CME Group » Market Data » Volume by Price FAQ

Volume by Price FAQ

 
 

1.
Why are there zeros in the price column, followed by volume figures?
2.
Why doesn't the volume listed in Volume by Price match the volume shown on the Ticker?
3.
What is the difference between Volume by Tick and Volume by Price?
4.
What are the bracket codes listed in the time bracket column?
5.
What contracts will be listed in the Volume by Price file?
6.
What do the CTI codes mean?
7.
What are the month codes?
8.
How is the data organized?
9.
Can I download certain commodities only?
10.
How do I download these files?




Q1:
Why are there zeros in the price column, followed by volume figures?
A1:
If there is a zero in the price column and an asterisk (*) appears in the time bracket column, the volumes are the accumulated GLOBEX® totals. If there is a zero in the price column and nothing appears in the time bracket column, the volumes are accumulated spreads and cash for futures.

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Q2:
Why doesn't the volume listed in Volume by Price match the volume shown on the Ticker?
A2:
Volume by Price does not contain Cabinets, Transfers or As Of Trades (outtrades). Ticker volume does not include cash for futures. Therefore, the ticker volume will always be approximately 5% greater than half of the Volume by Price total. This is also the approximate percent of outrades we have daily.

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Q3:
What is the difference between Volume by Tick and Volume by Price?
A3:
Volume by Tick includes all available ticks, including those ticks that had no volume traded that day. Volume by Price has data only for prices where volume exists.

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Q4:
What are the bracket codes listed in the time bracket column?
A4:
Time RTH Bracket Code GLOBEX Bracket Code
Unknown (to data entry operator) ? ?
Opening range for each contract $ $
Closing range for each contract % %
7:00:00 a.m. - 7:14:59 a.m. A y
7:15:00 a.m. - 7:29:59 a.m. B y
7:30:00 a.m. - 7:44:59 a.m. C z
7:45:00 a.m. - 7:59:59 a.m. D z
8:00:00 a.m. - 8:14:59 a.m. E A
8:15:00 a.m. - 8:29:59 a.m. F A
8:30:00 a.m. - 8:44:59 a.m. G B
8:45:00 a.m. - 8:59:59 a.m. H B
9:00:00 a.m. - 9:14:59 a.m. I C
9:15:00 a.m. - 9:29:59 a.m. J C
9:30:00 a.m. - 9:44:59 a.m. K D
9:45:00 a.m. - 9:59:59 a.m. L D
10:00:00 a.m. - 10:14:59 a.m. M E
10:15:00 a.m. - 10:29:59 a.m. N E
10:30:00 a.m. - 10:44:59 a.m. O F
10:45:00 a.m. - 10:59:59 a.m. P F
11:00:00 a.m. - 11:14:59 a.m. Q G
11:15:00 a.m. - 11:29:59 a.m. R G
11:30:00 a.m. - 11:44:59 a.m. S H
11:45:00 a.m. - 11:59:59 a.m. T H
12:00:00 p.m. - 12:14:59 p.m. V I
12:15:00 p.m. - 12:29:59 p.m. W I
12:30:00 p.m. - 12:44:59 p.m. X J
12:45:00 p.m. - 12:59:59 p.m. Y J
1:00:00 p.m. - 1:14:59 p.m. Z K
1:15:00 p.m. - 1:29:59 p.m. 2 K
1:30:00 p.m. - 1:44:59 p.m. 3 L
1:45:00 p.m. - 1:59:59 p.m. 4 L
2:00:00 p.m. - 2:14:59 p.m. 5 M
2:15:00 p.m. - 2:29:59 p.m. 6 M
2:30:00 p.m. - 2:44:59 p.m. 7 N
2:45:00 p.m. - 2:59:59 p.m. 8 N
3:00:00 p.m. - 3:14:59 p.m. 9 P
3:15:00 p.m. - 3:29:59 p.m. N/A P
3:30:00 p.m. - 3:59:59 p.m. N/A Q
4:00:00 p.m. - 4:29:59 p.m. N/A R
4:30:00 p.m. - 4:59:59 p.m. N/A S
5:00:00 p.m. - 5:29:59 p.m. N/A T
5:30:00 p.m. - 5:59:59 p.m. N/A V
6:00:00 p.m. - 6:29:59 p.m. N/A W
6:30:00 p.m. - 6:59:59 p.m. N/A X
7:00:00 p.m. - 7:29:59 p.m. N/A Y
7:30:00 p.m. - 7:59:59 p.m. N/A Z
8:00:00 p.m. - 8:29:59 p.m. N/A a
8:30:00 p.m. - 8:59:59 p.m. N/A b
9:00:00 p.m. - 9:29:59 p.m. N/A c
9:30:00 p.m. - 9:59:59 p.m. N/A d
10:00:00 p.m. - 10:29:59 p.m. N/A e
10:30:00 p.m. - 10:59:59 p.m. N/A f
11:00:00 p.m. - 11:29:59 p.m. N/A g
11:30:00 p.m. - 11:59:59 p.m. N/A h
12:00:00 a.m. - 12:29:59 a.m. N/A i
12:30:00 a.m. - 12:59:59 a.m. N/A j
1:00:00 a.m. - 1:29:59 a.m. N/A k
1:30:00 a.m. - 1:59:59 a.m. N/A l
2:00:00 a.m. - 2:29:59 a.m. N/A m
2:30:00 a.m. - 2:59:59 a.m. N/A n
3:00:00 a.m. - 3:29:59 a.m. N/A p
3:30:00 a.m. - 3:59:59 a.m. N/A q
4:00:00 a.m. - 4:29:59 a.m. N/A r
4:30:00 a.m. - 4:59:59 a.m. N/A s
5:00:00 a.m. - 5:29:59 a.m. N/A t
5:30:00 a.m. - 5:59:59 a.m. N/A u
6:00:00 a.m. - 6:29:59 a.m. N/A v
6:30:00 a.m. - 6:59:59 a.m. N/A x
Post-close session trades # #


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Q5:
What contracts will be listed in the Volume by Price file?
A5:
The basis of selection for contracts for the Volume by Price file will be:
Futures - The newest and oldest open contracts for a futures commodity with open interest of 1,000 or greater will be selected, along with all contracts between those two.

Options - The open interest for all strike prices of an option contract (both puts and calls) will be added. If the total is 1000 or greater, that option contract, including all strike prices for both puts and calls, will be selected.

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Q6:
What do the CTI codes mean?
A6:
CTI-1 Member Orders
CTI-2 House Orders
CTI-3 Other Member Orders
CTI-4 Customer Orders

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Q7:
What are the month codes?
A7:

Month Codes

Month Abbr
January F
February G
March H
April J
May  K
June M
July N
August Q
September U
October V
November X
December Z


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Q8:
How is the data organized?
A8:
The display starts from the highest price to the lowest price. Trades that have incorrect time brackets will have volume added into the appropriate CTI group; the bracket profile will not be affected. Cabinet trades will display as a normal price.

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Q9:
Can I download certain commodities only?
A9:
No. You must download the entire file to get the commodities you are seeking.

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Q10:
How do I download these files?
A10:
Go to our  FTP site and select the file (by trading date) you need. The files are named in year-month-date order, for example, vp970403.zip represents the volume by price file for April 3, 1997. These files are compresed (zipped) files that you will need to save to your hard drive and then uncompress (unzip) with a program such as PKZIP or WinZip.

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