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Historical Data

CME DataMine is the official source of the most comprehensive price information available for CME Group markets. With a broad array of data types including Market Depth, End-of-Day, Block Trades, and more, CME DataMine provides the information customers need to discover insights and capture market opportunity.

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For more information on historical data and pricing or to request a quote, please fill out the below form:

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Key Benefits

  • Accurate data straight from the source
  • Ability to evaluate historic quality of fills
  • Internal databasing of market data
  • Test the predictive quality of trading algorithms

Available Data Types

Market Depth

Market Depth FIX files provide all market data messages required to recreate the order book: five to ten orders deep in futures markets and three orders deep in options markets, as well as trade data for all CME Globex-traded products.

Dates Available

RLC

Exchange Open Date Close Date
CME (Electronic)
Quotes only, no trades		 Jan. 1, 2005 Feb. 11, 2006
CME (Electronic) Feb. 10, 2006 March 1, 2009
CBOT (Electronic) Jan. 11, 2008 March 1, 2009
NYMEX (Electronic) March 9, 2007 March 1, 2009
COMEX (Electronic) March 7, 2007 March 1, 2009

RLC files are only available for Market Depth files prior to January 2009.

FIX

Exchange Open Date Close Date
CME (Electronic) Jan. 5, 2009 present
CBOT (Electronic) Jan. 5, 2009
 present
NYMEX (Electronic) Jan. 5, 2009
 present
COMEX (Electronic) Jan. 5, 2009
 present

Sample Reports

Top-of-Book (BBO) Data

Designed for those looking to better understand CME Globex liquidity, 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.

Dates Available

Exchange Open Date Close Date
CME (Electronic) Nov. 1, 2004 Present
CBOT (Electronic) Jan. 14, 2008 Present
NYMEX (Electronic) Dec. 1, 1999 Present
COMEX (Electronic) Dec. 1, 1999 Present

Layout Guide

Resources

Sample Reports

Time and Sales Data

Time and Sales files provide information on trades, as well as bids or offers that better the traded prices. This dataset contains the official record of trade times and prices, in addition to quantities on electronic trades only.

Dates Available

Exchange Open Date Close Date
CME (Electronic) June 26, 1992 Present
CME (Pit) Jan. 4, 1982 Present
CBOT (Electronic) Nov. 23, 2003 Present
CBOT (Pit) Jan. 2, 1995 Present
NYMEX (Pit/Electronic) Dec. 1, 1999 Present
COMEX (Pit/Electronic) Dec. 1, 1999 Present

 

Layout Guide

Resources

Sample Reports

End-of-Day Data

Request Volume Only

End-of-Day files contain all of the official closing information for CME Group futures and options contracts. This dataset includes the open, high, low, close, open interest, total volume, volume breakdown by venue, settlement, delta, and implied volatilities. Delivered in an easy-to-use CSV format, End-of-Day preliminary settlements are available at 6:00 p.m. Central Time.

Dates Available

Exchange Open Date Close Date
CME (Electronic) Jan. 4, 1993 Present
CME (Pit) Jan. 4, 1982 Present
CBOT (Electronic) Aug. 28, 2000 Present
CBOT (Pit) Jan. 3, 1972 Present
NYMEX (Electronic) June 25, 1993 Present
NYMEX (Pit) July 1, 1986 Present
COMEX (Electronic) July 2, 1993 Present
COMEX (Pit) Jan. 1, 1975 Present

Layout Guide

Resources

Sample Reports

Block Trades Data

This dataset offers historical futures and options block trades for CME, CBOT, NYMEX, and COMEX products, straight from our price reporting system. CME ClearPort and Open Outcry block trades are also included in this dataset.

Historical Block Trade data consists of: 

  • The type of spread that has been executed
  • The second trade price and quantity (when applicable)
  • Detailed data for each leg of traded spreads
  • Execution and call times – all in an easy-to-use format

 

Dates Available

Exchange Open Date Close Date
CBOT (Pit) Jan. 26, 2008 Present
CME (Pit) Jan. 2, 2008 Present
COMEX (Pit) Oct. 5, 2009 Present
NYMEX (Pit) May 30, 2009 Present

Layout Guide

Sample Reports

Discover the smart option for trading

With a single click, tap into the deep liquidity and transparency of CME Group's robust options, futures and Block markets, leaving no opportunity uncovered.

A highly-configurable trading front end, CME Direct offers: 

  • A complete suite of solutions across the trading life cycle
  • Access to listed and Block markets all on one screen
  • Custom options strategies with our enhanced options functionality

Enjoy integrated instant messaging, a range of analytics and real-time trade flow between your front and middle office for fast, feature-rich and compliant trading.

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