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.)
Liquidity Tool- Contents
- Block Trades
- End of Day
- Eris PAI Dataset
- Market Depth
- MBO FIX
- BrokerTec Historical Data
- Time and Sales
- Top of Book - BBO
- Volume and Open Interest
- Order Book AI
- STL INT Settlements
- GovPX Historical Data
- Packet Capture Dataset
- GovPX End of Day Historical Data
- BrokerTec European Repo Historical Data
- Premium FX Feed Historical Data
- SOFR Strip Rates
- CME Liquidity Tool Datasets
- EBS Historical Data
- Registrar
- Collateral Eligibility Lists
- Term SOFR
- CME Group Volatility Indexes - CVOL
- CME Group Petroleum Index
- RepoFunds Rate (RFR) USD
- AIR Futures
- FX Options Vol Converter
- OTC IRS Curves
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.