CME Group » Market Data Services » DataMine/Historical Data » Overview
Overview
 

Get customized historical data with DataMine, the most comprehensive and authoritative historical price information available on select CME Group contracts. With a broad array of data types, including market depth and top-of-book, CME DataMine provides the exact fuel that algorithmic trading engines require.

CME DataMine now offers daily and monthly updates delivered via FTP.

Direct from CME Group, choose from the following data types:
Data now available for all CME, CBOT, NYMEX and COMEX products.

Market Depth Data – 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 traded product time-stamped to the centi-second. Market Depth Data is now available in FIX format.

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 (Open, High, Low, Close, Open Interest, Volume, and Implied Volatilities).

View CME DataMine sell sheet
Learn more about CME DataMine services or request a quote to purchase historical data
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View rollout dates for futures 10 Deep and options 3 Deep

Request volume-only.

Contact CME Group Historical Data Team.