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Delivery Options

There are three different ways to access historical data purchases:

1) RESTful API data download service. A CME Group Login and API ID are required to access the data download API.

2) SFTP File Transfer. A CME Group Login and API ID are required to access the data download API.

3) Automatic S3 transfer.  User must have an AWS S3 bucket in order to perform this transfer.

To discuss other options for data delivery, please contact MarketTechSales@cmegroup.com.


API Delivery Set Up

  1. Log in to the CME Customer Center with your CME Group Login.

    See additional information about setting up CME Group Login.
  2. From the navigation bar, click your CME Group Login, then click My Profile.
  3. Click API Management.
  4. Register for an API ID.

Data Download API

View information about accessing our RESTful API service.

List

You can query a list of entitled files using this API call, with optional criteria to limit the number of results returned. The maximum number of result from a list is 1000. If you have more results than the limit, you must use the paging links that are returned in the "paging" section as part of the response.

 Criteria:

Name

Description

Required

Type

dataset

Dataset the user is querying.

 

Example: bbo, block, eod, md, tick (see reference section for remaps)

No

String

exchangecode

Exchange Code the data is requested for.

 

Example: xcme, xnym, xcbt, xcec, cmed, etc. (see reference section for remaps)

No

String

foiindicator

Future Option Indicator.

 

Possible values:

  • fut – Futures
  • opt – Options
  • idx – Indices

No

String

venue

The venue the product is traded in.

 

Possible values: 

  • rth - Regular trading hours
  • eth - Extended trading hours
  • otc - Clearport

No

String

productcode

CME Product Code

 

Example: cl, es, gs

No

String

yyyymmdd

CME trade date. Accepted format is yyyymmdd

 

Example: 20150131

No

String

limit

Amount of results per request. Maximum 1000 rows will be returned.

 

A paging information will return with offset information.

No

int

offset

Pagination mechanism

 

Use the offset returned by previous query for previous or next page.

No

int

firstfid

Alternative pagination mechanism

 

Use the firstfid returned in the paging section to query previous page

No

String

lastfid

Use the lastfid returned in the paging section to query next page

No

String

 Syntax

curl --user {{UNO_API_KEY}}:{{UNO_API_PASSWORD}} 'https://{{URL}}/cme/api/v1/list?{{criteria1}}={{val1}}&{{criteria2}}={{val2}}&{{criteriaN}}={{valN}}'

 

Curl Users:

curl --user API_JOHNSMITH:12345

'https://datamine.cmegroup.com/cme/api/v1/list?dataset=eod&exchangecode=xcec&yyyymmdd=20150130'

 

WGET Users:

wget --user API_JOHNSMITH -O- -q --password 12345 'https://datamine.cmegroup.com/cme/api/v1/list'

 

Response

 Elements of the "files" array

Name

Description

Type

Dataset

Dataset of the file

String

exchangecode

Exchange Code for the file

String

url

Fully qualified download URL

String

expiration

expiration date of file access

String

productcode

CME Product Code

String

yyyymmdd

CME trade date

String

checksum

MD5 Checksum for data

String

size

File size in KB

int

fid

Unique identifier for file

String

orderid

Order number

String

 "Paging" Object

Name

Description

Type

previous

Pre-populated link that will bring you to the previous page of result

String

next

Pre-populated link that will bring you to the next page of result

String

 Sample response

{

  "files": [

    {

      "dataset": "eod",

      "yyyymmdd": "20150130",

      "url": "http://localhost:8080/cme/api/v1/download?fid=20150130-eod_xcec_ali_fut_0-eth_p",

      "fid": "20150130-eod_xcec_ali_fut_0-eth_p",

      "orderid": "29",

      "exchangecode": "xcec",

      "productcode": "ali",

      "checksum": "c609f0a1091c693e759d46f1b8756f54",

      "size": 642,

      "expiration": "2016-06-10"

    },

    {

      "dataset": "eod",

      "yyyymmdd": "20150130",

      "url": "http://localhost:8080/cme/api/v1/download?fid=20150130-eod_xcec_ali_fut_0-eth_f",

      "fid": "20150130-eod_xcec_ali_fut_0-eth_f",

      "orderid": "31",

      "exchangecode": "xcec",

      "productcode": "ali",

      "checksum": "c609f0a1091c693e759d46f1b8756f54",

      "size": 642,

      "expiration": "2016-06-12"

    }

  ],

  "paging": {

    "previous": "http://datamine.cmegroup.com/cme/api/v1/list?limit=2&offset=0",

    "next": "http://datamine.cmegroup.com/cme/api/v1/list?limit=2&offset=3"

  }

}

**Please note that paging information is at the end of the response**

Download

You can download a file that you have access to using this api call.

