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, weekly and monthly updates delivered via FTP.

Direct from CME Group, choose from the following data types:

Market Depth (Top 5) Data – Provides all of the CME Group Market Data messages needed to recreate the book (five-deep) and trade data for any CME Globex traded product, including CME, CBOT and NYMEX products, time-stamped to the centi-second.

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 including CME, CBOT and NYMEX 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, and Implied Volatilities).

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Record Layouts and Data Samples

Contact CME DataMine for product and pricing information

Calculate Pricing / Purchase Data (Time & Sales and End-Of-Day only)

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