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The CME Liquidity Tool Data provides a daily re-construction of the electronic limit order book by performing calculations on CME Globex trading engine messages. Users can analyze liquidity statistics such as current and historical bid-ask spreads, book depth and the CME Liquidity Tool’s bespoke Cost to Trade (CTT) metric for several lot sizes.  Data is available for core CME Group products across three distinct global time zones.

These measures are aggregated by trading hours as mentioned below:

  • Chicago (7 a.m. to 4 p.m.)

  • London (7 a.m. to 5 p.m.)

  • Singapore (8 a.m. to 8 p.m.)

Contents

Table of Contents
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Other Datasets

Child pages (Children Display)
pageCME DataMine Datasets

Resources

Dates Available

The data is available starting in June 1, 2017 to present day. The CME Liquidity Tool has a rolling 2 year window of data available for visualization. 

Info

July 2-5, 2024 are currently not available.

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Sample Files

Dataset

Sample File

Liquidity Tool Sample File

Sample File



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FAQ

Expand
titleLiquidity Tool Format

What format is the file delivered in?

Data is provided in .csv format (comma separated values).

Are files compressed?

No, the files are not compressed into zip files.

Expand
titleLiquidity Tool Availability

What products are included in the Liquidity Tool dataset?

Product

Product Code

2-Year T-Note Futures

ZT

5-Year T-Note Futures

ZF

10-Year T-Note Futures

ZN

Ultra 10-Year U.S. Treasury Note Futures

ZB

U.S. Treasury Bond Futures

TN

Ultra U.S. Treasury Bond Futures

UB

E-Mini S&P 500 Futures

ES

E-Mini NASDAQ 100 Futures

NQ

Euro FX Futures

6E

Crude Oil Futures

CL

Henry Hub Natural Gas Futures

HO

RBOB Gasoline Futures

RB

NY Harbor USLD Futures

NG

Gold Futures

GC

Corn Futures 

ZC

Soybean Futures

ZS

Chicago SRW Wheat Futures

ZW

Soybean Oil Futures

ZL

How many files are available per day?

One file per product per day at the end of each trading day.

How far back do you maintain these records?

These files go back to June 1, 2017.

Do you have sample files available?

Yes, see Sample Files section above.

Are there any anomalies in the the data?

There are no known anomalies.

Expand
titleLiquidity Tool Delivery

When are these files delivered?

Depending on the data needed to be processed, Liquidity Tool data is delivered after 8pm CST and can take until 4am CST to be deliverable.

If I purchase daily updates of these datasets, will I get historical data as well?

No. When an order is placed for daily updates of these datasets, 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.

Expand
titleLiquidity Tool Interpretation

How is this data computed?

For understanding the computations of all the fields in the data set please reference the user guide.

Where is the data used within CME Group ?

This is used in CME Group Liquidity tool. It is a free tool for all users. To find out more visit Liquidity Tool homepage.

Can I see this data in chart format?

The data can be seen in chart format with additional overlay features on the CME Group Liquidity tool pate. This tool can be accessed here. Create an account for free and use the benefits of the tool.

What do the column values represent?

Column Name

Description

tradedate

The market data date, represented as yyyymmdd, e.g. 20170103

symbol

Product Code eg: ES for Emini S&P 500

time_zone

Product The data is divided to three different time zones - Chicago (7AM - 4PM CST), London (7AM - 5PM GMT), Singapore (8AM - 8PM SGT)

unix_in_sec

Time in unix time stamp

avg_level_1_spread - avg_level_10_spread

Average Spread aggregated by time zone for all the levels in the order book.

avg_level_1_midprice -avg_level_10_midprice

Average mid price aggregated by time zone for all the levels in the order book. Mid price is the average of Ask and Bid prices

avg_level_1_weightedprice - avg_level_10_weightedprice

Weighted Average price aggregated by time zone for all the levels in the order book. The weighted average is performed from milli second level to day level.

avg_level_1_ask_price - avg_level_10_ask_price

Average Ask price aggregated by time zone for all the levels in the order book.

avg_level_1_bid_price - avg_level_10_bid_price

Average Bid price aggregated by time zone for all the levels in the order book.

avg_level_1_ask_quantity - avg_level_10_ask_quantity

Average Ask Quantity aggregated by time zone for all the levels in the order book.

avg_level_1_bid_quantity - avg_level_10_bid_quantity

Average Bid Quantity aggregated by time zone for all the levels in the order book.

avg_level_1_ask_orders - avg_level_10_ask_orders

Average Ask Orders aggregated by time zone for all the levels in the order book.

avg_level_1_bid_orders - avg_level_10_bid_orders

Average Bid Orders aggregated by time zone for all the levels in the order book.

lot_1_size - lot_25_size

The lot size for which the cost to buy and sell are calculated.

lot_1_buy_ctt - lot_25_buy_ctt

Weighted Average (per day) of Theoretical Cost to buy a particular lot size. This is listed for 25 such different lot sizes.

lot_1_sell_ctt - lot_25_sell_ctt

Weighted Average (per day) of Theoretical Cost to sell particular lot size. This is listed for 25 such different lot sizes.

lot_1_buy_depth - lot_25_buy_depth

Weighted Average (per day) of number of levels traversed for calculating cost to buy for a particular lot size. This is listed for 25 different lot sizes.

lot_1_sell_depth - lot_25_sell_depth

Weighted Average (per day) of number of levels traversed for calculating cost to sell for a particular lot size. This is listed for 25 different lot sizes.

frontmonth

Most Active contract for a specific trade date.

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