This topic describes the Treasury Fixing Prices dataset available from CME DataMine and is used for the valuation of portfolios.



Data Availability and Sample Files


ProductSample FileStart Date

Cryptocurrency

10/24/202203/18/2021

Equities

10/24/202203/18/2021

FX

10/24/202203/18/2021

Interest Rates

10/24/202203/18/2021

Energy

05/18/202305/15/2023

Metals

05/18/202305/15/2023




FAQ

What format is the file delivered in?

Data is provided in .csv format.

Are files compressed?

No, the files are not compressed into zip files.

How many files are available per day?

1 file per asset class (Interest Rates, FX, Equity, & Crypto Currency)

How far back do you maintain these records?

Offerings go back to December 5, 2022.

Do you have sample files available?

Yes, see Sample Files section above.

Are there any dates where data in unavailable?

Yes, there are missing dates for 2-Year USD MAC Swap Futures, 7-Year USD MAC Swap Futures, 20-Year USD MAC Swap Futures, 30-Year USD MAC Swap Futures. 

When are these files delivered?

Once per day

What time will the files be delivered?

6:30-8:00 PM (Central Time) each CME Group business day

How large are these files?

  • Daily upload file: 1kb
  • Whole historical data: .075kb – 3.6kb

Is there a mandatory process for using the data?

No, there is no mandatory process.

How can I interpret the fixing files for Equities, FX, & Cryptocurrency?

EQUITIES:

ESF Calculation

On expiration days for End-of-Month (EOM) and Weekly options on standard and E-mini S&P 500 futures, CME calculates a special fixing price based on the weighted average trading price of the nearest expiring month for the E-mini S&P 500 futures in the last 30 seconds (2:59:30 - 3:00:00 p.m.) of trading before the 3:00 p.m. (Chicago Time) options expiration. This calculation always uses the nearest contract until it is no longer available for trade.

EEF Calculation

The EEF is a fixing price that is based on a volume weighted average price of the nearest expiry for the E-mini S&P 500 futures in the 30 seconds preceding 4:30 PM London Time (4:29:30-4:30:00 PM). This calculation always uses the nearest contract until it is no longer available for trade.

EJF Calculation

The EJF is a fixing price that is based on a volume weighted average price of the nearest expiry for the E-mini S&P 500 futures in the 30 seconds preceding 3:00 PM Tokyo Time (2:59:30-3:00:00 PM). This calculation always uses the nearest contract until it is no longer available for trade.

NQF Calculation

On expiration days for Weekly options on standard and E-mini NASDAQ-100 futures, CME calculates a special fixing price based on the weighted average trading price of E-mini NASDAQ-100 futures in the last 30 seconds (2:59:30 - 3:00:00 p.m.) of trading before the 3:00 p.m. (Chicago Time) options expiration. This calculation always uses the nearest contract until it is no longer available for trade.

Note

CME disclaims liability for the ESF, EEF, EJF, or NQF Options fixing prices, and no representation or warranty, express or implied, is made concerning the ESF, EEF, EJF, or NQF fixing prices (including, without limitation, the Methodology for its determination and its suitability for any particular use).

FX:

For more information on how CME Group calculates FX fixing prices, please see the “CME Group FX Fixing Price Methodology Guide".

[1] The MXN/USD ZYM calculation occurs at 11:30 am Central Time (12:30 pm NY Time)

[2] The RUB/USD ZRU calculation occurs at 12:30pm Moscow (4:30am CT or 3:30 am CST)

CRYPTOCURRENCY:

The price fixing will be based on a notionally-adjusted volume-weighted average traded price of Bitcoin futures and Micro Bitcoin futures during the 30-minutes prior to 4pm London time. 

The price fixing will be based on a notionally-adjusted volume-weighted average traded price of Ether futures and Micro Ether futures during the 30-minutes prior to 4pm London time. 



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