[FR] Add CME Equity Index Futures Provider (ES, NQ, MNQ, MES)

[edcadet10]

Problem Statement

OpenBB's current futures coverage is limited to:

• yFinance — delayed daily OHLCV bars, limited symbol mapping
• Deribit — crypto derivatives only (BTC/ETH futures)
• CBOE — futures curve data only

There is no dedicated provider for CME equity index futures — the most actively traded futures contracts globally (ES, NQ, MNQ, MES, RTY, YM). These are critical for:

• Quantitative research and backtesting
• Institutional portfolio analysis
• Overnight/globex session analysis
• Basis/spread analysis between cash index and futures

Proposed Solution

Create an openbb-cme provider extension that sources data from freely available CME Group APIs and public data feeds:

Data Sources (No API Key Required)

1. CME DataMine (delayed) — Free historical settlement data: https://www.cmegroup.com/market-data/datamine-api.html
2. CME Settlements — Daily settlement prices published publicly
3. CME QuikStrike — Implied volatility, term structure (public endpoints)
4. CFTC COT Enhancement — Extend the existing openbb-cftc provider with futures-specific positioning data

Proposed Fetchers

Fetcher	Standard Model	Description
CMEFuturesHistorical	FuturesHistoricalData	OHLCV + settlement + open interest
CMEFuturesCurve	FuturesCurveData	Term structure across expirations
CMEFuturesInfo	FuturesInfoData	Contract specs (tick size, multiplier, margins)
CMEFuturesInstruments	FuturesInstrumentsData	Available contracts + expiration dates

Additional Fields (Provider-Specific)

• settlement_price — official daily settlement (distinct from close)
• open_interest — daily OI from CME
• tick_size, point_value, multiplier — contract specifications
• session (RTH/ETH/globex) — for session-aware analysis
• margin_initial, margin_maintenance — from CME SPAN

Priority Symbols

Symbol	Name	Exchange	Daily Volume
ES	E-mini S&P 500	CME/Globex	~1.5M contracts
NQ	E-mini Nasdaq-100	CME/Globex	~800K contracts
MES	Micro E-mini S&P	CME/Globex	~1.5M contracts
MNQ	Micro E-mini Nasdaq	CME/Globex	~1M contracts
RTY	E-mini Russell 2000	CME/Globex	~200K contracts
YM	E-mini Dow	CBOT/Globex	~100K contracts

Benefits

• Fills a major gap — equity index futures are the backbone of institutional trading
• No API key required for settlement/delayed data
• Complements existing CFTC COT provider with contract-level detail
• Enables basis analysis (cash index vs. futures)
• Addresses related requests: [FR] Add Futures and Options Expiration Dates in Economic Calendar #6697 (futures expiration dates), Futures Data that can utilize Volume Profile/ Market Profile, and harmonic rotations to build stats around.  #5466 (futures volume profile data)

Implementation Notes

• Follows existing provider pattern (see openbb-deribit as template for futures-specific models)
• Standard models already exist: FuturesHistoricalData, FuturesCurveData, FuturesInfoData, FuturesInstrumentsData
• I trade CME Micro E-mini Nasdaq (MNQ) futures daily and have experience with CME data formats, contract rollovers, and session mechanics
• Happy to implement this — looking for maintainer feedback on scope before starting

Acceptance Criteria

• Historical OHLCV + settlement for ES, NQ, MNQ, MES, RTY, YM
• Contract specifications (tick size, multiplier, margins)
• Futures curve / term structure
• Available instruments with expiration dates
• Tests with recorded HTTP fixtures (>90% coverage)
• Documentation with usage examples