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The CME Liquidity Tool Data provides a daily re-construction of the electronic limit order book by performing calculations on CME Globex trading engine messages. Users can analyze liquidity statistics such as current and historical bid-ask spreads, book depth and the CME Liquidity Tool’s bespoke Cost to Trade (CTT) metric for several lot sizes.  Data is available for core CME Group products across three distinct global time zones.

These measures are aggregated by trading hours as mentioned below:

  • Chicago (7 a.m. to 4 p.m.)
  • London (7 a.m. to 5 p.m.)
  • Singapore (8 a.m. to 8 p.m.)

Dates Available

The data is available starting in June 1, 2017 to present day. The CME Liquidity Tool has a rolling 2 year window of data available for visualization. 




Sample Files


DatasetSample File
Liquidity Tool Sample File12/3/18




FAQ

 Liquidity Tool Format

What format is the file delivered in?

Data is provided in .csv format (comma separated values).

Are files compressed?

No, the files are not compressed into zip files.

 Liquidity Tool Availability

What products are included in the Liquidity Tool dataset?

ProductProduct Code
2-Year T-Note FuturesZT
5-Year T-Note FuturesZF
10-Year T-Note FuturesZN
Ultra 10-Year U.S. Treasury Note FuturesZB
U.S. Treasury Bond FuturesTN
Ultra U.S. Treasury Bond FuturesUB
E-Mini S&P 500 FuturesES
E-Mini NASDAQ 100 FuturesNQ
Euro FX Futures6E
Crude Oil FuturesCL
Henry Hub Natural Gas FuturesHO
RBOB Gasoline FuturesRB
NY Harbor USLD FuturesNG
Gold FuturesGC
Corn Futures ZC
Soybean FuturesZS
Chicago SRW Wheat FuturesZW
Soybean Oil FuturesZL

How many files are available per day?

One file per product per day at the end of each trading day.

How far back do you maintain these records?

These files go back to June 1, 2017.

Do you have sample files available?

Yes, see Sample Files section above.

Are there any anomalies in the the data?

There are no known anomalies.

Are there any missing dates in the data?

Below is a list of dates that do not have data for this dataset.

Calendar YearMissing Dates
2017June 19-30
2018

March 30

July 26-27

October 1

2019

April 19

May 13

May 20- 31

June 4-6

July 5

Dec 26

 Liquidity Tool Delivery

When are these files delivered?

Depending on the data needed to be processed, Liquidity Tool data is delivered after 8pm CST and can take until 4am CST to be deliverable.

If I purchase daily updates of these datasets, will I get historical data as well?

No. When an order is placed for daily updates of these datasets, the first file included will be generated for the start date of the subscription. However, files remain accessible for 30 days after purchase, enabling the customer to reference previous day’s data.

 Liquidity Tool Interpretation

How is this data computed?

For understanding the computations of all the fields in the data set please reference the user guide.

Where is the data used within CME Group ?

This is used in CME Group Liquidity tool. It is a free tool for all users. To find out more visit Liquidity Tool homepage.

Can I see this data in chart format?

The data can be seen in chart format with additional overlay features on the CME Group Liquidity tool pate. This tool can be accessed here. Create an account for free and use the benefits of the tool.

What do the column values represent?

Column NameDescription
tradedateThe market data date, represented as yyyymmdd, e.g. 20170103
symbolProduct Code eg: ES for Emini S&P 500
time_zoneProduct The data is divided to three different time zones - Chicago (7AM - 4PM CST), London (7AM - 5PM GMT), Singapore (8AM - 8PM SGT)
unix_in_secTime in unix time stamp
avg_level_1_spread - avg_level_10_spreadAverage Spread aggregated by time zone for all the levels in the order book.
avg_level_1_midprice -avg_level_10_midpriceAverage mid price aggregated by time zone for all the levels in the order book. Mid price is the average of Ask and Bid prices
avg_level_1_weightedprice - avg_level_10_weightedpriceWeighted Average price aggregated by time zone for all the levels in the order book. The weighted average is performed from milli second level to day level.
avg_level_1_ask_price - avg_level_10_ask_priceAverage Ask price aggregated by time zone for all the levels in the order book.
avg_level_1_bid_price - avg_level_10_bid_priceAverage Bid price aggregated by time zone for all the levels in the order book.
avg_level_1_ask_quantity - avg_level_10_ask_quantityAverage Ask Quantity aggregated by time zone for all the levels in the order book.
avg_level_1_bid_quantity - avg_level_10_bid_quantityAverage Bid Quantity aggregated by time zone for all the levels in the order book.
avg_level_1_ask_orders - avg_level_10_ask_ordersAverage Ask Orders aggregated by time zone for all the levels in the order book.
avg_level_1_bid_orders - avg_level_10_bid_ordersAverage Bid Orders aggregated by time zone for all the levels in the order book.
lot_1_size - lot_25_sizeThe lot size for which the cost to buy and sell are calculated.
lot_1_buy_ctt - lot_25_buy_cttWeighted Average (per day) of Theoretical Cost to buy a particular lot size. This is listed for 25 such different lot sizes.
lot_1_sell_ctt - lot_25_sell_cttWeighted Average (per day) of Theoretical Cost to sell particular lot size. This is listed for 25 such different lot sizes.
lot_1_buy_depth - lot_25_buy_depthWeighted Average (per day) of number of levels traversed for calculating cost to buy for a particular lot size. This is listed for 25 different lot sizes.
lot_1_sell_depth - lot_25_sell_depthWeighted Average (per day) of number of levels traversed for calculating cost to sell for a particular lot size. This is listed for 25 different lot sizes.
frontmonthMost Active contract for a specific trade date.


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