As of December 1, 2022, CME Historical Market Depth Data on Google Cloud Platform (GCP) is available for clients to access through Google BigQuery services and is easily discoverable through Google Analytics Hub. This service enables customer to query data from 2014 to the present day and can handle the heaviest workloads.

This topic provides a technical overview of CME Historical Market Depth Data on GCP.

For complete details regarding Google Cloud Services, including BigQuery and Analytics Hub, please refer to:

Service Accounts
Analytics Hub:
- Introduction to Analytics Hub
- Analytics Hub website
BigQuery:
- Query BigQuery Datasets
- BigQuery Pricing

Revision History

Date	Description

Date	Description
6/14/2023	Revised Onboarding section.
12/1/2022	Initial publication.

Key Events and Dates

Date	Milestone

Date	Milestone
12/1/2022	Production

Certification

Certification for Historical Market Depth Data on Google Cloud Platform is not required.

Onboarding

Customers access CME Group data products on Google Cloud (GCP) through any BigQuery discovery service, including Analytics Hub.

Customers interested in accessing the CME Historical Market Depth Data on GCP dataset should contact CME Group Data Sales, complete the Information License Agreement (if required) and pay the applicable fee.

Access Products

The following steps are required for onboarding and entitlements to the CME Historical Market Depth Data on GCP dataset in BigQuery:

Confirm/Obtain your CME Group Login ID. See additional information about creating a CME Group Login account as needed.
Confirm/Obtain your Google Cloud account and Project. Navigate to cloud.google.com to login.
From your Google Account, select the Google Cloud menu (
), then navigate to BigQuery > AnalyticsHub.
Select Search Listings.
Enter "CME Group" and select from the following products
1. CME Group Historical Market Depth Data
2. New York Mercantile Exchange 10 Level Order Book
3. Commodities Exchange Center 10 Level Order Book
4. Chicago Mercantile Exchange 10 Level Order Book
5. Chicago Board of Trade 10 Level Order Book
Select Request Access to begin the licensing workflow to fill out the Schedule 6 and share your Google account to gain access.

Sample Queries

This T+1 service gives customers the ability to directly access the CME database from January 2014 to the present day. After gaining access, customers will be able to streamline data into other cloud services, such as Google Sheets, BigQuery Machine Learning and Google Vertex AI,etc.

The historical market depth dataset contains 3 different data tables:

Statistics: Data examples include Settlements, Open, High, Low, Close, aggregated volume

Depth of Book: All market data for 10 Levels deep in futures and 5 level deep in options.

Quotes: User Defined Spread data. Customers can query when instruments were RFQ'd.

These tables allow customers to recreate the book or easily query for Top of Book or Time and Sales. More advance users will be able to extract market analytics such as 200 MA, TWAP, and VWAP, etc., from these two tables.

Top of Book

SELECT transaction_ts, glbx_sym, bid_level_1_qty,bid_level_1_px,ask_level_1_px,ask_level_1_qty
FROM customersProject.prod_cme_globex_10_level_order_book.v_orderbook_10_lvl_futuresandoptions
WHERE cycle_date = "2022-09-09"
AND glbx_sym= "MBTU2"
ORDER BY transaction_ts

Time and Sales (Trades)

SELECT transaction_ts,glbx_sym,last_trade_px, last_trade_qty
FROM customersProject.prod_cme_globex_10_level_order_book.v_orderbook_10_lvl_futuresandoptions
WHERE cycle_date = "2022-09-09"
AND glbx_sym= "BTCU2"
and rpt_type = 'TRD'
ORDER BY transaction_ts

Settlements

SELECT tranaction_ts, glbx_sym,settle_px, security_type,transaction_ts_hour
FROM customersProject.prod_cme_globex_10_level_order_book.v_statistics_futuresandoptions
WHERE cycle_date between "2022-08-01" AND "2022-08-31"
AND glbx_sym = "MBTZ2"
AND rpt_type = "SETL"
AND transaction_ts_hour= 20
ORDER BY tranaction_ts

Accumulated Volume

Historical Market Depth Data Schema

Order Book (v_orderbook_10_lvl_futuresandoptions)