 Criteria

Name

Description

Required

Type

fid

File Id, available from the list api.

 

The fid format is: yyyymmdd-dataset_exch_symbol_foi_spread-venue

 

Example:

20160107-bbo_xcme_sp_fut_0-rth

Yes

String

 Syntax

curl -J -O --user {{UNO_API_KEY}}:{{UNO_API_PASSWORD}} 'https://{{URL}}/cme/api/v1/download?fid={{val}}'

 

Curl Users:

curl -J -O --user API_JOHNSMITH:12345

'https://datamine.cmegroup.com/cme/api/v1/download?fid=20150130-eod_xcec_ali_fut_0-eth_p'

 

You can use “-o” option to name your own file:

curl --user API_JOHNSMITH:12345

'https://datamine.cmegroup.com/cme/api/v1/download?fid=20150130-eod_xcec_ali_fut_0-eth_p' -o my_eod_file.gz

 

WGET Users:

wget --content-disposition --user API_TEST_DM_PROD --password Test12345 'https://datamine.cmegroup.com/cme/api/v1/download?fid=20160920-EOD_xcbt_c_fut_0-eth_p'

Reference

Dataset

API value

Top-of-Book

BBO

Block Trades

BLOCK

End-of-day

EOD

Market Depth (FIX)

MD

Market Depth (RLC)

RLC

RLC-SecDef

RLCSECDEF

SecDef

SECDEF

Time & Sales

TICK

Exchange

API value

COMEX

XCEC

CBOT

XCBT

CME

XCME

NYMEX

XNYM

CMED

CMED

MGCB

MGCB

NYUM

NYUM

XKLS

XKLS

Web Browser API Calls

 

 For clients who are not familiar with Curl nor WGET, a simpler way of executing API calls is through the web browser.

Simply put this list call in a browser, and hit enter: https://datamine.cmegroup.com/cme/api/v1/list?limit=1

Enter your API username and password, hit enter to see the listing. You should see something similar to this:

 

{
  "files": [
    {
      "dataset": "MD",
      "yyyymmdd": "20161003",
      "url": "https://datamine.cmegroup.com/cme/api/v1/download?fid=20161003-MD_xnym_zz6_fut_1-eth",
      "fid": "20161003-MD_xnym_zz6_fut_1-eth",
      "orderid": "2793",
      "exchangecode": "xnym",
      "productcode": "zz6",
      "checksum": "87ba2eada6a38c093307d579ad97026e",
      "size": 299,
      "expiration": "2017-07-05"
    }
  ],
  "paging": {
    "previous": "",
    "next": "https://datamine.cmegroup.com/cme/api/v1/list?limit=1&lastFid=20161003-MD_xnym_zz6_fut_1-eth&page=1"
  }
}

 

Clicking on the url for each file will download the file.

Sample API Calls

For Listing (can return multiple days, but you cannot specify a range)

For Normal Download (single day of single product)

For Batch Download (single day / all products)

USING CURL

 LISTING Files:

To list all your files 1000 files at a time

 

curl --user API_ID:Password 'https://datamine.cmegroup.com/cme/api/v1/list'

 

 

This will provide you a list of file description and a URL to download each file

 

EX:

 {

      "dataset": "EOD",

      "yyyymmdd": "20150403",

      "url": "https://datamine.cmegroup.com/cme/api/v1/download?fid=20150403-EOD_xcbt_c_fut_0-eth_p",

      "fid": "20150403-EOD_xcbt_c_fut_0-eth_p",

      "s3url": "cmegroup-main-us-east-1-datamine-prod/endofday/30405102/tbcx/fut/eth/c/xcbt-eodp-c-fut-20150403.csv.gz",

      "orderid": "2371",

      "exchangecode": "xcbt",

      "productcode": "c",

      "checksum": "4f8510b7c7f7540c73a01c7a5b19bcab",

      "size": 769,

      "expiration": "2016-12-15"

    }

 

The '' url '' is what you will use to download a file.

