery price. Unpriced: the four 2021 contracts (older than the endpoint's history), BTCUSDT_260925 (settled 2026-09-25, not yet published by the endpoint) and BTCUSDT_261225 (not yet expired).
  • 1m bars for BTCUSDT_240927, BTCUSDT_241227, BTCUSDT_250328 over each contract's last four months: every day present (118–119 days each), 27 MB of CSV in total; the day after delivery is recorded empty.

Findings that shape the implementation

  1. Delivery timestamps. The delivery-price endpoint stamps each delivery at 00:00 UTC of the delivery date, while the contract settles at 08:00 UTC. Prices are matched to contracts by UTC date (fixed in BinanceContractCatalog, pinned by BinanceContractCatalogTest).
  2. Bars after delivery. Binance keeps printing flat, zero-volume klines for about 16 minutes after the 08:00 delivery (BTCUSDT_240927 until 08:16, all at 65426.0). The delivery price itself was 65422.7, not the last traded price. Anything stamped at or after expiryMs must be ignored by the continuous series and the exchange simulator, and settlement must use the catalog's delivery price.
  3. Headerless files. Kline files before 2022 have no header row (handled by BinanceKlineCsv).

  4. No free quotes. Without bookTicker, quarterly backtests fill at trade prices; a slippage allowance in ticks stands in for the spread.

  5. Listing lead time decides which rolls exist. Until mid-2023 Binance listed each new quarterly only 1–7 days before the previous one delivered (e.g. BTCUSDT_211231 first traded 2021-09-22, two days before BTCUSDT_210924 delivered), so an 8-day roll had no contract to roll into. Since BTCUSDT_231229 (listed 2023-08-18) two quarterlies always overlap. qkt fetch BINANCE_UM:BTCUSDT --rolls with an 8-day, 08:00 policy measured 13 front rolls, 2023-09-21 to 2026-09-17, with contango gaps of 0.5–5.7% (e.g. 2024-12-19: 102050.9 → 105750.5). The builder keeps the latest contiguous run, so continuous BTCUSDT backtests start after the 2023-09-21 roll.

  6. No @next history on Binance. The contract after next lists only at the front's delivery, so at a roll instant there is nothing for @next to roll into; a @next stream on a Binance root fails at start with a message saying so.

Sources

  • https://data.binance.vision
  • https://www.binance.com/en/support/faq/delivery-and-settlement-of-quarterly-futures-a3401595e1734084959c61491bc0dbe3