CME DataMine

DataMine

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

End-of-Day
Official closing information for CME Group contracts

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

Execution Statistics
The data behind our popular Order Execution Dashboard tool

Market Depth

Provides all of the CME Group Market Data messages needed to recreate the book (5-10 Deep on futures, 2-3 deep on options) and trade data for any CME Globex products. Market Depth data available tick-by-tick, time stamped to the millisecond and is available in FIX format.

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

Contains all top bid, bid size, top ask, ask size, last trade, trade volume and time-stamp data for CME Globex traded products.

Time & Sales Data

Contains the official record of trade times and prices, as well as quantities on electronic trades only.

End-of-Day Data

Contains all of the official closing information for CME Group contracts including Open, High, Low, Close, Open Interest, Total Volume, Volume breakdown by venue, Settlement, Delta, and Implied Volatilities.

Now, preliminary settlement information is available earlier at 6:00 p.m. CT.

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

Historical block trades for CME, CBOT, NYMEX and COMEX products, straight from our price reporting system. This data (futures and options) is in an easy-to-use format that includes information for each trade, such as:

  • Type of spread that has been executed
  • Second trade price and quantity (when applicable)
  • Detailed data for each leg of a spread
  • Execution and call times
  • CME ClearPort and Open Outcry block trades

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

Execution Statistics

Execution Statistics allow you to access the data behind the popular Order Execution Dashboard for Equity Futures. Gain a deep understanding of Equity markets, including how to:

  • Achieve optimal fill percentages
  • Access market liquidity
  • Minimize market impact
  • Maximize returns

For the E-mini S&P 500, E-mini Nasdaq-100, and E-mini Dow ($5) Futures.