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MBO FIX

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Market By Order (MBO) files provide all market data messages required to recreate the book.  The consumer can see every level of every order in the book, as well as trade data for all CME Globex- traded products.  MBO FIX data is available order by order, time stamped to the millisecond, and is in FIX format.

Contents

Other Datasets

Resources

Dates Available

MBO FIX data is available on four exchanges from January 2017 to present and all files are in FIX format.

By Exchange


Exchange

Open Date

Close Date

CME (Electronic)

5/13/2017

Present

CBOT (Electronic)

4/1/2017

Present

NYMEX (Electronic)

1/7/2017

Present

COMEX (Electronic)

1/7/2017

Present


*Please note that the MBO rollout was staged over the first half of 2017.  For more information on release dates, please visit the MBO FIX Availability section below.



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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 Group

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 RatesMetals
MBO FIX (MDP 3.0)

   Futures

Corn

Crude Oil 

E-mini S&P 500

EUR/USD

Eurodollar

Gold 

   Options


Corn Crude Oil E-mini S&P 500 EUR/USD Eurodollar  

Gold  

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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.



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FAQ

 MBO Format

What format is the file delivered in?

MBO FIX is delivered in FIX format.

What is the precision level for timestamping in MBO?

MBO FIX 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 MBO come from the same source as Top-of-Book and Time & Sales data?

No, our MBO 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.

 MBO Availability

How far back do you maintain MBO records?

ChannelChannel DescriptionStart DateEnd Date
310CME Globex Equity Futures5/20/2017Present
311CME Globex Equity Options5/20/2017Present
312CME Globex Interest Rate Futures5/20/2017Present
313CME Globex Interest Rate Options5/20/2017Present
314CME Globex FX Futures5/13/2017Present
315CME Globex FX Options5/13/2017Present
316CME Globex Commodity Futures5/13/2017Present
317CME Globex Commodity Options5/13/2017Present
318CME Globex Equity Futures- excludes E-mini S&P 5005/13/2017Present
319CME Globex Equity Options- excludes E-mini S&P 5005/20/2017Present
320CME Globex FX Futures II5/13/2017Present
321CME Globex FX Options II5/13/2017Present
340CBOT Globex Commodity Futures4/1/2017Present
341CBOT Globex Commodity Options4/1/2017Present
342CBOT Globex Equity Index Futures4/22/2017Present
343CBOT Globex Equity Index Options4/22/2017Present
344CBOT Globex Interest Rate Futures4/22/2017Present
345CBOT Globex Interest Rate Options4/22/2017Present
346CBOT Globex Commodity Futures II4/1/2017Present
360COMEX Globex Futures1/7/2017Present
361COMEX Globex Options1/7/2017Present
380NYMEX Globex Emissions Futures1/7/2017Present
381NYMEX Globex Emissions Options1/7/2017Present
382NYMEX Globex Crude & Crude Refined Futures1/21/2017Present
383NYMEX Globex Crude & Crude Refined Options1/7/2017Present
384NYMEX Globex Metals, Softs, & Alternative Market Futures1/7/2017Present
385NYMEX Globex Metals, Softs, & Alternative Market Options1/7/2017Present
386NYMEX Globex Nat Gas & other Non-Crude Energy Futures1/7/2017Present
387NYMEX Globex Nat Gas & other Non-Crude Energy Options1/7/2017Present

What product is a channel on?

Please reference the page posted here to find out what MDP channel each product is on.  Please not the channel is listed in column AC.

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

MBO has the Full depth of book. This has not changed over time.

Are spreads included in the MBO files?

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

Are NYMEX Crack Spreads included in MBO files?

Crack spreads are included in the MBO 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 MBO information for the Heating Oil/Crude Oil Crack Spread.

How are spreads prices reflected in the MBO files?

The MBO 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.

 MBO 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 MBO data, will I get historical data as well?

No. When an order is placed for daily updates of MBO 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.

 MBO Interpretation

Where can I obtain Security Definitions for the data in the MBO data?

A security definition file is published daily and sent to you with the MBO file.

How do I interpret MBO data?

MBO files include all bids and offers, full depth of the book.

How large are the MBO files?

The average MBO 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

Why is a specific product missing packet level sequence numbers?

The packet level sequence numbers are missing because they were assigned to another product at the PCAP level.

Should I be missing instrument level sequence numbers (Tag83)?

No, all instrument level sequence numbers should be in each file.

Will I see heartbeat messages?

No, you will not see these messages.

Can trade summaries be split into different files?

Yes, if a strategy is traded, the summary will be split between the outright file and the strategy file.

Should an Order ID (Tag37) change during the life of an order?

No, tag37 should stay the same for each order until it has been cancelled or filled.  If there is any modification other than a cancel or fill the Order ID stays the same.

Should orders be tied to implied prices?

No, orders are not tied to implied prices.




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