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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 |
