- General
- When ordering a dataset, can I choose specific contract months for each product?
- When ordering options data, are both calls and puts included?
- When ordering options data, are the underlying futures included?
- Do you offer EFP (exchange for physical) datasets?
- What is the minimum amount of data that I can purchase for each dataset?
- What are the subscription options for Historical Datasets?
- Do you offer discounts for large or bulk purchase?
- Do you offer discounts for university students and employees?
- Where can I find sample reports for all the available datasets?
- Where can I find layout guides for all the available datasets?
- If I do not have a CME Group Login can I still purchase data from the application?
- Who do I contact for support issues?
- Market Depth
- What format is the file delivered in?
- How far back do you maintain Market Depth records?
- What is the precision level for timestamping in Market Depth?
- When are these files delivered?
- How many levels of depth are available? Has this depth changed over time?
- Are spreads included in the Market Depth files?
- If I purchase daily updates of Market Depth data, will I get historical data as well?
- Do you have sample files available?
- What is the "Text (decoded)" file format?
- End-of-Day
- What format is the file delivered in?
- Does End-of-Day include both floor and CME Globex prices?
- Why are some expiries and/or strikes missing settlements?
- What time are these files delivered?
- What are E, P, and F files?
- Will I always get a P file?
- Why did I only receive a P file?
- Why do I receive F files some days, but not others?
- Will I always get an F file?
- How many files will I receive for a given trade date?
- Why do you deliver all of the products again, and not just those with adjusted open interest?
- If the open interest can be adjusted, can any of the other values be adjusted as well?
- How do I know if there was adjusted open interest?
- Do you have a list of End-of-Day product availability?
- Do you have sample files available?
- What is the historical product availability for implied volatility data?
- Top-of-Book
- Time and Sales
- Why am I seeing a volume discrepancy between my EOD and Time and Sales (T&S) data?
- Why is there no volume in my Time & Sales Regular Trade Session (pit) files?
- What time zone is the data stamped to?
- What is the significance of the trade sequence number?
- Are bids and asks included in Time and Sales files?
- Why do I see occasional bids and asks in the Time and Sales files?
- Block Trades
- File Delivery
No, for each product that is ordered, all contract months are included in the dataset.
Yes, both are included. We do not deliver calls and puts separately.
No, futures products must be purchased separately.
At this time we only offer EFP volume as part of the End-of-Day dataset.
You have the option to subscribe to one month or twelve months for each dataset. Files are then delivered daily as soon as they are available.
You have the option to subscribe to one month or twelve months for each dataset. Files are then delivered daily as soon as they are available.
We offer a discount for 12 month subscriptions that are paid for upfront, they receive two months free. Additionally we offer bulk packages for those purchasing an entire exchange.
Yes we do. For more information, contact:
Layout guides are also provided under each dataset page. View layout guides.
CME Group requires that users log in with their CME Group Login (SSO) before making data purchases. User will also need to create an API ID for downloading purchased data.
Contact the Global Command Center (GCC) with support inquiries.
Market Depth is delivered in various formats depending on the historical dates. Files can be delivered in RLC or FIX.
The start date of Market Depth records depends on the product.
Timestamp granularity will depend on the historical dates. The current form of market depth is delivered in nanosecond granularity.
CME Group’s process to distribute Market Depth files begins at 5:00 p.m. Central Time (CT) and is typically complete by midnight.
All CME Globex futures markets are 10 orders deep and options markets are three orders deep. In the past, futures and options markets were five and one level deep, respectively.
Market Depth for Exchange-listed spread products is included for both futures and options spreads.
No. When an order is placed for daily updates of Market Depth data, 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.
Yes. View sample files.
This is the processed format of FIX Binary that is delivery in a readable text format similar to FIX Fast text.
End–of-day is delivered in .CSV format.
Yes, both venues are included in the dataset. They cannot be delivered separately.
We do not currently provide settlements for expiries or option strikes that have not traded that day and do not have open interest.
E-files will arrive at approximately 5:30 p.m. CT. P files will arrive at approximately 9:30 p.m. CT. F files will arrive at approximately 9:30 a.m. CT the next trade date.
E files are the earliest file sent. This file contains settlement data only. P files are the preliminary file that is sent at the end of the trade date. F files are the final file sent the morning of the next trade date.
You will always receive a P File for subscription files. One-time orders will only receive the F file, not a P file.
If none of the contracts in your product set had adjusted open interest, then you will only receive a P file.
You will only receive an F file if a contract in your product set had adjusted open interest.
No. F files are only delivered if the open interest of one or more contracts in your product set was adjusted. If no adjustment was made, only a P file will be delivered.
You can receive one to three files for a given trade date.
After the process to update open interest, all of the values can be considered final. By delivering all of the information in a single file, the user can decide whether to take the P file and then update it if an F file is received, or to only consume the P file.
No. All values in the P file with the exception of open interest are final for that trade date. Only the open interest could be updated the next morning.
Adjusted open interest will be indicated by the presence of a file with an F in the naming convention. When there is no adjustment to open interest, there will be no F file.
Sample files can be found here.
CME Products - February 1987
CBOT Products - July 2008
NYMEX Products - November 2009
COMEX Products - November 2009
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.
Data goes back to 2004 for CME, 2008 for CBOT, and 1999 for NYMEX and COMEX.
There can be differences in volumes due to inclusion/exclusion of trade quantities from different venues and trade types.
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.
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.
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.
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.
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.
Block trade data is delivered in .CSV format.
Daily updates are delivered at 1 a.m. CT.
Yes. View sample files.
CBOT (Pit): 26 January 2008– present
CME (Pit): 2 January 2008– present
COMEX (Pit): 5 October 2009– present
NYMEX (Pit): 30 May 2009– present
Data that is purchased will be accessible via our RESTful API data download service.
Contact our sales team to discuss other options:
Contact our sales team to discuss this option:
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