 

You can add parameters to your list command to target more precisely the files you are looking for.

 

For example:

https://datamine.cmegroup.com/cme/api/v1/list?yyyymmdd=20161114&dataset=EOD

 PAGING:

If you have more than 1000 files, you can page down using the '' next '' tag in the paging object sent at the end of the response.

 

EX:

"paging": {

    "previous": "",

    "next": "https://datamine.cmegroup.com/cme/api/v1/list?limit=1000&lastFid=20150403-EOD_xcbt_c_fut_0-eth_p&page=1"

  }

 

The curl command to page down is:

 

curl --user UNO_ID:Password 'https://datamine.cmegroup.com/cme/api/v1/list?limit=1000&lastFid=20150403-EO_xcbt_c_fut_0-eth_p&page=1'

 DOWNLOADING FILES

From a list object, you take the '' url '' tag to download a file:

 

Ex:

 {

      "dataset": "EOD",

      "yyyymmdd": "20150403",

      "url": "https://datamine.cmegroup.com/cme/api/v1/download?fid=20150403-EOD_xcbt_c_fut_0-eth_p",

      "fid": "20150403-EOD_xcbt_c_fut_0-eth_p",

      "s3url": "cmegroup-main-us-east-1-datamine-prod/endofday/30405102/tbcx/fut/eth/c/xcbt-eodp-c-fut-20150403.csv.gz",

      "orderid": "2371",

      "exchangecode": "xcbt",

      "productcode": "c",

      "checksum": "4f8510b7c7f7540c73a01c7a5b19bcab",

      "size": 769,

      "expiration": "2016-12-15"

    }

 

The curl command to download a file is:

 

curl -O -J --user UNO_ID:Password 'https://datamine.cmegroup.com/cme/api/v1/download?fid=20150403-EOD_xcbt_c_fut_0-eth_p'

 USING A WEB BROWSER

You can also use a simple web browser to access your data.

 

If you enter the following URL in the navigation bar, you will receive a list of your first 1000 files:

https://datamine.cmegroup.com/cme/api/v1/list

 

Once this url is pasted in your navigation bar, you will be asked for a username and password. Enter your UNO_ID and Password to receive your file list.

 

You can add parameters to you list command to more precisely target the files you are looking for.

 

For example:

https://datamine.cmegroup.com/cme/api/v1/list?yyyymmdd=20161114&dataset=EOD

 DOWNLOADING FROM A WEB BROWSER

If you paste the URL tag for a list command in the navigation bar for the web browser, you will download the specific file.

 

https://datamine.cmegroup.com/cme/api/v1/download?fid=20150403-EOD_xcbt_c_fut_0-eth_p

 


Security Definition Files

 The market data Security Definition (tag 35-MsgType=d) message identifies the instrument and provides all instrument attributes required for trading.

Tag

FIX Name

Future

Outright

NYMEX Decay/Variable Future

Future Spread

Option

Outright

Option Spread

UDS Combo

UDS Covered

Application Sequence Control

5799MatchEventIndicatorXXXXXXX

911

TotNumReports

c

c

c

c

c

c

c

980

SecurityUpdateAction

X

X

X

X

X

X

X

779

LastUpdateTime

X

X

X

X

X

X

X

1180

ApplID

X

X

X

X

X

X

X

Instrument Data

1300MarketSegmentIDXXXXXXX

55

Symbol

X

X

X

X

X

X

X

48

SecurityID

X

X

X

X

X

X

X

22

SecurityIDSource

X

X

X

X

X

X

X

200

MaturityMonthYear

X

X

X

X

X

X

X

1151

SecurityGroup

X

X

X

X

X

X

X

6937

Asset

X

X

X

X

X

X

X

167

SecurityType

FUT

FUT

FUT

OOF

OOF

OOF

MLEG

762

SecuritySubType

X

X

X

X

461

CFI Code

X

X

X

X

X

X

X

201PutOrCallX

462

UnderlyingProduct

X

X

X

X

207

SecurityExchange

X

X

X

X

X

X

X

1682MDSecurityTradingStatusccccccc

202

StrikePrice

X

947

StrikeCurrency

X

15

Currency

X

X

X

X

X

X

X

120

SettlCurrency

 

 

 -

c

9850

MinCabPrice

c

9779

UserDefinedInstrument

Y

Y

Underlying (options only)

