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Market Depth
 

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 millisecond. Market Depth Data is now available in FIX format.

Record Layouts and Data Samples

 

Record Layout Guides  Sample Data Extracts 
Market Depth (3/2/09 – Present) in FIX Format DJIA ($10) Futures for 1/10/11
DJIA ($10) Future Spreads for 1/10/11
DJIA ($10) Options for 1/10/11
10-Year U.S. Treasury Note Futures for 1/10/11
10-Year U.S. Treasury Note Future Spreads for 1/10/11
10-Year U.S. Treasury Note Options for 1/10/11
Coffee Futures for 1/10/11
Coffee Future Spreads for 1/10/11
Composite Index Futures for 1/10/11
Composite Index Future Spreads for 1/10/11
Corn Futures for 1/10/11
Corn Future Spreads for 1/10/11
Corn Options for 1/10/11
Light Sweet Crude Oil (WTI) Futures for 1/10/11
Light Sweet Crude Oil (WTI) Future Spreads for 1/10/11
Light Sweet Crude Oil (WTI) Options for 1/10/11
E-mini S&P 500 (Dollar) Futures for 1/10/11
E-mini S&P 500 (Dollar) Future Spreads for 1/10/11
E-mini S&P 500 (Dollar) Options for 1/10/11
Ethanol Futures for 1/10/11
Ethanol Future Spreads for 1/10/11
EUR/USD Futures for 1/10/11
EUR/USD Future Spreads for 1/10/11
EUR/USD American Options for 1/10/11
EUR/USD European Options for 1/10/11
Eurodollar Futures for 1/10/11
Eurodollar Future Spreads for 1/10/11
Eurodollar Options for 1/10/11
Gold Futures for 1/10/11
Gold Future Spreads for 1/10/11
Gold Options for 1/10/11
JPY/USD Futures for 1/10/11
JPY/USD Future Spreads for 1/10/11
JPY/USD Options for 1/10/11
Lean Hog Futures for 1/10/11
Lean Hog Future Spreads for 1/10/11
Lean Hog Options for 1/10/11
Nikkei 225 (DOLLAR) Futures for 1/10/11
Nikkei 225 (DOLLAR) Future Spreads for 1/10/11
* Market Depth (2/12/06 – 3/1/09) in RLC Format Crude Oil Futures for 09/29/08 - 09/30/08
Canadian Dollar Futures for 02/07/07
S&P E-mini Futures for 02/07/07
S&P E-mini Options for 02/07/07
Corn Futures for 02/07/2008  
Euro Currency Options for 02/23/2006
*Market Depth (1/1/05 – 2/11/06) in RLC format EuroCurrency Futures for 02/07/06
S&P E-mini Futures for 02/07/06
S&P E-mini Options for 02/07/06
EuroDollar Futures for 02/07/06
Corn Options for 02/07/06
E-mini Euro Options for 02/07/06
Euro Currency Options for 2/10/06
 

Dates Available (RLC)
CME (Electronic) quotes only - no trades: January 1, 2005 – February 11, 2006
CME (Electronic): February 10, 2006 – present
CBOT (Electronic): January 11, 2008 – present
NYMEX (Electronic): March 9, 2007 – present
COMEX (Electronic): March 7, 2007 – present

Dates Available (FIX)
CME (Electronic): December 23, 2008 – present
CBOT (Electronic): December 23, 2008 – present
NYMEX (Electronic): January 11, 2009 – present
COMEX (Electronic): January 11, 2009 – present

Individual Product Availability.
Request Pricing for Market Depth data is available upon request.
Product Listing.
View rollout dates for futures 10 Deep and options 3 Deep.
Frequently Asked Questions.