nautilus-finzdata

FinzData's point-in-time, survivorship-free market data for NautilusTrader backtests.

Why FinzData

A backtest only knows the stocks in its data. FinzData includes delisted stocks, point in time, so results are not inflated by survivorship bias. Every futures contract since 2007 plus continuous series.

Coverage

16,000+ US stocks that have traded on NYSE and Nasdaq since January 2000, delisted included, point in time 231 ETFs 139 futures markets with every contract since 2007 1, 5, 15, 30-minute, hourly and daily bars

Also via the FinzData API: GEX for single stocks, ETFs and the major indexes COT since 1986 13F SEC fundamentals as filed 18,000+ macro series with every vintage kept

Install

pip install nautilus-finzdata

Set FINZDATA_API_KEY. Free key, email only, 12 months of daily data: https://finzdata.com/account?ref=nautilus Intraday bars and full history from $19 per ticker or $29 per futures market, yours to keep: https://finzdata.com/shop?ref=nautilus

Quick start

from nautilus_finzdata import FinzDataLoader
loader = FinzDataLoader()                       # venue "FINZDATA"
loader.to_catalog("catalog", symbols=["AAPL", "SPY"], start="2025-10-27", end="2026-10-23", futures=["ES"])

Then load it:

from nautilus_trader.persistence.catalog import ParquetDataCatalog
catalog = ParquetDataCatalog("catalog")

BacktestNode snippet using BacktestDataConfig(catalog_path="catalog", data_cls=Bar, bar_types=["AAPL.FINZDATA-1-DAY-LAST-EXTERNAL"]) inside BacktestRunConfig.

Bars and instruments

Instrument ids SYMBOL.FINZDATA Continuous futures ROOT.c.0.FINZDATA, e.g. ES.c.0.FINZDATA Single contracts e.g. ESZ26.FINZDATA

Bar types {instrument_id}-1-DAY-LAST-EXTERNAL / -5-MINUTE- / -1-HOUR- Intervals 1min, 5min, 15min, 30min, 1hour, 1day Bars are stamped at their close (daily: 16:00 New York) so strategies never see a bar early.

loader.bars(...) loader.future_bars(root, ..., contract="ESZ26") loader.equity(...) loader.future(...)

Futures specs

Built-in multipliers and tick sizes for ES, MES, NQ, MNQ, YM, RTY, M2K, CL, MCL, NG, RB, HO, PL, GC, MGC, SI, HG, ZN, ZF, ZT, ZC, ZS, ZW, VX, FDAX, FESX, E6, A6, B6, J6 Others via futures_specs={...}

Errors

FinzDataPlanError with the link when a request needs a paid plan or an API key.

MIT FinzData is not affiliated with Nautech Systems or the NautilusTrader project. Support info@finzdata.com FinzData: built for AI, quants, data scientists and financial analysts who backtest. Clean data. Real insights. Real alpha.