CME DataMine Frequently Asked Questions


General

When ordering a dataset, can I choose specific contract months for each product?

No, for each product that is ordered, all contract months are included in the dataset.

When ordering options data, are both calls and puts included?

Yes, both are included. We do not deliver calls and puts separately.

When ordering options data, are the underlying futures included?

No, futures products must be purchased separately.

Do you offer EFP (exchange for physical) datasets?

At this time we only offer EFP volume as part of the End-of-Day dataset.

What is the minimum amount of data that I can purchase for each dataset?

You have the option to subscribe to one month or twelve months for each dataset. Files are then delivered daily as soon as they are available.

What are the subscription options for Historical Datasets?

You have the option to subscribe to one month or twelve months for each dataset. Files are then delivered daily as soon as they are available.

Do you offer discounts for large or bulk purchase?

We offer a discount for 12 month subscriptions that are paid for upfront, they receive two months free. Additionally we offer bulk packages for those purchasing an entire exchange.

Do you offer discounts for university students and employees?

Yes we do. For more information, contact:

Market Technology Sales Team

Where can I find sample reports for all the available datasets?

Sample reports are provided under each dataset page. View sample data.

Where can I find layout guides for all the available datasets?

Layout guides are also provided under each dataset page.  View layout guides.

If I do not have a CME Group Login can I still purchase data from the application?

CME Group requires that users log in with their CME Group Login (SSO) before making data purchases. User will also need to create an API ID for downloading purchased data.

CME Group Login account set-up

API ID set-up

Who do I contact for support issues?

Contact the Global Command Center (GCC) with support inquiries.

View GCC contact information.

Market Depth

What format is the file delivered in?

Market Depth is delivered in various formats depending on the historical dates. Files can be delivered in RLC or FIX.

How far back do you maintain Market Depth records?

The start date of Market Depth records depends on the product.

View product start dates.

What is the precision level for timestamping in Market Depth?

Timestamp granularity will depend on the historical dates. The current form of market depth is delivered in nanosecond granularity.

When are these files delivered?

CME Group’s process to distribute Market Depth files begins at 5:00 p.m. Central Time (CT) and is typically complete by midnight.

How many levels of depth are available? Has this depth changed over time?

All CME Globex futures markets are 10 orders deep and options markets are three orders deep. In the past, futures and options markets were five and one level deep, respectively.

Are spreads included in the Market Depth files?

Market Depth for Exchange-listed spread products is included for both futures and options spreads.

If I purchase daily updates of Market Depth data, will I get historical data as well?

No. When an order is placed for daily updates of Market Depth data, the first file included will be generated for the start date of the subscription. However, files remain accessible for 30 days after purchase, enabling the customer to reference previous day’s data.

Do you have sample files available?

What is the "Text (decoded)" file format?

This is the processed format of FIX Binary that is delivery in a readable text format similar to FIX Fast text.

End-of-Day

What format is the file delivered in?

End–of-day is delivered in .CSV format.

Does End-of-Day include both floor and CME Globex prices?

Yes, both venues are included in the dataset. They cannot be delivered separately.

Why are some expiries and/or strikes missing settlements?

We do not currently provide settlements for expiries or option strikes that have not traded that day and do not have open interest.

What time are these files delivered?

E-files will arrive at approximately 5:30 p.m. CT. P files will arrive at approximately 9:30 p.m. CT. F files will arrive at approximately 9:30 a.m. CT the next trade date.

What are E, P, and F files?

E files are the earliest file  sent. This file contains settlement data only. P files are the preliminary file that is sent at the end of the trade date. F files are the final file sent the morning of the next trade date.

Will I always get a P file?

You will always receive a P File for subscription files. One-time orders will only receive the F file, not a P file.

Why did I only receive a P file?

If none of the contracts in your product set had adjusted open interest, then you will only receive a P file.

Why do I receive F files some days, but not others?

You will only receive an F file if a contract in your product set had adjusted open interest.

Will I always get an F file?

No. F files are only delivered if the open interest of one or more contracts in your product set was adjusted. If no adjustment was made, only a P file will be delivered.

How many files will I receive for a given trade date?

You can receive one to three files for a given trade date.

Why do you deliver all of the products again, and not just those with adjusted open interest?

After the process to update open interest, all of the values can be considered final. By delivering all of the information in a single file, the user can decide whether to take the P file and then update it if an F file is received, or to only consume the P file.

If the open interest can be adjusted, can any of the other values be adjusted as well?

No. All values in the P file with the exception of open interest are final for that trade date. Only the open interest could be updated the next morning.

How do I know if there was adjusted open interest?

Adjusted open interest will be indicated by the presence of a file with an F in the naming convention. When there is no adjustment to open interest, there will be no F file.

Do you have a list of End-of-Day product availability?

Do you have sample files available?

Sample files can be found here.

What is the historical product availability for implied volatility data?

CME Products - February 1987

CBOT Products - July 2008

NYMEX Products - November 2009

COMEX Products - November 2009

Top-of-Book

What is Top-of-Book data?

Top-of-Book contains all top bid, bid size, top ask, ask size, last trade, trade volume, and time-stamp data for CME Globex-traded products. This dataset includes best bids and best offers, with corresponding volume, for all CME Globex products.

How far back do you maintain Top-of-Book records?

Data goes back to 2004 for CME, 2008 for CBOT, and 1999 for NYMEX and COMEX.

Time and Sales

Why am I seeing a volume discrepancy between my EOD and Time and Sales (T&S) data?

There can be differences in volumes due to inclusion/exclusion of trade quantities from different venues and trade types.

Why is there no volume in my Time & Sales Regular Trade Session (pit) files?

Regular trade session files for T&S data from CME and CBOT do not have volume statistics as trade quantities are not recorded on a transaction-by-transaction basis.

What time zone is the data stamped to?

NYMEX/COMEX T&S data is in Eastern Time (ET) until April 27, 2007 when it was converted to CT. CME/CBOT T&S data is in CT.

What is the significance of the trade sequence number?

The trade sequence number lists the order of records in the Time and Sales file. It does not correlate to the FIX sequence number. Each tradable product in the Time and Sales file has its own sequence number and every new file sent each day has a new set of sequence numbers.

Are bids and asks included in Time and Sales files?

Not all bids and offers are contained in Time and Sales files, but offers that occur at or below the previous last price are included. These prices are indicated with an “A” in the Ask/Bid Type data field (see the Time and Sales Record Layout for more information on Time & Sales fields). Bids that occur at or above the previous last price are flagged with a “B” in the Ask/Bid Type data field.

Why do I see occasional bids and asks in the Time and Sales files?

CME Group flags Time and Sales records that contain a bid price which is at or above the previously traded price or an offer price which is at or below the previously traded price.

Block Trades

What format is the file delivered in?

Block trade data is delivered in .CSV format.

When are these files delivered?

Daily updates are delivered at 1 a.m. CT.

Do you have sample files available?

What dates are available for Block Trade data?

CBOT (Pit): 26 January 2008– present

CME (Pit): 2 January 2008– present

COMEX (Pit): 5 October 2009– present

NYMEX (Pit): 30 May 2009– present

File Delivery

What options do I have for file delivery?

Data that is purchased will be accessible via our RESTful API data download service.

How does the RESTful API download service?

What other options do I have to obtain my data?

Contact our sales team to discuss other options:

Market Tech Sales

I used to be able to get my files delivered via USB hard drive. Is this option still available?

Contact our sales team to discuss this option:

Market Tech Sales

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