Electronic Platform Information Console
Page tree
Skip to end of metadata
Go to start of metadata

Designed for those looking to better understand CME Globex liquidity, Top-of-Book contains all top bid, bid size, top ask, ask size, last trade, trade volume, and time-stamp data for CME Globex-traded products. This dataset includes best bids and best offers, with corresponding volume, for all CME Globex products.

Contents

Other Datasets

Resources

Dates Available

Top of Book data is available on four exchanges in ASCII format from as early as 1999.

By Exchange

 

Exchange

Open Date

Close Date

CME (Electronic)

11/1/2004

Present

CBOT (Electronic)

1/14/2008

Present

NYMEX (Electronic)

12/1/1999

Present

COMEX (Electronic)

12/1/1999

Present

[Top]

By Product

Filter availability by product here.

Layout Guides

 Top of Book (BBO) layout guide
Field Number

Data Field 

Start Position

End Position

 Length   

Description

1

Trade Date

1

8

8

YYYYMMDD- Day the trade or quote was entered

2

Trade Time

9

14

6

HHMMSS- Time the trade or quote was entered in the system

3

 

Trade Sequence Number

 

15

 

22

 

8

######## - sequence the quote or trade was entered into the

system

4

 

Session Indicator

 

23

 

23

 

1

(R/E) Indicates the Regular (PIT) or Electronic (GLOBEX) trading

session

5

Ticker Symbol

24

26

3

The product code

6

FOI Indicator

27

27

1

Futures (F) / Options (O) - Indicates the type of market data

7

Delivery Date

28

31

4

(YYMM) Indicates the month the contract expires

8

Trade Quantity

32

36

5

Number of contracts available for trade or traded

9

Strike Price

37

43

7

The strike or exercise price of the option, if applicable

10

Strike Price Decimal Locator

44

44

1

Decimal place indicator for strike price

11

Trade Price

45

51

7

Indicates actual price traded

12

Trade Price Decimal Locator

52

52

1

Decimal place indicator for traded price

13

Ask/Bid Type

53

53

1

Indicates for Bids (B) / Offers (A)

14

Indicative Quote Type

54

54

1

Indicative Market Quotes ( I )

15

Market Quote

55

55

1

Indicator for Market Quotes ( M )

16

Close/Open Type

56

56

1

Indicator for Open ( O ) / Close ( C )

17

Valid Open Exception

57

58

2

Indicator for Special Open ( O )

18

Post Close

59

59

1

Indicator for prices traded after the market close ( P )

19

Cancel Code Type

60

60

1

Indicator for canceled prices ( X )

20

Insert Code Type

61

61

1

Indicator for  Inserted prices ( I )

21

Fast/Late Indicator

62

62

1

Indicator for Fast/Late Market ( F )

22

Cabinet Indicator

63

63

1

Indicator for cabinet trades ( $ )

23

Book Indicator

64

64

1

Indicator for Book quotes ( B )

24

Entry Date

65

70

6

YYMMDD - Entry date of trade

[Top]

Sample Files

FAQ

The CME DataMine Top of Book files (Best Bid/Offer) provide the top bid, bid volume, ask, ask volume, last trade price, and last trade volume of the order book for all CME Globex traded products.

 BBO Availability

How far back do you maintain Top of Book (BBO) records?

Data goes back to 2004 for CME, 2008 for CBOT, and 1999 for NYMEX and COMEX. Specific product start dates can be found here.

Do the Top of Book files contain the same trade information as the Time & Sales files?

Yes, the Time&Sales information is a subset of the Top of Book data. Top of Book has the added benefit of providing the best bids and offers in addition to trade information.

Are spreads included in the Top of Book files?

Exchange Defined option spreads are displayed in outright options files.

Do you have this data for all instruments?

This data is available for all CME Globex-traded instruments.

 BBO Format

What is the format of the Top of Book files?

CME DataMine Top of Book files are currently available exclusively in ASCII format. A file layout guide and examples are available here.

What is the granularity of the timestamp for orders and trades?

Trades and orders are time stamped to the second.

Does Top of Book come from the same source as Market Depth and Time & Sales data?

Top of Book and Time & Sales files are produced from internal post-trade processing system. Market Depth files come directly from our FIX/FAST market data platform. The granularity of timestamps for the data offerings are different due to the sources.

How are trades aggregated in the Top of Book files?

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 do trades vary from "bundled" to "unbundled" over time?

This was a result of multi-step internal technology changes and was consistent for all products. Prior to 2011, trades of the same price were bundled together before market data was released. When this system was retired in 2011, trades became unbundled. With the 2015 introduction of MDP 3.0 and Trade Summary message, traded quantity became consolidated for the aggressor/price/instrument. Trades will remain bundled until further notice.

 BBO Interpretation

What does it mean if no (B) or (A) is present?

Lack of a (B) or (A) indicates a trade was executed.

If I purchase daily updates of Top of Book data, will I get historical data as well?

No. When an order is placed for daily updates of Top of Book data, the first file included will be generated for the start date of the subscription. Historical data is sold individually of DataMine update subscriptions.

[Top]

  • No labels