711

NoUnderlyings

-

-

-

X

-

-

-

→311

UnderlyingSymbol

-

-

-

X

-

-

-

→309

UnderlyingSecurityID

-

-

-

X

-

-

-

→305

UnderlyingSecurityIDSource

-

-

-

X

-

-

-

Leg Group (spreads only) 

555

NoLegs

-

-

X

-

X

X

X

→602

LegSecurityID

-

-

X

-

X

X

X

→624

LegSide

-

-

X

-

X

X

X

→623

LegRatioQty

-

-

X

-

X

X

X

→566

LegPrice

-

-

-

-

-

-

X

→1017

LegOptionDelta

-

-

-

-

-

-

X

Trading Rules

1141

NoMdFeedTypes

X

X

X

X

X

X

X

→1022

MDFeedType

X

X

X

X

X

X

X

→264

MarketDepth

X

X

X

X

X

X

X

864

NoEvents

2

2

2

2

2

2

2

→865

EventType

X

X

X

X

X

X

X

→1145

EventTime

X

X

X

X

X

X

X

1142

MatchAlgorithm

X

X

X

X

X

X

X

1234

NoLotTypeRules

X

X

X

X

X

X

X

→1093

LotType

X

X

X

X

X

X

X

→1231

MinLotSize

X

X

X

X

X

X

X

562

MinTradeVol

X

X

X

X

X

X

X

1140

MaxTradeVol

X

X

X

X

X

X

X

969

MinPriceIncrement

X

X

X

c

X

X

X

1146

MinPriceIncrementAmount

X

X

-

X

-

-

-

9787

DisplayFactor

X

X

X

X

X

X

X

5770

PriceRatio

(Implied Intercommodity Ratio Spreads only)

c

6350

TickRule

c

c

37702

MainFraction

c

c

37703

SubFraction

c

c

9800

PriceDisplayFormat

c

_

  

c

Instrument Attribute Group

870

NoInstAttrib

X

X

X

X

X

X

X

→871=24

InstAttribType

X

X

X

X

X

X

X

→872

InstAttribValue

X

X

X

X

X

X

X

Contract Lot Size/Measure/Unit 

1435

ContractMultiplierUnit

-

X

-

-

-

-

-

1439

FlowScheduleType

-

X

-

-

-

-

-

231

ContractMultiplier

-

X

-

-

-

-

-

996

UnitOfMeasure

X

X

X

X

X

X

X

1147

UnitOfMeasureQty

X

X

-

X

-

-

-

5818

DecayQty

-

c

-

-

-

-

-

5819

DecayStartDate

-

c

-

-

-

-

-

5849

OriginalContractSize

-

c

-

-

-

-

-

Statistics and Limits

1150

TradingReferencePrice

c

c

c

c

c

c

c

731

SettlPriceType

c

c

c

c

c

c

c

5796TradingReferenceDateccccccc

5792

OpenInterestQty

c

c

c

c

c

c

c

5791

ClearedVolume

c

c

c

c

c

c

c

1149

HighLimitPrice

c

c

c

c

c

c

c

1148

LowLimitPrice

c

c

c

c

c

c

c

1143

MaxPriceVariation

c

c

c

SecDef Sample File

Click here to download a sample secdef file.

Layout Guides

For best results, use right click + Save As to download each file.

 

MDP 3.0 (Current Production Format)

The CME Group Market Data Platform (MDP) disseminates event-based bid, ask, trade, and statistical data for CME Group markets and also provides recovery and support services for market data processing. Click below to access layout guides.

Legacy FIX/FAST Format (3/2/2009-2016)

CME Globex legacy market data is transmitted on a given Market Data Platform (MDP) channel in the FIX message format using FAST compression. Click below to access layout guides.

RLC Format

CME market data dated before 2009 is available in RLC formats. Identify the desired date range of RLC files to access layout guides.