Order Book Schema

Column Name	Data Type	Description	Values	Example
Column Name	Data Type	Description	Values	Order Book Snapshot	Implied Order Book Snapshot	Trade
transaction_ts_nanos	INT	Nanosecond portion of timestamp		360885579	138139943	205200529
transaction_ts	Timestamp	Transaction Time To The Nearest Microsecond UTC		2022-09-27 02:58:45.360885 UTC	2022-09-27 03:37:46.138139 UTC	2022-09-26 15:56:04.205200 UTC
rpt_seq_nbr	VARCHAR	Message Sequence Number		8559	49119	11762834
px_quote_ccy	VARCHAR	Currency Code	3-Letter ISO Code	USD	JPY	USD
contract_period	VARCHAR	Maturity Month/Year		202211	202303	202212
glbx_security_id	VARCHAR	Security ID		51623	218	206323
glbx_sym	VARCHAR	Symbol		BTCX2-BTCZ2	NIYH3	ESZ2
security_type	VARCHAR	Security Type	OPT=Option, FUT=Future, MLEG=Spreads	FUT	FUT	FUT
und_sec_type	VARCHAR	Underlying Product Type	OPT=Option, FUT=Future, MLEG=Spreads	NONE	NONE	NONE
market_segment_id	VARCHAR	Market Segment ID		74	68	64
last_trade_aggressor_side_ind	VARCHAR	Trade Aggressor Side		null	null	B
last_trade_qty	DECIMAL(22.9)	Trade Quantity		null	null	null
session_high_px	DECIMAL(22.9)	Session High Trade Price		null	null	373050
session_high_px_display	VARCHAR	Session High Trade Price Display		null	null	3730.5
session_low_px	DECIMAL(22.9)	Session Low Trade Price		null	null	367150
session_low_px_display	VARCHAR	Session Low Trade Price Display		null	null	3671.5
last_trade_px	VARCHAR	Last Trade Price Display		null	null	3694
last_trade_px_display	DECIMAL(22.9)	Last Trade Price		null	null	369400
rpt_type	VARCHAR	Archived Market Data Row Type (Used By Client To Filter)	OBS = Order Book Snapshot, TRD=Trade	OBS	OBS	TRD
implied_book_ind	VARCHAR	Implied Book Indicator	Y=Implied Snapshot, N=Not Implied	N	Y	N
user_defined_ind	VARCHAR	Is Instrument User Defined Spread?	H=CME, U=User Defined	H	H	H
ask_level_1_px	DECIMAL(22.9)	level1askprice		28	26335	null
ask_level_1_px_display	VARCHAR	level1askdisplayprice		28	26335	null
ask_level_1_qty	DECIMAL(22.9)	level1askquantity		1	1	null
ask_level_1_order_count	INT	level1askorder		1	0	null
bid_level_1_px	DECIMAL(22.9)	level1bidprice		16	26230	null
bid_level_1_px_display	VARCHAR	level1biddisplayprice		16	26230	null
bid_level_1_qty	DECIMAL(22.9)	level1bidquantity		2	1	null
bid_level_1_order_count	INT	level1bidorder		2	0	null
ask_level_2_px	DECIMAL(22.9)	level2askprice		45	26340	null
ask_level_2_px_display	VARCHAR	level2askdisplayprice		45	26340	null
ask_level_2_qty	DECIMAL(22.9)	level2askquantity		2	1	null
ask_level_2_order_count	INT	level2askorder		1	0	null
bid_level_2_px	DECIMAL(22.9)	level2bidprice		14	26225	null
bid_level_2_px_display	VARCHAR	level2biddisplayprice		14	26225	null
bid_level_2_qty	DECIMAL(22.9)	level2bidquantity		2	1	null
bid_level_2_order_count	INT	level2bidorder		1	0	null
ask_level_3_px	DECIMAL(22.9)	level3askprice		55	0	null
ask_level_3_px_display	VARCHAR	level3askdisplayprice		55	0	null
ask_level_3_qty	DECIMAL(22.9)	level3askquantity		1	0	null
ask_level_3_order_count	INT	level3askorder		1	0	null
bid_level_3_px	DECIMAL(22.9)	level3bidprice		13	0	null
bid_level_3_px_display	VARCHAR	level3biddisplayprice		13	0	null
bid_level_3_qty	DECIMAL(22.9)	level3bidquantity		1	0	null
bid_level_3_order_count	INT	level3bidorder		1	0	null
ask_level_4_px	DECIMAL(22.9)	level4askprice		57	0	null
ask_level_4_px_display	VARCHAR	level4askdisplayprice		57	0	null
ask_level_4_qty	DECIMAL(22.9)	level4askquantity		2	0	null
ask_level_4_order_count	INT	level4askorder		1	0	null
bid_level_4_px	DECIMAL(22.9)	level4bidprice		11	0	null
bid_level_4_px_display	VARCHAR	level4biddisplayprice		11	0	null
bid_level_4_qty	DECIMAL(22.9)	level4bidquantity		1	0	null
bid_level_4_order_count	INT	level4bidorder		1	0	null
ask_level_5_px	DECIMAL(22.9)	level5askprice		59	0	null
ask_level_5_px_display	VARCHAR	level5askdisplayprice		59	0	null
ask_level_5_qty	DECIMAL(22.9)	level5askquantity		1	0	null
