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 centi-second. 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	EuroCurrency Futures for 03/02/09 S&P E-mini Futures for 03/02/09 S&P E-mini Options for 03/02/09 EuroDollar Futures for 03/02/09 Corn Options for 03/02/09 Crude Oil for 03/02/09 Euro Currency Options for 3/02/09
* 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 EuroDollar Futures for 02/07/07 Corn Futures for 02/07/2008 Euro Currency Futures for 02/07/2007 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

Pricing for Market Depth data is available upon request, please click here.
For Product Listing, click here.
*To view rollout dates for futures 10 Deep and options 3 Deep, click here.