Top of Book - BBO
 BBO Layout Guide

Field Number

Data Field 

Start Position

End Position

 Length   

Description

1

Trade Date

1

8

8

YYYYMMDD- Day the trade or quote was entered

2

Trade Time

9

14

6

HHMMSS- Time the trade or quote was entered in the system

 

3

 

Trade Sequence Number

 

15

 

22

 

8

######## - sequence the quote or trade was entered into the

system

 

4

 

Session Indicator

 

23

 

23

 

1

(R/E) Indicates the Regular (PIT) or Electronic (GLOBEX) trading

session

5

Ticker Symbol

24

26

3

The product code

6

FOI Indicator

27

27

1

Futures (F) / Options (O) - Indicates the type of market data

7

Delivery Date

28

31

4

(YYMM) Indicates the month the contract expires

8

Trade Quantity

32

36

5

Number of contracts available for trade or traded

9

Strike Price

37

43

7

The strike or exercise price of the option, if applicable

10

Strike Price Decimal Locator

44

44

1

Decimal place indicator for strike price

11

Trade Price

45

51

7

Indicates actual price traded

12

Trade Price Decimal Locator

52

52

1

Decimal place indicator for traded price

13

Ask/Bid Type

53

53

1

Indicates for Bids (B) / Offers (A)

14

Indicative Quote Type

54

54

1

Indicative Market Quotes ( I )

15

Market Quote

55

55

1

Indicator for Market Quotes ( M )

16

Close/Open Type

56

56

1

Indicator for Open ( O ) / Close ( C )

17

Valid Open Exception

57

58

2

Indicator for Special Open ( O )

18

Post Close

59

59

1

Indicator for prices traded after the market close ( P )

19

Cancel Code Type

60

60

1

Indicator for canceled prices ( X )

20

Insert Code Type

61

61

1

Indicator for  Inserted prices ( I )

21

Fast/Late Indicator

62

62

1

Indicator for Fast/Late Market ( F )

22

Cabinet Indicator

63

63

1

Indicator for cabinet trades ( $ )

23

Book Indicator

64

64

1

Indicator for Book quotes ( B )

24

Entry Date

65

70

6

YYMMDD - Entry date of trade

Time and Sales
 Time and Sales CSV format:

Field Number

Data Field   

Format  

Heading on Extract File

A

Trade Date

YYYYMMDD

T.Date

B

Trade Time

HHMMSS

T.Time

C

Trade Sequence Number

Numeric

Sequence

D

Session Indicator

E,R

Session Ind

E

Ticker Symbol

Alphanumeric

Symbol

F

Future/Option/Index Indicator

F,P,C,I

C/P/F

G

Contract Delivery Date

YYMM

Contract Delivery

H

Trade Quantity

Numeric

Volume

I

Strike Price

Numeric

Strike Price

J

Trade Price

Numeric

T.Price

K

Ask Bid Type

Alphanumeric

A/B

L

Indicative Quote Type

Alphanumeric

IND

M

Market Quote

Alphanumeric

MKQ

N

Close Open Type

Alphanumeric

C/O

O

Valid Open Exception

Alphanumeric

VOE

P

Post Close

Alphanumeric

PC

Q

Cancel Code Type

Alphanumeric

CAN

R

Insert Code Type

Alphanumeric

INS

S

Fast Late Indicator

Alphanumeric

F/L

T

Cabinet Indicator

Alphanumeric

CAB

U

Book Indicator

Alphanumeric

BKI

V

Entry Date

YYYYMMDD

Entry Date

W

Exchange Code

Alphanumeric

exch_code

End of Day
 EOD Layout Guide

Fields with an * in the “Field Availability” column are only available post-November 1st, 2010.

