Time and Sales files provide information on trades, as well as bids or offers that better the traded prices. This dataset contains the official record of trade times and prices, in addition to quantities on electronic trades only.

Contents

1 Dates Available
- 1.1 By Exchange
- 1.2 By Product
2 Sample Files
3 Layout Guides
4 FAQ

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

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.

Sample Files

V1 (Open Date of Exchange - 3/10/2025)

	Agriculture	Energy	Equity	Foreign Exchange	Interest Rates	Metals

	Agriculture	Energy	Equity	Foreign Exchange	Interest Rates	Metals
Futures	Corn \| 11/5/12	Light Sweet Crude Oil (WTI) \| 11/5/12	E-Mini S&P 500 (Dollar) \| 11/5/12	EUR/USD \| 11/5/12	Eurodollar \| 11/5/12	Gold \| 1/10/11
Options	Corn \| 11/5/12	Light Sweet Crude Oil (WTI) \| 11/5/12	E-Mini S&P 500 (Dollar) \| 11/5/12	EUR/USD \| 11/5/12	Eurodollar \| 11/5/12	Gold \| 1/10/11

V2 (3/11/2025 - Present)

	Agriculture	Energy	Equity	Foreign Exchange	Interest Rates	Metals	Crypto Currencies

Agriculture

Energy

Equity

Foreign Exchange

Interest Rates

Metals

Crypto

Currencies

Futures

Corn ZC | 03/12/25

Crude Oil (CL) | 03/12/25

E-Mini S&P 500 (ES) | 03/12/25

EUR/USD (6E) | 03/12/25

Three-Month SOFR (SR3) | 03/12/25

Gold (GC) | 03/12/25

Bitcoin (BTC) | 03/12/25

Options

Corn OZC | 03/12/252

Crude Oil (LO) | 03/12/25

E-Mini S&P 500 (ES) | 03/12/25

EUR/USD (EUU) | 03/12/25

Three-Month SOFR (SR3) | 03/12/252

Gold (OG) | 03/12/25

Bitcoin (BTC) | 03/12/25

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Layout Guides

Field Number	Data Field	Format	Description	Examples

Field Number	Data Field	Format	Description	Examples
A	Transaction__Date	Date: YYYY-MM-DD	Date of transaction	2025-02-26
B	Transaction_Time	Datetime: YYYY-MM-DDTHH:MM:SS:#########	Datetime of transaction to the nanosecond, in ISO 8601 format (UTC)	2025-02-26T23:10:25.833993999Z
C	Sequence_Number	Numeric	Sequence the quote or trade was entered into the system grouped by Ticker Symbol	919331
D	Ticker_Symbol	String	The globex product code	ES
E	Instrument_Symbol	String	Globex Contract / Instrument Code	ESH5
F	Security_ID	Numeric	Globex Security ID, joinable to CME Group Reference Data	752819
G	Future_Option_Index_Indicator	String: Futures (FUT) / Options (OPT) -	Indicates the type of market data	FUT or OPT
H	Delivery_Date	YYYYMM	Indicates the year and month the contract expires	202503
I	Put_Call_Indicator	String: Call (C) or Put (P)	Indicates the option type, where applicable for options	C or P
J	Strike_Price	Numeric	Indicates the option strike price, where applicable for options	5600
K	Market_Data_Report_Type	String: TRD or VOL	Indicates a trade entry (TRD), or volume record from implied orders (VOL)	TRD or VOL
L	Trade_Price_Formatted	String	Formatted trade price by applying either the globex display factor or fractional ticks. Null for implied trades (VOL market_data_report_type records)	2’23 or 12.5
M	Trade_Price_Decimal	Numeric	Clearing trade price. Null for implied trades (VOL market_data_report_type records)	2.359375 or 1250
N	Trade_Quantity	Numeric	Number of contracts traded. Null for implied trades (VOL market_data_report_type records)	2
O	Vol_Quantity	Numeric	Cumulative volume traded through day for the instrument or Globex contract code	505
P	Trade_Aggressor	String: Buyer (B) or Seller (A)	If there was a trade aggressor buyer or seller	B, A, or null
Q	Close_Open_Type	String	Marked O if Daily Open Price. Will be null for orders / OBS types. Can be O for TRD records	O or Null
R	User_Defined	String: (H) for CME Group-defined, (U) for User-Defined	If instrument was CME Group vs. User-defined	H or U
S	Exchange_Code	String	XCBT=Chicago Board of Trade XCME=Chicago Mercantile Exchange XNYM=New York Mercantile Exchange XCEC= COMEX (Commodities Exchange Center)	XCME

** Please note the Time and Sales data files do not include column headers. Please refer to this layout guide for column and field details. **

Field Number	Data Field	Format	Heading on Extract File	Description

Field Number	Data Field	Format	Heading on Extract File	Description
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 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

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.

What time zone is the data stamped to?

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.

Files from 03/11/2025 onwards are in UTC.

What is the timestamp granularity for each data type?

Time and Sales records have timestamps to the nanosecond for data after 3/11/2025. Data before then is timestamped 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.

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?

“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?

“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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	Agriculture	Energy	Equity	Foreign Exchange	Interest Rates	Metals
Futures	Corn \| 11/5/12	Light Sweet Crude Oil (WTI) \| 11/5/12	E-Mini S&P 500 (Dollar) \| 11/5/12	EUR/USD \| 11/5/12	Eurodollar \| 11/5/12	Gold \| 1/10/11
Options	Corn \| 11/5/12	Light Sweet Crude Oil (WTI) \| 11/5/12	E-Mini S&P 500 (Dollar) \| 11/5/12	EUR/USD \| 11/5/12	Eurodollar \| 11/5/12	Gold \| 1/10/11

CME Group Client Systems Wiki

Time and Sales

Dates Available

By Exchange

By Product

Sample Files

Layout Guides

FAQ

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