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
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.
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.
What products are included in the Liquidity Tool dataset?
|2-Year T-Note Futures||ZT|
|5-Year T-Note Futures||ZF|
|10-Year T-Note Futures||ZN|
|Ultra 10-Year U.S. Treasury Note Futures||ZB|
|U.S. Treasury Bond Futures||TN|
|Ultra U.S. Treasury Bond Futures||UB|
|E-Mini S&P 500 Futures||ES|
|E-Mini NASDAQ 100 Futures||NQ|
|Euro FX Futures||6E|
|Crude Oil Futures||CL|
|Henry Hub Natural Gas Futures||HO|
|RBOB Gasoline Futures||RB|
|NY Harbor USLD Futures||NG|
|Chicago SRW Wheat Futures||ZW|
|Soybean Oil Futures||ZL|
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.
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.
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?
|tradedate||The market data date, represented as yyyymmdd, e.g. 20170103|
|symbol||Product Code eg: ES for Emini S&P 500|
|time_zone||Product The data is divided to three different time zones - Chicago (7AM - 4PM CST), London (7AM - 5PM GMT), Singapore (8AM - 8PM SGT)|
|unix_in_sec||Time in unix time stamp|
|avg_level_1_spread - avg_level_10_spread||Average Spread aggregated by time zone for all the levels in the order book.|
|avg_level_1_midprice -avg_level_10_midprice||Average 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_weightedprice||Weighted 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_price||Average Ask price aggregated by time zone for all the levels in the order book.|
|avg_level_1_bid_price - avg_level_10_bid_price||Average Bid price aggregated by time zone for all the levels in the order book.|
|avg_level_1_ask_quantity - avg_level_10_ask_quantity||Average Ask Quantity aggregated by time zone for all the levels in the order book.|
|avg_level_1_bid_quantity - avg_level_10_bid_quantity||Average Bid Quantity aggregated by time zone for all the levels in the order book.|
|avg_level_1_ask_orders - avg_level_10_ask_orders||Average Ask Orders aggregated by time zone for all the levels in the order book.|
|avg_level_1_bid_orders - avg_level_10_bid_orders||Average Bid Orders aggregated by time zone for all the levels in the order book.|
|lot_1_size - lot_25_size||The lot size for which the cost to buy and sell are calculated.|
|lot_1_buy_ctt - lot_25_buy_ctt||Weighted 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_ctt||Weighted 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_depth||Weighted 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_depth||Weighted 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.|
|frontmonth||Most Active contract for a specific trade date.|