Field Name
Excel Column
Example Value
Supported Values
Description
Field Availability
Trade DateA20120801YYYYMMDDThe trade date in YYYYMMDD format. 
Exchange CodeBXCMEXCME, XCBT, XNYM, XCECThe exchange where the product is traded.  
Asset ClassCEQUITY INDEXAGRICULTURE, ENERGY, EQUITY INDEX, INTEREST RATES, FX, METALSIdentifies an entire suite of products.*
Product CodeDEZStringThe code assigned to a particular product. 
Clearing CodeEEZStringIdentifies a contract as it is known to CME Clearing.*
Product DescriptionFE-MINI S&P 500 OPTIONSStringThe textual description of a product.  
Product TypeGOF, ODesignates whether the contract is a Future (F) or Option (O). 
Underlying Product CodeH0StringIf an option, the Product Code assigned to the underlying future.*
Put/CallICP, CDesignates whether the contract is a Put (P) or Call (C). 
Strike PriceJ1200StringIf an option, the strike price. 
Contract YearK2012YYYYThe year the contract expires. 
Contract MonthL8MMThe delivery month for the future or option contract. 
Contract DayM0DDIndicates the expiration day of the option contract. Only used for daily options. 
Settlement170.8StringSettlement Price. 
Settlement Cabinet Indicator CABNull, CABIndicates that the price is based off a Cabinet (CAB) price. 
Open InterestP54StringThe open interest for the contract. 
Total VolumeQ2880StringThe total number of contracts traded -- the sum of Globex, Floor, and PNT. 
Globex VolumeR998StringThe number of contracts traded on Globex. 
Floor VolumeS0StringThe number of contracts traded on the Floor.*
PNT VolumeT0StringThe number of contracts traded in Privately-Negotiated Transactions.*
Block VolumeU1805StringThe number of contracts traded as Blocks.*
EFP VolumeV2StringThe number of contracts traded as Exchange-for-Physical.*
EOO VolumeW11StringThe number of contracts traded as Exchange-of-Options-for-Options.*
EFR VolumeX6StringThe number of contracts traded as Exchange-for-Risk.*
EFS VolumeY24StringThe number of contracts traded as Exchange-of Futures-for-Swaps.*
EFB VolumeZ1StringThe number of contracts traded as Exchange-for-Basis.*
EFM VolumeAA42StringThe number of contracts traded as Exchange-for-Minis.*
SUB VolumeAB4StringThe number of contracts traded as Substitution-of-Futures-for-Forwards.*
OPNT VolumeAC1StringThe number of contracts traded as OTC Privately Negotiated Transactions.*
TAS VolumeAD101StringThe number of contracts traded as Trading-at-Settlement. *
TAS Block VolumeAE16StringThe number of TAS contracts traded as Blocks. *
TAM Singapore VolumeAF3StringTrade-at-Marker volume for the Singapore marker.*
TAM Singapore Block VolumeAG0StringTrade-at-Marker block volume for the Singapore marker.*
TAM London VolumeAH102StringTrade-at-Marker volume for the London marker.*
TAM London Block VolumeAI6StringTrade-at-Marker block volume for the London marker.*
Globex Open PriceAJ177.3StringThe opening price for the Globex session. 
Globex Open Price Bid/Ask IndicatorAKBNull, B, A, N, $Indicates that the price is based off a trade (null), Bid (B), Cabinet ($), Ask (A), or Nominal (N) price. 
Globex Open Price Cabinet IndicatorALCABNull, CABIndicates that the price is based off a Cabinet (CAB) price.*
Globex High PriceAM174.5StringIndicates the high price for the Globex session. 
Globex High Price Bid/Ask IndicatorANBNull, B, A, N, $Indicates that the price is based off a trade (null), Bid (B), Cabinet ($), Ask (A), or Nominal (N) price. 
Globex High Price Cabinet IndicatorAOCABNull, CABIndicates that the price is based off a Cabinet (CAB) price.*
Globex Low PriceAP173.5StringThe low price for the Globex session. 
Globex Low Price Bid/Ask IndicatorAQANull, B, A, N, $Indicates that the price is based off a trade (null), Bid (B), Cabinet ($), Ask (A), or Nominal (N) price. 
Globex Low Price Cabinet IndicatorARCABNull, CABIndicates that the price is based off a Cabinet (CAB) price.*
Globex Close PriceAS174.5StringThe closing price for the Globex session. 
Globex Close Price Bid/Ask IndicatorATANull, B, A, N, $Indicates that the price is based off a trade (null), Bid (B), Cabinet ($), Ask (A), or Nominal (N) price. 
Globex Close Price Cabinet IndicatorAUCABNull, CABIndicates that the price is based off a Cabinet (CAB) price. 
Floor Open PriceAV177.3StringThe opening price for the Floor session. 
Floor Open Price Bid/Ask IndicatorAWANull, B, A, N, $Indicates that the price is based off a trade (null), Bid (B), Cabinet ($), Ask (A), or Nominal (N) price. 
Floor Open Price Cabinet IndicatorAXCABNull, CABIndicates that the price is based off a Cabinet (CAB) price. 
Floor Open Second PriceAY176StringLists a second price if there were multiple prices. 
Floor Open Second Price Bid/Ask IndicatorAZBNull, B, A, N, $Indicates that the price is based off a trade (null), Bid (B), Cabinet ($), Ask (A), or Nominal (N) price.*
Floor High PriceBA177.3StringThe high price for the Floor session. 
Floor High Price Bid/Ask IndicatorBBANull, B, A, N, $Indicates that the price is based off a trade (null), Bid (B), Cabinet ($), Ask (A), or Nominal (N) price. 
Floor High Price Cabinet IndicatorBCCABNull, CABIndicates that the price is based off a Cabinet (CAB) price.*
Floor Low PriceBD173.5StringThe low price for the Floor session. 
Floor Low Price Bid/Ask IndicatorBEANull, B, A, N, $Indicates that the price is based off a trade (null), Bid (B), Cabinet ($), Ask (A), or Nominal (N) price. 
Floor Low Price Cabinet IndicatorBFCABNull, CABIndicates that the price is based off a Cabinet (CAB) price.*
Floor Close PriceBG162.5StringThe closing price for the Floor session. 
Floor Close Price Bid/Ask IndicatorBHBNull, B, A, N, $Indicates that the price is based off a trade (null), Bid (B), Cabinet ($), Ask (A), or Nominal (N) price. 
Floor Close Price Cabinet InidicatorBICABNull, CABIndicates that the price is based off a Cabinet (CAB) price. 
Floor Close Second PriceBJ177.7StringLists a second price if there were multiple prices. 
Floor Close Second Price Bid/Ask IndicatorBKANull, B, A, N, $Indicates that the price is based off a trade (null), Bid (B), Cabinet ($), Ask (A), or Nominal (N) price. 
Floor Post-Close PriceBL173.5StringThe post-close price for the Floor session.*
Floor Post-Close Price Bid/Ask IndicatorBMBNull, B, A, N, $Indicates that the price is based off a trade (null), Bid (B), Cabinet ($), Ask (A), or Nominal (N) price.*
Floor Post-Close Second PriceBN174.3StringLists a second price if there were multiple prices.*
Floor Post-Close Second Price Bid/Ask IndicatorBOBNull, B, A, N, $Indicates that the price is based off a trade (null), Bid (B), Cabinet ($), Ask (A), or Nominal (N) price.*
DeltaBP0.986StringIf an option, the Delta for the contract.*
Implied VolatilityBQ0.291StringIf an option, the Implied Volatility for the contract. 
Last Trade DateBR20120817YYYYMMDDThe last day the contract can trade.*
Block Trades
  Block Trade Layout Guide