ask_level_5_order_count	INT	level5askorder		1	0	null
bid_level_5_px	DECIMAL(22.9)	level5bidprice		10	0	null
bid_level_5_px_display	VARCHAR	level5biddisplayprice		10	0	null
bid_level_5_qty	DECIMAL(22.9)	level5bidquantity		1	0	null
bid_level_5_order_count	INT	level5bidorder		1	0	null
ask_level_6_px	DECIMAL(22.9)	level6askprice		64	null	null
ask_level_6_px_display	VARCHAR	level6askdisplayprice		64	null	null
ask_level_6_qty	DECIMAL(22.9)	level6askquantity		2	null	null
ask_level_6_order_count	INT	level6askorder		1	null	null
bid_level_6_px	DECIMAL(22.9)	level6bidprice		5	null	null
bid_level_6_px_display	VARCHAR	level6biddisplayprice		5	null	null
bid_level_6_qty	DECIMAL(22.9)	level6bidquantity		1	null	null
bid_level_6_order_count	INT	level6bidorder		1	null	null
ask_level_7_px	DECIMAL(22.9)	level7askprice		67	null	null
ask_level_7_px_display	VARCHAR	level7askdisplayprice		67	null	null
ask_level_7_qty	DECIMAL(22.9)	level7askquantity		1	null	null
ask_level_7_order_count	INT	level7askorder		1	null	null
bid_level_7_px	DECIMAL(22.9)	level7bidprice		0	null	null
bid_level_7_px_display	VARCHAR	level7biddisplayprice		0	null	null
bid_level_7_qty	DECIMAL(22.9)	level7bidquantity		2	null	null
bid_level_7_order_count	INT	level7bidorder		2	null	null
ask_level_8_px	DECIMAL(22.9)	level8askprice		68	null	null
ask_level_8_px_display	VARCHAR	level8askdisplayprice		68	null	null
ask_level_8_qty	DECIMAL(22.9)	level8askquantity		1	null	null
ask_level_8_order_count	INT	level8askorder		1	null	null
bid_level_8_px	DECIMAL(22.9)	level8bidprice		-56	null	null
bid_level_8_px_display	VARCHAR	level8biddisplayprice		-56	null	null
bid_level_8_qty	DECIMAL(22.9)	level8bidquantity		1	null	null
bid_level_8_order_count	INT	level8bidorder		1	null	null
ask_level_9_px	DECIMAL(22.9)	level9askprice		74	null	null
ask_level_9_px_display	VARCHAR	level9askdisplayprice		74	null	null
ask_level_9_qty	DECIMAL(22.9)	level9askquantity		1	null	null
ask_level_9_order_count	INT	level9askorder		1	null	null
bid_level_9_px	DECIMAL(22.9)	level9bidprice		-90	null	null
bid_level_9_px_display	VARCHAR	level9biddisplayprice		-90	null	null
bid_level_9_qty	DECIMAL(22.9)	level9bidquantity		1	null	null
bid_level_9_order_count	INT	level9bidorder		1	null	null
ask_level_10_px	DECIMAL(22.9)	level10askprice		78	null	null
ask_level_10_px_display	VARCHAR	level10askdisplayprice		78	null	null
ask_level_10_qty	DECIMAL(22.9)	level10askquantity		1	null	null
ask_level_10_order_count	INT	level10askorder		1	null	null
bid_level_10_px	DECIMAL(22.9)	level10bidprice		-110	null	null
bid_level_10_px_display	VARCHAR	level10biddisplayprice		-110	null	null
bid_level_10_qty	DECIMAL(22.9)	level10bidquantity		1	null	null
bid_level_10_order_count	INT	level10bidorder		1	null	null
clr_sym	VARCHAR	Asset Code		BTC	NIY	ES
trading_status_ind	VARCHAR	Trade type DailyOpeningPrice is the only possible value		null	null
transaction_ts_hour	VARCHAR	The hour of day the message was produced		2	3	15
transaction_ts_display	VARCHAR	String Representation Of Transaction Time To The Nearest Nanosecond		2022-09-27 02:58:45.360885579 UTC	2022-09-27 03:37:46.138139943 UTC	2022-09-26 15:56:04.205200529 UTC
cycle_date	VARCHAR	Cycle Date, this is populated by the transaction time on the messages yyyy-MM-dd		2022-09-26	2022-09-26	2022-09-26
exchange_mic	VARCHAR	Exchange	XCBT=Chicago Board of Trade XCME=Chicago Mercantile Exchange XNYM=New York Mercantile Exchange XCEC= COMEX (Commodities Exchange Center) NYUM=XNYM-DUMX inter-exchange spread MGCB=XMGE-XCBT inter-exchange spread CBCM=XCME-XCBT inter-exchange spread XFXS=CME FX Link spread GLBX=FX Spot leg	XCME	XCME	XCME
underlying_product	VARCHAR	Asset sub class, e.g. Energy, Equitiy, Interest Rates	2=Commodity/Agriculture 4=Currency 5=Equity 6=Government 10=Mortgage 12=Other 13=Financing 14=Interest Rate 15=FX Cash 16=Energy 17=Metals	Equity	Equity	Equity

