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.
- Accurate data straight from the source
- Ability to evaluate historic quality of fills
- Internal databasing of market data
- Test the predictive quality of trading algorithms
Market Depth
All market data messages needed to recreate the book and trade data
Top-of-Book (BBO)
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
End-of-Day
Official closing information for CME Group contracts
Block Trades
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
Agriculture
- Corn Futures | 7/15/13 | Fix format
- Corn Futures | 1/27/08 | RLC format
- Corn Futures | 1/28/08 | RLC format
- Corn Options | 7/15/13 | Fix format
Energy
- Henry Hub Natural Gas Options | 1/28/08 | RLC format
- Light Sweet Crude Oil (WTI) Futures | 7/15/13 | Fix format
- Light Sweet Crude Oil (WTI) Futures | 1/27/08 | RLC format
- Light Sweet Crude Oil (WTI) Futures | 1/28/08 | RLC format
- Light Sweet Crude Oil (WTI) Options | 7/15/13 | Fix format
Equity
- DJIA ($10) Futures | 1/27/08 | RLC format
- DJIA ($10) Futures | 1/28/08 | RLC format
- E-mini S&P 500 (Dollar) Futures | 7/15/13 | Fix format
- E-mini S&P 500 (Dollar) Options | 7/15/13 | Fix format
- E-mini S&P 500 (Dollar) Options | 1/28/08 | RLC format
FX
- EUR/USD Futures | 7/15/13 | Fix Format
- EUR/USD Options | 7/15/13 | Fix Format
- JPY/USD Futures | 1/27/08 | RLC format
- JPY/USD Futures | 1/28/08 | RLC format
IR
- 10-Year U.S. Treasury Notes Futures | 1/27/08 | RLC format
- 10-Year U.S. Treasury Notes Futures | 1/28/08 | RLC format
- 5-Year U.S. Treasury Notes Futures | 1/28/08 | RLC format
- Eurodollar Futures | 1/27/08 | RLC format
- Eurodollar Futures | 1/28/08 | RLC format
- Eurodollar Futures | 7/15/13 | Fix format
- Eurodollar Options | 7/15/13 | Fix format
Metals
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.
Agriculture
Corn Futures for 1/10/11
Corn Options for 1/10/11
Energy
Light Sweet Crude Oil (WTI) Futures for 1/10/11
Light Sweet Crude Oil (WTI) Options for 1/10/11
Equity
E-mini S&P 500 (Dollar) Futures for 1/10/11
E-mini S&P 500 (Dollar) Options for 1/10/11
FX
EUR/USD Futures for 1/10/11
EUR/USD Options for 1/10/11
EUR/USD Spreads for 1/10/11
IR
Eurodollar Futures for 1/10/11
Eurodollar Options for 1/10/11
Agriculture
Corn Futures for 11/5/12
Corn Options for 11/5/12
Energy
Light Sweet Crude Oil (WTI) Futures for 11/5/12
Light Sweet Crude Oil (WTI) Options for 11/5/12
Equity
E-mini S&P 500 (Dollar) Futures for 11/5/12
E-mini S&P 500 (Dollar) Options for 11/5/12
FX
EUR/USD Futures for 11/5/12
EUR/USD Options for 11/5/12
IR
Eurodollar Futures for 11/5/12
Eurodollar Options for 11/5/12
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.
Agriculture
Corn Futures for 10/01/12
Corn Options for 10/01/12
Energy
Light Sweet Crude Oil (WTI) Futures for 10/01/12
Light Sweet Crude Oil (WTI) Options for 10/01/12
Equity
E-mini S&P 500 (Dollar) Futures for 10/01/12
E-mini S&P 500 (Dollar) Options for 10/01/12
FX
EUR/USD Futures for 10/01/12
EUR/USD Options for 10/01/12
IR
Eurodollar Futures for 10/01/12
Eurodollar Options for 10/01/12
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:
- The type of spread that has been executed,
- The second trade price and quantity (when applicable),
- Detailed data for each leg of traded spreads,
- Execution and call times – all in an easy-to-use format.
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