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Time and Sales datasets contain the official record of trade times and prices, in addition to quantities on electronic trades only.

Contents

Other Datasets

Resources

Dates Available

Time and Sales data is available on four exchanges in CSV format from as early as 1982.

By Exchange


Exchange

Open Date

Close Date

CME

Electronic

Pit


6/26/1992

1/4/1982


Present

Present

CBOT

Electronic

Pit


11/23/2003

1/2/1995


Present

Present

NYMEX

Electronic

Pit


12/1/1999

12/1/1999


Present

11/25/2019

COMEX

Electronic

Pit


12/1/1999

12/1/1999


Present

Present

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By Product

Filter availability by product here.

Layout Guides

 Time and Sales CSV format

**Effective from Nov 30, 2024 going forward**

Field Number

Data Field   

Format  

Heading on Extract FileDescription
A

Trade Transaction Date

YYYY-MM-DD

Trade Transaction Date

Calendar date of the record

B

Trade Transaction Time

HH:MM:SS

Trade Transaction Time

Time in UTC

C

Hour

HH

Hour

Hour portion of the Trade Transaction Time record

D

Trade Sequence Number

Numeric

Trade Sequence Number


E

Ticker Symbol

Alphanumeric

Ticker Symbol

Product Code

F

Instrument Symbol

Alphanumeric

Instrument Symbol

Globex symbol.  In addition to outright symbols, this will include spreads and strategies for the associated product code

G

Future Option Index Indicator

Alphanumeric

Future Option Index Indicator

FUT is futures, OPT is options

H

Contract Delivery Date

YYYYMM

Contract Delivery Date


I

Trade Quantity

Numeric

Trade Quantity

This value can be blank for certain record types

J

Vol Qty

Numeric

Vol Qty

Running total of quantity traded for the trade date

K

Type

Alphanumeric

Type

TRD is a trade, VOL is a volume update

L

Strike Price

Numeric

Strike Price


M

Trade Price

Numeric

Trade Price

CBOT products will display fractional prices - for example 118’4.  All other exchanges will display decimal prices

N

Close Open Type

Alphanumeric

Close Open Type

Indicator for Open (O) trade for the trade date

O

Entry Date

YYYY-MM-DD

Entry Date


P

Exchange Code

Alphanumeric

Exchange Code


 Time and Sales CSV format

**Effective for dates prior to Nov 30, 2024**

Field Number

Data Field   

Format  

Heading on Extract FileDescription
A

Trade Date

YYYYMMDD

T.Date


B

Trade Time

HHMMSS

T.Time


C

Trade Sequence Number

Numeric

Sequence


D

Session Indicator

E,R

Session Ind


E

Ticker Symbol

Alphanumeric

Symbol


F

Future/Option/Index Indicator

F,P,C,I

C/P/F


G

Contract Delivery Date

YYMM

Contract Delivery


H

Trade Quantity

Numeric

Volume


I

Strike Price

Numeric

Strike Price


J

Trade Price

Numeric

T.Price


K

Ask Bid Type

Alphanumeric

A/B

Indicates for Bids (B)/ Offers (A)

N= Nominal Price (same as previous price)

D= Cabinet Ask

L

Indicative Quote Type

Alphanumeric

IND

Indicative Market Quotes (I)
M

Market Quote

Alphanumeric

MKQ

Indicator for Market Quotes (M)
N

Close Open Type

Alphanumeric

C/O

Indicator for Open (O)/ Close (C)
O

Valid Open Exception

Alphanumeric

VOE

Indicator for Special Open (O)

2 through 5= Open Exception

Signifies the numb of reopens of the market

P

Post Close

Alphanumeric

PC

Indicator for prices traded after the market close (P)

Y= Yes, Post Close

Q

Cancel Code Type

Alphanumeric

CAN

Indicator for canceled prices (error)

C= Cancel Quote

X= Corrected Cancelled Quote

R

Insert Code Type

Alphanumeric

INS

Indicator for Inserted Prices (I)

I= Inserted Quote/ Trade

S

Fast Late Indicator

Alphanumeric

F/L

Indicator for Fas/ Late Market

F= Fast

B= Fast and Late at the same time

T= Time is the reason for fast/last condition

T

Cabinet Indicator

Alphanumeric

CAB

Indicator for cabinet trades

C= Cabinet Trade

Z= True Zero Price

-= Negative Cab Price

0-9= CAB 0 through CAB 9

U

Book Indicator

Alphanumeric

BKI

Indicator for Book Quotes (B)

A= Ask

B= Bid

V

Entry Date

YYYYMMDD

Entry Date


W

Exchange Code

Alphanumeric

exch_code


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FAQ

 T&S Availability

How far back do you maintain Time & Sales records?

The start date of Time & Sales records is dependent on the product, the oldest of which dates back to 1982. Product start dates can be found here.

Why is there no volume in my Time & Sales Regular Trade Session (pit) files?

Regular trade session files for T&S data from CME and CBOT do not have volume statistics as trade quantities are not recorded on a transaction-by-transaction basis.

Are bids and asks included in Time and Sales files?

No.

If I purchase daily updates of Time & Sales data, will I get historical data as well?

No. When an order is placed for daily updates of Time & Sales data, the first file included will be generated for the start date of the subscription. However, files are maintained in customer API directories for 30 days, enabling the customer to reference previous day’s data.

 T&S Format

What time zone is the data stamped to?

For files prior to Nov 30, 2024, NYMEX/COMEX T&S data is in Eastern Time (ET) until April 27, 2007 when it was converted to CT. CME/CBOT T&S data is in CT.  For files after Nov 30, 2024, timestamps are UTC.

What is the timestamp granularity for each data type?

Time and Sales records have timestamps to the second.

How are trades within the same second aggregated in T&S data?

Trades that happen in the same second are each given a specific sequence number and are ordered in the same sequence that they were sent out over the market data feed.

 T&S Interpretation

Why am I seeing a volume discrepancy between my EOD and Time and Sales (T&S) data?

There can be differences in volumes due to inclusion/exclusion of trade quantities from different venues and trade types.

What is the significance of the trade sequence number?

The trade sequence number lists the order of records in the Time and Sales file. It does not correlate to the FIX sequence number. Each tradable product in the Time and Sales file has its own sequence number and every new file sent each day has a new set of sequence numbers.

What do the field headings mean?

Time and Sales headers display Commodity, Trade Date, Time and Price. For CME Globex Time and Sales, Quantity is added to the aforementioned headers.

Why is there no volume associated with RTH commodities?

RTH is an Open Outcry environment. Volume is not reported for any transaction. Only time and price are entered into the price reporting system by the market reporter.

What is sequence of record in these files?

These files are derived from FIX protocol.  Therefore, the sequence number is the official record of sequence.  A user should always sort by sequence number and not timestamp when using these files.

What does an “I” stand for in files prior to Nov 30, 2024?

“I” represents an Inserted price. A price may be inserted when there is a gap in the sequence of executed trades.

What does it mean for ETH ticks to have volume of 0?

An ETH tick with volume quantity of “0” indicates no trade was executed. This record is an example of an indicative price quote; that is, no trade occurred, but the market is “indicated”.

What does the “X” or “C” stand for in files prior to Nov 30, 2024?

“X” represents a cancelled price and “C” represents a corrected price.

How can I make a chart using this data?

You must have software designed for charting to import the data files.

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