Statistics (v_statistics_futuresandoptions)

Statistics Schema

Column Name	Data Type	Description	Values	Example
Column Name	Data Type	Description	Values	Settlements	Trade Volume	Indicative Opening Price	Opening Summary
px_quote_ccy	VARCHAR	Currency Code	3-Letter ISO Code	USD	USD	USD	USD
rpt_seq_nbr	INT	Message Sequence Number		2089762	1618958	612157	75084269
market_segment_id	VARCHAR	Market Segment ID		74	74	74	74
contract_period	VARCHAR	Maturity Month/Year		202212	202212	202212	202212
transaction_ts_nanos	INT	Nanosecond portion of timestamp		961243279	282900153	201095677	87994367
glbx_security_id	VARCHAR	Security ID		49745	49745	49745	49745
security_type	VARCHAR	Security Type	OPT=Option, FUT=Future, MLEG=Spreads	FUT	FUT	FUT	FUT
glbx_sym	VARCHAR	Symbol		BTCZ2	BTCZ2	BTCZ2	BTCZ2
indicative_opening_px	DECIMAL(22.9)	Indicative Opening Price				18705
transaction_ts	Timestamp	Transaction Time To The Nearest Nanosecond		2022-09-30 21:37:30.961243 UTC	2022-09-30 07:13:07.282900 UTC	2022-09-25 23:04:01.201095 UTC	2022-09-30 12:25:59.087994 UTC
user_defined_ind	VARCHAR	Is Instrument User Defined Spread?	H=CME, U=User Defined	H	H	H	H
clr_sym	VARCHAR	Asset Code		BTC	BTC	BTC	BTC
settle_px_display	VARCHAR	Settlement Price - Formatted		19470
settle_px	DECIMAL(22.9)	Settlement Price - Decimal		19470
volume_qty	DECIMAL(22.9)	Volume Quantity			5
session_high_px	VARCHAR	Session High Price - Formatted					0
session_high_px_display	DECIMAL(22.9)	Session Low Price - Decimal					0
session_low_px	VARCHAR	Session Low Price - Formatted					19470
session_low_px_display	DECIMAL(22.9)	Session Low Price - Decimal					19470
settle_dt	DATE	Settlement Date		30/09/2022
rpt_type	VARCHAR	Archived Market Data Row Type (Used By Client To Filter)	IOP=Indicative Opening Price, MDV=Trade Volume, SETL= Settlements, OPNS=Opening Summary	SETL	MDV	IOP	OPNS
transaction_ts_hour	INT	The hour of day the message was produced		21	7	23	12
exchange_mic	VARCHAR	Exchange	XCBT=Chicago Board of Trade XCME=Chicago Mercantile Exchange XNYM=New York Mercantile Exchange XCEC= COMEX (Commodities Exchange Center) NYUM=XNYM-DUMX inter-exchange spread MGCB=XMGE-XCBT inter-exchange spread CBCM=XCME-XCBT inter-exchange spread XFXS=CME FX Link spread GLBX=FX Spot leg	XCME	XCME	XCME	XCME
underlying_product	VARCHAR	Asset sub class, e.g. Energy, Equitiy, Interest Rates	2=Commodity/Agriculture 4=Currency 5=Equity 6=Government 10=Mortgage 12=Other 13=Financing 14=Interest Rate 15=FX Cash 16=Energy 17=Metals	Equity	Equity	Equity	Equity
transaction_ts_display	VARCHAR	String Representation Of Transaction Time To The Nearest Nanosecond
cycle_date	VARCHAR	Cycle Date, this is populated by the transaction time on the messages yyyy-MM-dd		30/09/2022	30/09/2022	25/09/2022	30/09/2022

