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Volume By Price
Overview

The CME Volume by Price file is made available in the early evening. The files are named vpyymmdd.zip. Inside each Zip file is a text file named vpyymmdd. For more information about this file, please see the  Volume By Price FAQ. Each file contains a record of total volume for each contract at each price for the trading day.

Effective 9/1/04, the Volume by Price FTP files no longer contain CTI data.

CME made a small change by adding the Expanded Commodity Code field to the Volume by Price FTP file on 9/23/05. The updated file layout guide is reflected below.

Download Volume by Price Files - Pit Traded

Download Volume by Price Files - CME Globex

 

CME RTH File Layout
Length From To Datatype* Format Description & Comments
1 1 1     SOH Control Character
1 2 2 AN X Exchange ID
2 3 4 AN XX Vendor ID
1 5 5 AN X Category Code
1 6 6 AN X Type Code
6 7 12 N 9(6) Message Sequence Number
2 13 14 N 99 Hour
2 15 16 N 99 Minute
2 17 18 N 99 Second
1 19 19     STX Control Character
2 20 21 AN XX Commodity Code
1 22 22 A X Contract Month Ticker Symbol
1 23 23 N 9 Contract Last Digit of Year
1 24 24 N 9 Decimal Locator for Price
1 25 25 AN X Put/Call Indicator (Blank=Futures; P=Put; C=Call)
1 26 26 N 9 Strike Price Decimal Locator
7 27 33 N 9(7) Strike Price
2 34 35 N 99 Trade Date Year
2 36 37 N 99 Trade Date Month
2 38 39 N 99 Trade Date Day
2 40 41 AN XX Session ID
6 42 47 N 9(6) Trade Price
7 48 54 N 9(7) Total Volume
7 55 61 N 9(7) CTI-1 Volume
7 62 68 N 9(7) CTI-2 Volume
7 69 75 N 9(7) CTI-3 Volume
7 76 82 N 9(7) CTI-4 Volume
20 83 102 AN X(20)

Brackets - RTH/Globex
1 103 103 AN X ETX Control Character
3 104 106 AN XX

Expanded Commodity Code
24 107 130 AN X(24) Filler

 

CME Globex File Layout
Length From To Datatype* Format Description & Comments
1 1 1     SOH Control Character
1 2 2 AN X Exchange ID
2 3 4 AN XX Vendor ID
1 5 5 AN X Category Code
1 6 6 AN X Type Code
6 7 12 N 9(6) Message Sequence Number
2 13 14 N 99 Hour
2 15 16 N 99 Minute
2 17 18 N 99 Second
1 19 19     STX Control Character
2 20 21 AN XX Commodity Code
1 22 22 A X Contract Month Ticker Symbol
1 23 23 N 9 Contract Last Digit of Year
1 24 24 N 9 Decimal Locator for Price
1 25 25 AN X Put/Call Indicator (Blank=Futures; P=Put; C=Call)
1 26 26 N 9 Strike Price Decimal Locator
7 27 33 N 9(7) Strike Price
2 34 35 N 99 Trade Date Year
2 36 37 N 99 Trade Date Month
2 38 39 N 99 Trade Date Day
2 40 41 AN XX Session ID
6 42 47 N 9(6) Trade Price
7 48 54 N 9(7) Total Volume
7 55 61 N 9(7) CTI-1 Volume
7 62 68 N 9(7) CTI-2 Volume
7 69 75 N 9(7) CTI-3 Volume
7 76 82 N 9(7) CTI-4 Volume
20 83 132 AN X(50)

Brackets - RTH/Globex
1 133 133 AN X ETX Control Character
3 134 136 AN XX

Expanded Commodity Code
24 137 160 AN X(24) Filler