Market Depth
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.
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
Format | Exchange | Open Date | Close 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.
Security Definition Files
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