Quotes Table (v_quote_request_futuresandoptions)

Quotes Schema

Column Name	Data Type	Description	Values	Example
Column Name	Data Type	Description	Values	Possible Values	Quote
rpt_type	VARCHAR	Archived Market Data Row Type (Used By Client To Filter)		QREQ=Quotes	QREQ
transaction_ts	Timestamp	Transaction Time To The Nearest Nanosecond			2022-09-27 11:55:08.526788 UTC
transaction_ts_nanos	INT	Nanosecond portion of timestamp			526788031
glbx_sym	VARCHAR	Symbol			UD:0A: 12 0927869730
security_type	VARCHAR	Security Type	OPT=Option, FUT=Future, MLEG=Spreads	OPT=Option, FUT=Future, MLEG=Spreads	OPT
glbx_security_id	VARCHAR	Security ID			869730
px_quote_ccy	VARCHAR	Currency Code	3-Letter ISO Code	3-Letter ISO Code	USD
user_defined_ind	VARCHAR	Is Instrument User Defined Spread?	H=CME, U=User Defined	H=CME, U=User Defined	U
contract_period	VARCHAR	Maturity Month/Year			202210
market_segment_id	VARCHAR	Market Segment ID			88
quote_req_id	VARCHAR	Quote Request ID			CME00869730288506535
order_qty	DECIMAL(22.9)	Order Quantity			0
side_ind	VARCHAR	Side	Buy, Sell, Cross, N/A	Buy, Sell, Cross, N/A	N/A
quote_type	VARCHAR	Quote Type	TR=Tradeable	TR=Tradeable	TR
clr_sym	VARCHAR	Asset Code			ADU
transaction_ts_hour	INT	The hour of day the message was produced			11
exchange_mic	VARCHAR	Exchange	XCBT=Chicago Board of Trade XCME=Chicago Mercantile Exchange XNYM=New York Mercantile Exchange XCEC= COMEX (Commodities Exchange Center) NYUM=XNYM-DUMX inter-exchange spread MGCB=XMGE-XCBT inter-exchange spread CBCM=XCME-XCBT inter-exchange spread XFXS=CME FX Link sp	XCBT=Chicago Board of Trade XCME=Chicago Mercantile Exchange XNYM=New York Mercantile Exchange XCEC= COMEX (Commodities Exchange Center) NYUM=XNYM-DUMX inter-exchange spread MGCB=XMGE-XCBT inter-exchange spread CBCM=XCME-XCBT inter-exchange spread XFXS=CME FX Link spread GLBX=FX Spot leg	XCME
underlying_product	VARCHAR	Asset sub class, e.g. Energy, Equitiy, Interest Rates	2=Commodity/Agriculture 4=Currency 5=Equity 6=Government 10=Mortgage 12=Other 13=Financing 14=Interest Rate 15=FX Cash 16=Energy 17=Metals	2=Commodity/Agriculture 4=Currency 5=Equity 6=Government 10=Mortgage 12=Other 13=Financing 14=Interest Rate 15=FX Cash 16=Energy 17=Metals
transaction_ts_display	VARCHAR	String Representation Of Transaction Time To The Nearest Nanosecond
cycle_date	VARCHAR	Cycle Date, this is populated by the transaction time on the messages yyyy-MM-dd			27/09/2022

Contact Information

For Service Procurement Inquiries, please contact CMEDataSales@cmegroup.com
For Customer Support, please contact GCC@cmegroup.com

CME Group Client Systems Wiki

CME Historical Market Depth Data on Google Cloud Platform

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