Extract Name

Description

Expected Values/Format

Example: Outright Future

Example: Outright Option

Example: Spread Future

Example: Spread Option

Trade Date

Date the transaction was reported.

CCYYMMDD

20110630

20110629

20110523

20090117

Trade Time

Time the transaction was executed.

HH:MM:SS

10:37:21

11:27:45

3:45:08

7:30:00

Reported Time

Time the transaction was reported.

HH:MM

10:40

11:27

3:45

7:30

Contract Symbol

Trading symbol.

String

CLX1

LOQ1

EDZ2

ZEX9

Product Code

Product family.

String

CL

LO

ED

ZE

Asset Class

Highest level of grouping.

String

Energy

Energy

Interest Rates

Interest Rates

Market Sector

Market in which product trades.

String

Crude Oil

Crude Oil

 

 

Description

Textual description of the product.

String

Crude Oil Future

Crude Oil Options

Eurodollar Future

Eurodollar Options

Product Type

The type of product.

Future,

Option

Future

Option

Future

Option

Contract Year

Expiration year.

Number

2011

2011

2012

2010

Contract Month

Expiration month.

Number

12

8

12

12

Strike Price

Strike price, if option.

Number

 

79.00

 

98.25

Put/Call

Type of option.

Put,

Call,

Blank if Future

 

Put

 

Call

Exchange Code

The exchange that lists the product.

XNYM= New York Mercantile Exchange 

XCEC= Commodities Exchange Center 

XCME= Chicago Mercantile Exchange 

XCBT= Chicago Board Of Trade

XNYM

XNYM

XCME

XCME

Trade Price

The agreed upon price.

Number

100.75

10.00

-10.50

45.00

Trade Quantity 

The agreed upon quantity. This field reflects block trade quantity and not the total number of individual contracts traded.

Number

800

1000

8000

5000

Trade Source

The source of the trade.

Floor, 

ClearPort

ClearPort

Floor

Floor

Floor

Spread Type Code

Type of spread, if multiple legs.

