CME Historical Data offers the most comprehensive, authoritative price information available for select CME Group contracts. With a broad array of data types including Market Depth, End-of-Day, Block Trades, and more, CME Historical Data provides the information customers need to discover insights and capture market opportunity.
All market data messages needed to recreate the book and trade data
Top bid, bid size, top ask, ask size, last trade, trade volume and time-stamp data
Time & Sales
Official record of trade times and prices
Official closing information for CME Group contracts
Historical block trades for CME, CBOT, NYMEX and COMEX products
Dates Available (RLC)
CME (Electronic) quotes only -
no trades:1/1/05 – 2/11/06
CME (Electronic): 2/10/06 – 3/1/09
CBOT (Electronic): 1/11/08 – 3/1/09
NYMEX (Electronic): 3/9/07 – 3/1/09
COMEX (Electronic): 3/7/07 – 3/1/09
Dates Available (FIX) CME (Electronic): 1/5/2009 – present
CBOT (Electronic): 1/5/2009 – present
NYMEX (Electronic): 1/5/2009 – present
COMEX (Electronic): 1/5/2009 – present
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.
End-of-Day files contain all of the official closing information for CME Group futures and options contracts. This dataset includes the open, high, low, close, open interest, total volume, volume breakdown by venue, settlement, delta, and implied volatilities. Delivered in an easy-to-use CSV format, End-of-Day preliminary settlements are available at 6:00 p.m. Central Time.
This dataset offers historical futures and options block trades for CME, CBOT, NYMEX, and COMEX products, straight from our price reporting system. CME ClearPort and Open Outcry block trades are also included in this dataset.
Historical Block Trade data consists of: