The CME Direct Excel Add-In allows you to export data from the CME Direct Trading Client into Excel. This includes contract data, market data, fills data and trade data.
For market makers, it also allows you to manage and monitor orders.
For options traders/brokers, it allows you to feed in option analytics values (“Greeks”), which you may have sourced from, for example, your own internal calculation engine.
At the core of CME Direct's Excel feature is the CMED.C function. This finds a CME Direct code, or lookup key, used to uniquely identify a contract. This lookup key can then be used in conjunction with other functions, such as the CMED.MD market data function. To get your desired lookup key into Excel, you can either conduct a search using a Functions Arguments window, or find it in the Instrument Details window in the CME Direct Trading Client and type it directly into Excel. We recommend always using the CMED.C function, as this protects you against possible future changes to the format of this lookup key.
Note: Contract lookup is compatible with product codes (e.g. CL) or product names (e.g. WTI Future).
Excel integration also provides the ability to drag market data content from a CME Direct Exchange Trading Grid directly into Excel.
Note: For more information on these and other Excel features, functions, and VBA API, please contact CMEDirectSales@cmegroup.com.
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