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cme futures download script
Info
The cme futures download script is a Script for MetaTrader 4 that this script is designed for the initial or partial download of missing historical futures volume data into a file for subsequent display by indicators. these files are freely distributable and updated daily within the first five minutes of the new trading day.
Usage
This tool is typically used for enhancing chart analysis and decision making.
Platform
This Script works exclusively on MetaTrader 4 (both build 600+ and newer versions).
Setup
Place the downloaded file in MQL4/Scripts folder via File ? Open Data Folder in MetaTrader 4.
How to Install and Use cme futures download script
1. Installation: Move your script file into the MQL/Scripts directory and restart the platform.
2. Execution: Drag the script onto a chart; it will perform a one-time action, such as closing all open orders or clearing chart objects.
3. Editing: Use MetaEditor (F4) to modify code, click "Compile," and verify no errors appear in the terminal before running.
4. Removing: Scripts stop automatically, but you can remove them manually by right-clicking the chart and choosing "Remove Script."
Frequently Asked Questions
Q: How are scripts different from EAs? A: Scripts execute a single action and then stop; EAs monitor the market and trade continuously.
Q: Can I assign a hotkey to a script? A: Yes, right-click the script in the Navigator, select "Set Hotkey," and define your preferred keyboard shortcut.
Q: Why did my script stop? A: Scripts are designed to stop immediately after finishing their programmed command; this is normal behavior.
What this tool does
this script is designed for the initial or partial download of missing historical futures volume data into a file for subsequent display by indicators.
Typical Use Case
This Script excels in automated trading and technical analysis on MetaTrader 4.
Compatible Platform & Setup
This Script works on MetaTrader 4. Place the file in the MQL4/Scripts folder and restart the terminal.
Description & Settings
Related: Automatic History Archive Download - another powerful script for MetaTrader 4 traders.
this script is designed for the initial or partial download of missing historical futures volume data into a file for subsequent display by indicators.Also recommended: s-downloader. mq4 - similar script with strong performance on MetaTrader 4.
these files are freely distributable and updated daily within the first five minutes of the new trading day. for users connected to arsenal-forex servers, downloading the historical file archive once is sufficient, as the current quotes for this instrument will be automatically appended to the file by the [advisor name] advisor designed for this purpose. depending on the package you have subscribed to, you will either receive a 15-minute delayed data feed (for demo mode) or real-time data if you have subscribed to the full service.
on all other trading servers, you will be able to view the previous day's futures volume history using the futures volume indicator.
script settings:
variable:
symbols
- contains a complete list of available historical futures volume files on the server. if you wish to exclude one or more instruments (symbols), remove them from this list. data for these instruments will not be downloaded.
variable:
downloadallfiles
- allows downloading files for the entire available history depth for the symbols contained in the symbols variable. set it to
true
to download all the history you need, and set it to
false
to download only the latest (current) file.
variable:
downloaddelayeddata
- designed to select files with a 15-minute delay (demo mode for arsenal-forex servers).
variable:
checknews
- enables checking for news related to the service (such as symbol count increase, history depth expansion, and new software releases).
when downloading historical futures volume files, the script places them in the standard file folder (
terminal iles\
). each file contains futures volume data for one trading week and is named in the format year_month_day_symbol.vol, for example,
2026_06_23_faudusd.vol
. files with a 15-minute delay are marked with an additional 'd' for delay, e.g.,
2026_06_23_dfaudusd.vol
. to avoid downloading these files when switching to another trading server, you can manually copy them to the history folder of the desired trading server, filtering them by the
.vol
extension.
currently, we provide quotes for the following instruments:
faudusd, fcadusd, fchfusd, feurusd, feurgbp, feurjpy, fgbpusd, fnzdusd, fusdjpy, fusdcad, fusdchf
= futures concatenation
f6em3, f6eu3, f6ez3
= near/far contracts for feurusd.
we also have quotes for 41 currency futures on cme, which are available upon separate request (agreement).
You may also like: s-downloader (single tf) - excellent alternative for script users on MetaTrader 4.
Source Code
#property copyright "robotfx"
#property link "https://robotfx.org"
#property show_inputs
#import "wininet.dll"
int internetattemptconnect (int x);
int internetopena (string sagent, int laccesstype, string sproxyname, string sproxybypass, int lflags );
int internetopenurla (int hinternetsession, string surl, string sheaders, int lheaderslength, int lflags, int lcontext );
int internetreadfile (int hfile, int& lpvbuffer[], int lnumbytestoread, int& lnumberofbytesread[] );
int internetclosehandle (int hinet );
#import.......
⚠ Limitations & Risk Warning
- This tool is provided for educational and testing purposes only.
- Past performance does not guarantee future results.
- Trading involves substantial risk of loss. Use on a demo account first.
- Results may vary depending on market conditions, broker, and settings.
- We recommend thorough backtesting and forward testing before using with real funds.