Time and Sales files provide information on trades, as well as bids or offers that better the traded prices. This dataset contains the official record of trade times and prices, in addition to quantities on electronic trades only.
Time and Sales data is available on four exchanges in CSV format from as early as 1982.
Filter availability by product here.
|Heading on Extract File||Description|
Trade Sequence Number
Contract Delivery Date
Ask Bid Type
Indicates for Bids (B)/ Offers (A)
N= Nominal Price (same as previous price)
D= Cabinet Ask
Indicative Quote Type
|Indicative Market Quotes (I)|
|Indicator for Market Quotes (M)|
Close Open Type
|Indicator for Open (O)/ Close (C)|
Valid Open Exception
Indicator for Special Open (O)
2 through 5= Open Exception
Signifies the numb of reopens of the market
Indicator for prices traded after the market close (P)
Y= Yes, Post Close
Cancel Code Type
Indicator for canceled prices
C= Cancel Quote
X= Corrected Cancelled Quote
Insert Code Type
Indicator for Inserted Prices (I)
I= Inserted Quote/ Trade
Fast Late Indicator
Indicator for Fas/ Late Market
B= Fast and Late at the same time
T= Time is the reason for fast/last condition
Indicator for cabinet trades
C= Cabinet Trade
Z= True Zero Price
-= Negative Cab Price
0-9= CAB 0 through CAB 9
Indicator for Book Quotes (B)
How far back do you maintain Time & Sales records?
The start date of Time & Sales records is dependent on the product, the oldest of which dates back to 1982. Product start dates can be found here.
Why is there no volume in my Time & Sales Regular Trade Session (pit) files?
Regular trade session files for T&S data from CME and CBOT do not have volume statistics as trade quantities are not recorded on a transaction-by-transaction basis.
Are bids and asks included in Time and Sales files?
Not all bids and offers are contained in Time and Sales files, but offers that occur at or below the previous last price are included. These prices are indicated with an “A” in the Ask/Bid Type data field (see the Time and Sales Record Layout for more information on Time & Sales fields). Bids that occur at or above the previous last price are flagged with a “B” in the Ask/Bid Type data field.
If I purchase daily updates of Time & Sales data, will I get historical data as well?
No. When an order is placed for daily updates of Time & Sales data, the first file included will be generated for the start date of the subscription. However, files are maintained in customer API directories for 30 days, enabling the customer to reference previous day’s data.
What are the Bids and Offers in the tick data?
Bids (B) are buy quotes and offers (A) are sell quotes. Bids (B) are offers to buy and Offers (A) are offers to sell. Bids and Offers reflected in Time and Sales are only those quotes that create a “last” and only appear when the bid is higher than the last sale or when the ask is lower than the last sale.
What time zone is the data stamped to?
NYMEX/COMEX T&S data is in Eastern Time (ET) until April 27, 2007 when it was converted to CT. CME/CBOT T&S data is in CT.
What is the timestamp granularity for each data type?
Time and Sales records have timestamps to the second.
How are trades within the same second aggregated in T&S data?
Trades that happen in the same second are each given a specific sequence number and are ordered in the same sequence that they were sent out over the market data feed.
Why am I seeing a volume discrepancy between my EOD and Time and Sales (T&S) data?
There can be differences in volumes due to inclusion/exclusion of trade quantities from different venues and trade types.
What is the significance of the trade sequence number?
The trade sequence number lists the order of records in the Time and Sales file. It does not correlate to the FIX sequence number. Each tradable product in the Time and Sales file has its own sequence number and every new file sent each day has a new set of sequence numbers.
Why do I see occasional bids and asks in the Time and Sales files?
CME Group flags Time and Sales records that contain a bid price which is at or above the previously traded price or an offer price which is at or below the previously traded price.
What do the field headings mean?
Time and Sales headers display Commodity, Trade Date, Time and Price. For CME Globex Time and Sales, Quantity is added to the aforementioned headers.
Why is there no volume associated with RTH commodities?
RTH is an Open Outcry environment. Volume is not reported for any transaction. Only time and price are entered into the price reporting system by the market reporter.
What is sequence of record in these files?
These files are derived from FIX protocol. Therefore, the sequence number is the official record of sequence. A user should always sort by sequence number and not timestamp when using these files.
What does an “I” stand for?
“I” represents an Inserted price. A price may be inserted when there is a gap in the sequence of executed trades.
What does it mean for ETH ticks to have volume of 0?
An ETH tick with volume quantity of “0” indicates no trade was executed. This record is an example of an indicative price quote; that is, no trade occurred, but the market is “indicated”
What does the “X” or “C” stand for?
“X” represents a cancelled price and “C” represents a corrected price.
How can I make a chart using this data?
You must have software designed for charting to import the data files.