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Market Depth

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This page describes the types of market depth data available from CME DataMine.

Market Depth files provide all market data messages required to recreate the order book: five to ten orders deep in futures markets and three orders deep in options markets, as well as trade data for all CME Globex-traded products. Market Depth data is available tick-by-tick, time stamped to the millisecond, and is available in FIX and RLC formats.

Contents

Other Datasets

Resources

Dates Available

Market Depth data is available on four exchanges from as early as 2005. Prior to March 1, 2009, all files from all exchanges are available in RLC format. Starting January 5, 2009, all files are available in FIX format. See below for precise dataset availability by exchange, format, and product.

By Exchange


Exchange

Open Date

Close Date

CME (Electrics)

1/1/2005*

Present

CBOT (Electrics)

1/11/2008

Present

NYMEX (Electrics)

3/7/2007

Present

COMEX (Electrics)

3/7/2007

Present

*CME quotes only. CME quotes & trades available starting 2/10/2006.

By Format


FormatExchangeOpen DateClose Date
RLC


CME (Electronic)

1/1/2005*

3/1/2009


CBOT (Electronic)

1/11/2008

3/1/2009


NYMEX (Electronic)

3/7/2007

3/1/2009


COMEX (Electronic)

3/7/2007

3/1/2009

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

*CME quotes only. CME quotes & trades available starting 2/10/2006.

By Product

Filter by product, format, and exchange here.

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Security Definition Files


 The market data Security Definition (tag 35-MsgType=d) message identifies the instrument and provides all instrument attributes such as expiration, strike price, etc.

Tag Usage by Security Type

TagFIX NameFuture OutrightNYMEX Decay/Variable FutureFuture SpreadOption OutrightOption SpreadUDS ComboUDS Covered
Application Sequence Control

5799

MatchEventIndicator

X

X

X

X

X

X

X

911

TotNumReports

c

c

c

c

c

c

c

980

SecurityUpdateAction

X

X

X

X

X

X

X

779

LastUpdateTime

X

X

X

X

X

X

X

1180

ApplID

X

X

X

X

X

X

X

Instrument Data

1300

MarketSegmentID

X

X

X

X

X

X

X

55

Symbol

X

X

X

X

X

X

X

48

SecurityID

X

X

X

X

X

X

X

22

SecurityIDSource

X

X

X

X

X

X

X

200

MaturityMonthYear

X

X

X

X

X

X

X

1151

SecurityGroup

X

X

X

X

X

X

X

6937

Asset

X

X

X

X

X

X

X

167

SecurityType

FUT

FUT

FUT

OOF

OOF

OOF

MLEG

762

SecuritySubType

–

–

X

–

X

X

X

461

CFI Code

X

X

X

X

X

X

X

201

PutOrCall

–

–

–

X

–

–

–

462

UnderlyingProduct

X

X

X

X

–

–

–

207

SecurityExchange

X

X

X

X

X

X

X

1682

MDSecurityTradingStatus

c

c

c

c

c

c

c

202

StrikePrice

–

–

–

X

–

–

–

947

StrikeCurrency

–

–

–

X

–

–

–

15

Currency

X

X

X

X

X

X

X

120

SettlCurrency


 –

 -

c

–

–

–

9850

MinCabPrice

–

–

–

c

–

–

–

9779

UserDefinedInstrument

–

–

–

–

–

Y

Y

Underlying (options only)

711

NoUnderlyings

-

-

-

X

-

-

-

→311

UnderlyingSymbol

-

-

-

X

-

-

-

→309

UnderlyingSecurityID

-

-

-

X

-

-

-

→305

UnderlyingSecurityIDSource

-

-

-

X

-

-

-

Leg Group (spreads only)

