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Spread trading is the simultaneous buying and selling of two related markets with a profit expectation when the position is offset one position is bought while another is sold. For example, a trader could buy one futures contract and sell another futures contract of the same commodity using a different delivery month.
Spread Trades provides access for up to an accumulation of five rolling days of file layout data for spread trades for both open outcry and CME Globex. Each compressed file contains a file for each membership type including CME, International Monetary Market (IMM), Growth & Emerging Markets (GEM) and Index and Option Market (IOM).
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Column |
Description |
Field Type |
Field Width |
|
1 - 3 |
Commodity Code - Leg One |
X |
3 |
|
4 |
Month |
X |
1 |
|
5 - 6 |
Year |
N |
2 |
|
7 |
Put/Call Indicator |
X |
1 |
|
8 - 14 |
Strike Price |
N |
7 |
|
15 - 17 |
Commodity Code - Leg Two |
X |
3 |
|
18 |
Month |
X |
1 |
|
19 - 20 |
Year |
N |
2 |
|
21 |
Put/Call Indicator |
X |
1 |
|
22 - 28 |
Strike Price |
N |
7 |
|
29 - 31 |
Commodity Code - Leg Three (optional) |
X |
3 |
|
32 |
Month |
X |
1 |
|
33 - 34 |
Year |
N |
2 |
|
35 |
Put/Call Indicator |
X |
1 |
|
36 - 42 |
Strike Price |
N |
7 |
|
43 - 45 |
Commodity Code - Leg Four (optional) |
X |
3 |
|
46 |
Month |
X |
1 |
|
47 - 48 |
Year |
N |
2 |
|
49 |
Put/Call Indicator |
X |
1 |
|
50 - 56 |
Strike Price |
N |
7 |
|
57 - 62 |
Points (+/- preceding) |
N |
6 |
|
63 |
Bid/Ask Indicator |
X |
1 |
|
64 |
Action Code (Delete/Add/Change) |
X |
1 |
|
65-70 |
Entry Time |
X |
6 |
|
71-76 |
Entry Date (MMDDYY) |
N |
6 |
|
77-82 |
Trade Date (MMDDYY) |
N |
6 |
|
83-88 |
Quantity |
N |
6 |
|
89 |
Session (E or R) |
X |
1 |
|
90-91 |
Spread Type |
X |
2 |
|
92-101 |
Spread Acronym |
X |
10 |
|
102 |
CAB Indicator |
X |
1 |
|
103-107 |
Filler |
X |
5 |
|
108-110 |
Delta Neutral (DN) Contract |
X |
3 |
|
111-112 |
DN Year |
N |
2 |
|
113 |
DN Month |
N |
1 |
|
114-119 |
DN Price |
N |
6 |
|
120-125 |
DN Quantity |
N |
6 |
|
126 |
DN Ask/Bid Indicator |
X |
1 |
|
127 |
DN Spread Type Indicator |
X |
1 |
|
128-137 |
DN Spread Type Acronym |
X |
10 |
|
138 |
Special Indicator |
X |
1 |
File Layout
