CME Historical Market Depth Data on Google Cloud Platform
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:
Analytics Hub:
BigQuery:
Contents
Revision History
Date | Description |
|---|---|
6/14/2023 | Revised Onboarding section. |
12/1/2022 | Initial publication. |
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
CME Group Historical Market Depth Data
New York Mercantile Exchange 10 Level Order Book
Commodities Exchange Center 10 Level Order Book
Chicago Mercantile Exchange 10 Level Order Book
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_tsTime 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_tsSettlements
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_tsAccumulated Volume
SELECT tranaction_ts, glbx_sym,volume_qty, 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 = "MDV"
ORDER BY tranaction_tsHistorical Market Depth Data Schema
Order Book (v_orderbook_10_lvl_futuresandoptions)
Order Book Schema
Column Name | Data Type | Description | Values | Example | ||
|---|---|---|---|---|---|---|
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 | ||||
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