555

NoLegs

-

-

X

-

X

X

X

→602

LegSecurityID

-

-

X

-

X

X

X

→624

LegSide

-

-

X

-

X

X

X

→623

LegRatioQty

-

-

X

-

X

X

X

→566

LegPrice

-

-

-

-

-

-

X

→1017

LegOptionDelta

-

-

-

-

-

-

X

Trading Rules

1141

NoMdFeedTypes

X

X

X

X

X

X

X

→1022

MDFeedType

X

X

X

X

X

X

X

→264

MarketDepth

X

X

X

X

X

X

X

864

NoEvents

2

2

2

2

2

2

2

→865

EventType

X

X

X

X

X

X

X

→1145

EventTime

X

X

X

X

X

X

X

1142

MatchAlgorithm

X

X

X

X

X

X

X

1234

NoLotTypeRules

X

X

X

X

X

X

X

→1093

LotType

X

X

X

X

X

X

X

→1231

MinLotSize

X

X

X

X

X

X

X

562

MinTradeVol

X

X

X

X

X

X

X

1140

MaxTradeVol

X

X

X

X

X

X

X

969

MinPriceIncrement

X

X

X

c

X

X

X

1146

MinPriceIncrementAmount

X

X

-

X

-

-

-

9787

DisplayFactor

X

X

X

X

X

X

X

5770

PriceRatio

(Implied Intercommodity Ratio Spreads only)

–

–

c

–

–

–

–

6350

TickRule

–

–

–

c

c

–

–

37702

MainFraction

c

–

–

c

–

–

–

37703

SubFraction

c

–

–

c

–

–

–

9800

PriceDisplayFormat

c

_

 – 

c

–

–

–

Instrument Attribute

870

NoInstAttrib

X

X

X

X

X

X

X

→871=24

InstAttribType

X

X

X

X

X

X

X

→872

InstAttribValue

X

X

X

X

X

X

X

Contract Lot Size / Measure / Unit

1435

ContractMultiplierUnit

-

X

-

-

-

-

-

1439

FlowScheduleType

-

X

-

-

-

-

-

231

ContractMultiplier

-

X

-

-

-

-

-

996

UnitOfMeasure

X

X

X

X

X

X

X

1147

UnitOfMeasureQty

X

X

-

X

-

-

-

5818

DecayQty

-

c

-

-

-

-

-

5819

DecayStartDate

-

c

-

-

-

-

-

5849

OriginalContractSize

-

c

-

-

-

-

-

Statistics and Limits

1150

TradingReferencePrice

c

c

c

c

c

c

c

731

SettlPriceType

c

c

c

c

c

c

c

5796

TradingReferenceDate

c

c

c

c

c

c

c

5792

OpenInterestQty

c

c

c

c

c

c

c

5791

ClearedVolume

c

c

c

c

c

c

c

1149

HighLimitPrice

c

c

c

c

c

c

c

1148

LowLimitPrice

c

c

c

c

c

c

c

1143

MaxPriceVariation

c

c

c

–

–

–

–


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Sample Files



AgricultureEnergyEquityForeign ExchangeInterest RatesMetalsSecDef
FIX (MDP 3.0)

   Futures

Corn 3/12/20

Light Sweet Crude Oil (WTI) 3/12/20


EUR/USD 3/12/20


Gold 1/02/20

Day of 3/12/20

Previous Sunday 3/08/20

Day of 1/02/20

Previous Sunday 12/29/19

   Future Spreads

Soybean 3/12/20


E-mini S&P 500 3/12/20

EUR/JPY 3/12/20


Gold 1/02/20

   Options


Light Sweet Crude Oil (WTI) 3/12/20


EUR/USD 3/12/20

Eurodollar 3/12/20


   Option Spreads


Henry Hub Natural Gas 1/02/20


JPY/USD 3/12/20



Fix

   Futures

Corn 7/15/13

Light Sweet Crude Oil (WTI) 7/15/13

E-Mini S&P 500 (Dollar) 7/15/13

British Pound 7/15/13

Eurodollar 7/15/13

Gold 7/15/13

Day of 7/15/13

Previous Sunday 7/14/13

   Options

Corn 7/15/13

Light Sweet Crude Oil (WTI) 7/15/13


British Pound 7/15/13

Eurodollar 7/15/13

Gold 7/15/13

RLC

   Futures

Corn 3/25/08


Light Sweet Crude Oil (WTI) 1/28/08


DJIA ($10) 1/28/08

EUR/JPY 1/28/08


Gold 1/28/08

Day of 1/28/08

Day of 3/25/08

Previous Monday 3/24/08


   Options


Light Sweet Crude Oil (WTI) 1/28/08

E-mini S&P 500 (Dollar) 1/28/08




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Layout Guides

View layout guides and message specifications for the following market data formats.

