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 pm CST.
Time and Sales Data
Time & 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, as well as quantities on electronic trades only.
Market Depth Data
Market Depth FIX files provide all market data messages required to recreate the order book: 5-10 orders deep in futures markets and 3 orders deep in options markets, as well as trade data for all CME Globex traded products.
Block Trade Data
This dataset offers historical futures and options block trades for CME, CBOT, NYMEX and COMEX products, straight from our price reporting system. 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. CME ClearPort and Open Outcry block trades are also included in this dataset.
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