BF

CF

DN

FB

FO

OB

OR

PB

PK

PS

SP

SR

Blank if not a spread

 

 

BF

SR

Spread Type Description

Description of the spread code.

Butterfly

Condor

Delta Neutral

Futures Bundle

Futures v. Options

Options Bundle

Risk-Reversal Bundle

Pack Butterfly

Pack

Pack v. Pack

Intra-commodity

Strip

Blank if not a spread.

 

 

Butterfly

Strip

2nd Leg (if applicable) 

 

 

 

 

 

 

Contract Symbol 2

Same as above, for second leg.

Same as above, for second leg.

 

 

EDZ3

ZEH0

Product Code 2

Same as above, for second leg.

Same as above, for second leg.

 

 

ED

ZE

Asset Class 2

Same as above, for second leg.

Same as above, for second leg.

 

 

 

 

Market Sector 2

Same as above, for second leg.

Same as above, for second leg.

 

 

 

 

Description 2

Same as above, for second leg.

Same as above, for second leg.

 

 

Eurodollar Future

Eurodollar Option

Product Type 2

Same as above, for second leg.

Same as above, for second leg.

 

 

Future

Option

Contract Year 2

Same as above, for second leg.

Same as above, for second leg.

 

 

2013

2010

Contract Month 2

Same as above, for second leg.

Same as above, for second leg.

 

 

12

3

Strike Price 2

Same as above, for second leg.

Same as above, for second leg.

 

 

 

98.25

Put/Call 2

Same as above, for second leg.

Same as above, for second leg.

 

 

 

Call

Exchange Code 2

Same as above, for second leg.

Same as above, for second leg.

 

 

XCME

XCME

Trade Price 2

ONLY available for spread type code DN and FO.

Same as above, for second leg.

 

 

-10.5

 

Trade Quantity 2

ONLY available for spread type code DN and FO.

Same as above, for second leg.

 

 

8000

 

3rd Leg (if applicable) 

 

 

 

 

 

 

Contract Symbol 3

Same as above, for third leg.

Same as above, for third leg.

 

 

EDZ4

ZEH0

Product Code 3

Same as above, for third leg.

Same as above, for third leg.

 

 

ED

ZE

Asset Class 3

Same as above, for third leg.

Same as above, for third leg.

 

 

Interest Rates

Interest Rates

Market Sector 3

Same as above, for new leg.

Same as above, for third leg.

 

 

 

 

Description 3

Same as above, for third leg.

Same as above, for third leg.

 

 

Eurodollar Future

Eurodollar Option

Product Type 3

Same as above, for third leg.

Same as above, for third leg.

 

 

Future

Option

Contract Year 3

Same as above, for third leg.

Same as above, for third leg.

 

 

2014

2010

Contract Month 3

Same as above, for third leg.

Same as above, for third leg.

 

 

12

3

Strike Price 3

Same as above, for third leg.

Same as above, for third leg.

 

 

 

98.25

Put/Call 3

Same as above, for third leg.

Same as above, for third leg.

 

 

 

Call

Exchange Code 3

Same as above, for third leg.

Same as above, for third leg.

 

 

XCME

XCME

4th Leg (if applicable) 

 

 

 

 

 

 

Contract Symbol 4

Same as above, for fourth leg.

Same as above, for fourth leg.

 

 

 

ZEU0

Product Code 4

Same as above, for fourth leg.

Same as above, for fourth leg.

 

 

 

ZE

Asset Class 4

Same as above, for fourth leg.

Same as above, for fourth leg.

 

 

 

 

Market Sector 4

Same as above, for fourth leg.

Same as above, for fourth leg.

 

 

 

 

Description 4

Same as above, for fourth leg.

Same as above, for fourth leg.

 

 

 

Eurodollar Option

Product Type 4

Same as above, for fourth leg.

Same as above, for fourth leg.

 

 

 

Option

Contract Year 4

Same as above, for fourth leg.

Same as above, for fourth leg.

 

 

 

2010

Contract Month 4

Same as above, for fourth leg.

Same as above, for fourth leg.

 

 

 

10

Strike Price 4

Same as above, for fourth leg.

Same as above, for fourth leg.

 

 

 

98.25

Put/Call 4

Same as above, for fourth leg.

Same as above, for fourth leg.

 

 

 

Call

Exchange Code 4

Same as above, for fourth leg.

Same as above, for fourth leg.

 

 

 

XCME

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