For best results, use right click + Save As to download each file.

CME MDP 3.0 (Current Production Format)

The CME Group Market Data Platform (MDP) disseminates event-based bid, ask, trade, and statistical data for CME Group markets and also provides recovery and support services for market data processing. Click below to access layout guide.

Legacy FIX Format (3/2/2009-9/27/2015)

CME Globex legacy market data is transmitted on a given Market Data Platform (MDP) channel in the FIX message format using FAST compression. Click below to access layout guide.

RLC Format

CME market data dated before 2009 is available in RLC formats. Identify the desired date range of RLC files to access layout guide.

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FAQ

 Market Depth Format

What format is the file delivered in?

Market Depth is delivered in various formats depending on the historical dates. Files can be delivered in RLC or FIX.

What is the precision level for timestamping in Market Depth?

Timestamp granularity will depend on the historical dates. The current form of market depth is delivered in nanosecond granularity.

What is the "Text (decoded)" file format?

This is the processed format of FIX Binary that is delivery in a readable text format similar to FIX Fast text.

Does Market Depth come from the same source as Top-of-Book and Time & Sales data?

No, our Market Depth files are produced from CME Globex Market Data Platform FIX/FAST feeds, while our Top-of-Book and Time & Sales data come from an internal post-trade processing system. The granularity of the timestamps for the data offerings is different due to the sources.

How is data aggregated? Is there a difference in aggregation between FIX/FAST and RLC formats?

Yes. RLC data aggregates partial fill trade messages to a single market data message whereas FIX/FAST sends out partial fills as individual trade messages. For example, a 100 lot trade that gets filled in four 25 lot partial fills would have been sent as a single 100 lot trade message in RLC, but four separate 25 lot trade messages in FIX/FAST.

 Market Depth Availability

How far back do you maintain Market Depth records?

The start date of Market Depth records depends on the product. View product start dates.

How many levels of depth are available? Has this depth changed over time?

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.

Are spreads included in the Market Depth files?

Market Depth for Exchange-listed spread products is included for both futures and options spreads.

Are NYMEX Crack Spreads included in Market Depth files?

Crack spreads are included in the Market Depth files. Like all other spreads, they will be uploaded to customer directories in a separate file whenever an order is placed for the outright futures contract. For example, if an order for Market Depth for the Heating Oil contract, a separate file will be included containing Market Depth information for the Heating Oil/Crude Oil Crack Spread.

How are spreads prices reflected in the Market Depth files?

The Market Depth records for exchange-listed spreads contain the price as it is entered through CME Globex, which is the spread differential price.

Do you have sample files available?

Yes. View sample files.

Are there any known data quality issues?

There is no volume and open interest messaging for February 23, 2018. For Bitcoin Futures, any files prior to the 12/17/2017 launch are not guaranteed.

 Market Depth Delivery

When are these files delivered?

CME Group’s process to distribute Market Depth files begins at 5:00 p.m. Central Time (CT) and is typically complete by midnight.

If I purchase daily updates of Market Depth data, will I get historical data as well?

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.

 Market Depth Interpretation

Where can I obtain Security Definitions for the data in the Market Depth data?

A security definition file is published daily and can be accessed here via ftp. A history of security definition files is also available by contacting the DataMine sales team at  CMEDataSales@cmegroup.com.

How do I interpret market depth data?

MD files include all bids and offers, 5 deep, including size.

How large are the Market Depth files?

The average MD file exceeds 1 gigabyte in size. However, it is largely dependent on how far back in time one goes, as well as the liquidity of the product


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