CME DataMine

Precise data drives impressive results.

CME Historical Data offers the most comprehensive, authoritative price information available for select CME Group contracts. With a broad array of data types including Market Depth, End-of-Day, Block Trades, and more, CME Historical Data provides the information customers need to discover insights and capture market opportunity.


Benefits & Key Features

  • 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
All market data messages needed to recreate the book and trade data

Top-of-Book (BBO)
Top bid, bid size, top ask, ask size, last trade, trade volume and time-stamp data

Time & Sales
Official record of trade times and prices

Official closing information for CME Group contracts

Block Trades
Historical block trades for CME, CBOT, NYMEX and COMEX products

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

Dates Available (RLC)
CME (Electronic) quotes only -
no trades:1/1/05 – 2/11/06
CME (Electronic): 2/10/06 – 3/1/09
CBOT (Electronic): 1/11/08 – 3/1/09
NYMEX (Electronic): 3/9/07 – 3/1/09
COMEX (Electronic): 3/7/07 – 3/1/09

Dates Available (FIX) CME (Electronic): 1/5/2009 – present
CBOT (Electronic): 1/5/2009 – present
NYMEX (Electronic): 1/5/2009 – present
COMEX (Electronic): 1/5/2009 – present

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.

Time & 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

CME (Electronic): 06/26/92–present
CME (Pit): 1/4/82–present
CBOT (Electronic): 11/24/03–present
CBOT (Pit): 1/2/95–present
NYMEX (Pit/Electronic): 12/1/99–present
COMEX (Pit/Electronic): 12/1/99–present

End-of-Day Data

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

CME (Electronic): 1/4/93 – present
CME (Pit): 1/4/82 – present
CBOT (Electronic): 8/28/00 – present
CBOT (Pit): 1/3/72 – present
NYMEX (Electronic): 6/25/93 – present
NYMEX (Pit): 7/1/86 – present
COMEX (Electronic): 7/2/93 – present
COMEX (Pit): 1/2/75 – present

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

  • CBOT (Pit): 1/26/08 – present
  • CME (Pit): 1/2/08 – present
  • COMEX (Pit): 10/5/09 – present
  • NYMEX (Pit): 5/30/09 – present