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This page describes the End of Market Summary - Basic Plus dataset for CME Group DataMine. Files are delivered once a day at midnight (12:00 AM CST), T+1. Files are only available on a day-to-day basis.
The content for the dataset may include daily Settlement Price, Volume, Open Interest, Open, High, Low, and Close (Delta for all options and Fixing Prices where applicable) data for all CME Group exchanges, broken out by Asset Class.
The data may be used by customers to calculate mark to market for end-of-day trades or positions they have on their books or for other business purposes on their end.
Dates Available
The files are available top day only. When the next day files are generated and posted, they overwrite the prior day’s files.
Sample Files
FAQ
End of Market Summary - Basic Plus Format
What format is the file delivered in?
Data is provided in .txt, .xml, and .csv format and may contain volume, open, close, high and low prices for CME Group products offerings.
Are files compressed?
Files are not compressed.
A
What dataset is onboarded to DataMine?
Daily Text formatted settlement price files (stl) that are published after midnight CST. File names are as follows:
- cbt.settle.e.YYYYMMDD.csv
- cbt.settle.e.YYYYMMDD.txt
- cbt.settle.e.YYYYMMDD.xml
- cbt.settle.s.YYYYMMDD.csv
- cbt.settle.s.YYYYMMDD.txt
- cbt.settle.s.YYYYMMDD.xml
- cme.settle.e.YYYYMMDD.csv
- cme.settle.e.YYYYMMDD.txt
- cme.settle.e.YYYYMMDD.xml
- cme.settle.s.YYYYMMDD.csv
- cme.settle.s.YYYYMMDD.txt
- cme.settle.s.YYYYMMDD.xml
- comex.settle.e.YYYYMMDD.csv
- comex.settle.e.YYYYMMDD.txt
- comex.settle.e.YYYYMMDD.xml
- comex.settle.s.YYYYMMDD.csv
- comex.settle.s.YYYYMMDD.txt
- comex.settle.s.YYYYMMDD.xml
- nymex.settle.e.YYYYMMDD.csv
- nymex.settle.e.YYYYMMDD.txt
- nymex.settle.e.YYYYMMDD.xml
- nymex.settle.s.YYYYMMDD.csv
- nymex.settle.s.YYYYMMDD.txt
- nymex.settle.s.YYYYMMDD.xml
SettleDeck Report Level Headers
| Order | Length | Values | Name |
|---|
| 0 | 1 | | SYMEX indicator |
| 1 | 4 | - substring(TCC ALIAS, 0,2) + "16" for SYMEX
- substring(OCC ALIAS,0,4 ) or " ", otherwise
| Commodity Code |
| 2 | 7 | - 9999999 If the contract is an option and its Ext Qual Code is CAB
- ******* if the high price is null
- high price without sign and scaled so that it is represented by an 7-digit integer
| High Price |
| 3 | 1 | if High Price exists, it can be either A fot ASK or B for BID. Otherwise, it is ' ' | High Ask/Bid |
| 4 | 7 | - 9999999 If the contract is an option and its Ext Qual Code is CAB
- ******* if the low price is null
- low price without sign and scaled so that it is represented by an 7-digit integer
| Low Price |
| 5 | 1 | if Low Price exists, it can be either A for ASK or B for BID. Otherwise, it is ' ' | Low Ask/Bid |
| 6 | 1 | just ' ' | Filler |
| 7 | 7 | - if the contract is an option and its prices is CAB, it will be 9999999
- If the contract doesn't have a valid settle price, it will be *******
- Otherwise, it will be the settle price scaled in a way it is represented by an integer value and without sign. If the integer value can be represented with few that 7 digits it will be padded with '0' for OTCC and SYMEX. Otherwise, it will be padded with ' '. In case the amount of digits is greater than 7, '0000000' will be written
| Settle Price |
| 8 | 1 | Just ' ' | Filler |
| 9 | 1 | - * if Settle Ext Qual Code is SPECL
- ' ', otherwise
| Special Settle |
| 10 | 1 | - Y, if it is FLEX
- N, Otherwise
| Flex |
| 11 | 8 | Period Code, or '00000000' if period code doesn't exist | Period Code |
| 12 | 1 | - If flex and Option
- A, if Exercise Ind = 'AMER'
- E, if Exercise Ind = 'EURO'
- ' ', Otherwise
| Exercise Method |
| 13 | 4 | - ' ', If delta price is NaN or product Type in [FWD,FUT,IRS,COMBO]
- delta price * 1000 rounded to closest integer and padded with '0'
| Delta |
| 14 | 4 | ' ' | Filler |
| 15 | 1 | Option Right Code | Option Right Code |
| 16 | 7 | - ' ', For Product Type in [FWD,FUT,IRS,COMBO]
- Strike Price without decimal point
| Strike Price |
| 17 | 4 | ' ' | Filler |
| 18 | 1 | - ' ' , if FLEX
- [1,2,3,4,5,6,7,8,9] or 0 for 10, - for 11 and & for 12
| Contract Month |
| 19 | 1 | - 0, if FLEX
- least significant digit form year field in period code
| Contract Year |
| 20 | 1 | - ' ', if Active
- *, Otherwise
| Active Indicator |
| 21 | 1 | - C, if High Price Ext Qual Code is CAB
- ' ', Otherwise
| High Price CAB |
| 22 | 1 | - C, if Low Price Ext Qual Code is CAB
- ' ', Otherwise
| Low Price CAB |
| 23 | 1 | - C, if Settle Price Ext Qual Code is CAB
- ' ', Otherwise
| Settle Price CAB |
| 24 | 1 | ' ' | Filler |
| 25 | <= 4 | - ' ', if Product Type in [FWD,FUT,IRS,COMBO]
- Weekly Code From Weekly Contract
| Underlying Contract Period |
| 26 | 4 | - ' ', if Product Type in [FWD,FUT,IRS,COMBO] or underlying commodity code is null
- Underlying commodity code padded with ' '
| Underlying Commodity Code |
| 27 | 4 | - ' ', if SYMEX,
- PRS Alias + QES Month Code + QES Year
| QES Code |
| 28 | 10 | TCC Code if NOT SYMEX | TCC Code |
| 29 | 10 | Underlying Commodity Code if NOT SYMEX | Underlying Commodity Code |
| 30 | 1 | high price sign, if not SYMEX nor OCC | High price Sign |
| 31 | 1 | low price sign, if not SYMEX nor OCC | Low price Sign |
| 32 | 1 | Settlement price sign, if nor SYMEX nor OCC | Settlement price Sign |
| 33 | 1 | - if not SYMEX nor OCC
- ' ' if Product Type in [FWD,FUT,IRS,COMBO]
- Strike Price
| Strike Price Sign |
| 34 | 8 | - if not SYMEX nor OCC
- ' ' if Product Type in [FWD,FUT,IRS,COMBO]
- Underlying Commodity Code padded with ' '
| Underlying Commodity Code |
| 35 | 14 | if not SYMEX nor OCC, Settle Price Padded with ' ' | Settle Price |
| 36 | 1 | - N, if amount of settlement price digits is lower than or equal to 7
- Y, Otherwise
|
|
End of Market Summary - Basic Plus Availability
How many files are available per day?
The database structure allows for one file per day, per product. Products must be individually subscribed to.
Are there any dates for which data is unavailable?
No.
What is the historical product availability?
December 3, 2022
End of Market Summary - Basic Plus Delivery
When are these files delivered?
Files are delivered once a day at midnight (12:00 AM CST), T+1. Files are only available on a day-to-day basis.
How large are these files?
Daily files average 2-50kb.
Is there a specific process that must be followed in order to use the data?
Six data files are delivered in a .txt, .xml, and .csv format. Customers need to utilize tools to process the data files.