CME DataMine Post-Purchase Information

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yesterday at 11:01 AM
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Delivery Options

There are three different ways to access historical data purchases:

1) RESTful API data download service. A CME Group Login and API ID are required to access the data download API.

2) SFTP File Transfer. A CME Group Login and API ID are required to access the data download API.

3) Automatic S3 transfer.  User must have an AWS S3 bucket in order to perform this transfer.

To discuss other options for data delivery, please contact CMEDataSales@cmegroup.com.

API Delivery Set Up

  1. Log in to the CME Customer Center with your CME Group Login.

  2. From the navigation bar, click your CME Group Login, then click My Profile.

  3. Click API Management.

  4. Register for an API ID, and select the Type "Basic Auth" for basic authentication.

Data Download API

View information about accessing our RESTful API service.

List

You can query a list of entitled files using this API call, with optional criteria to limit the number of results returned. The maximum number of result from a list is 1000. If you have more results than the limit, you must use the paging links that are returned in the "paging" section as part of the response.

Name

Description

Required

Type

Name

Description

Required

Type

dataset

Dataset the user is querying.



Example: bbo, block, eod, md, tick (see reference section for remaps)

No

String

exchangecode

Exchange Code the data is requested for.



Example: xcme, xnym, xcbt, xcec, cmed, etc. (see reference section for remaps)

No

String

foiindicator

Future Option Indicator.



Possible values:

  • fut – Futures

  • opt – Options

  • idx – Indices

No

String

venue

The venue the product is traded in.



Possible values: 

  • rth - Regular trading hours

  • eth - Extended trading hours

  • otc - Clearport

No

String

productcode

CME Product Code



Example: cl, es, gs

No

String

yyyymmdd

CME trade date. Accepted format is yyyymmdd



Example: 20150131

No

String

limit

Amount of results per request. Maximum 1000 rows will be returned.



A paging information will return with offset information.

No

int

offset

Pagination mechanism



Use the offset returned by previous query for previous or next page.

No

int

firstfid

Alternative pagination mechanism



Use the firstfid returned in the paging section to query previous page

No

String

lastfid

Use the lastfid returned in the paging section to query next page

No

String

curl --user {{UNO_API_KEY}}:{{UNO_API_PASSWORD}} 'https://{{URL}}/cme/api/v1/list?{{criteria1}}={{val1}}&{{criteria2}}={{val2}}&{{criteriaN}}={{valN}}'



Curl Users:

curl --user API_JOHNSMITH:12345

'https://datamine.cmegroup.com/cme/api/v1/list?dataset=eod&exchangecode=xcec&yyyymmdd=20150130'



WGET Users:

wget --user API_JOHNSMITH -O- -q --password 12345 'https://datamine.cmegroup.com/cme/api/v1/list'



Response

Name

Description

Type

Name

Description

Type

Dataset

Dataset of the file

String

exchangecode

Exchange Code for the file

String

url

Fully qualified download URL

String

expiration

expiration date of file access

String

productcode

CME Product Code

String

yyyymmdd

CME trade date

String

checksum

MD5 Checksum for data

String

size

File size in KB

int

fid

Unique identifier for file

String

orderid

Order number

String

Name

Description

Type

Name

Description

Type

previous

Pre-populated link that will bring you to the previous page of result

String

next

Pre-populated link that will bring you to the next page of result

String

{

  "files": [

    {

      "dataset": "eod",

      "yyyymmdd": "20150130",

      "url": "http://localhost:8080/cme/api/v1/download?fid=20150130-eod_xcec_ali_fut_0-eth_p",

      "fid": "20150130-eod_xcec_ali_fut_0-eth_p",

      "orderid": "29",

      "exchangecode": "xcec",

      "productcode": "ali",

      "checksum": "c609f0a1091c693e759d46f1b8756f54",

      "size": 642,

      "expiration": "2016-06-10"

    },

    {

      "dataset": "eod",

      "yyyymmdd": "20150130",

      "url": "http://localhost:8080/cme/api/v1/download?fid=20150130-eod_xcec_ali_fut_0-eth_f",

      "fid": "20150130-eod_xcec_ali_fut_0-eth_f",

      "orderid": "31",

      "exchangecode": "xcec",

      "productcode": "ali",

      "checksum": "c609f0a1091c693e759d46f1b8756f54",

      "size": 642,

      "expiration": "2016-06-12"

    }

  ],

  "paging": {

    "previous": "http://datamine.cmegroup.com/cme/api/v1/list?limit=2&offset=0",

    "next": "http://datamine.cmegroup.com/cme/api/v1/list?limit=2&offset=3"

  }

}

**Please note that paging information is at the end of the response**

Download

You can download a file that you have access to using this api call.

Reference

Dataset

API value

Dataset

API value

Top-of-Book

BBO

Block Trades

BLOCK

End-of-day

EOD

Market Depth (FIX)

MD

Market Depth (RLC)

RLC

RLC-SecDef

RLCSECDEF

SecDef

SECDEF

Time & Sales

TICK

Exchange

API value

Exchange

API value

COMEX

XCEC

CBOT

XCBT

CME

XCME

NYMEX

XNYM

CMED

CMED

MGCB

MGCB

NYUM

NYUM

XKLS

XKLS

Web Browser API Calls



Sample API Calls

For Listing (can return multiple days, but you cannot specify a range)

For Normal Download (single day of single product)

For Batch Download (single day / all products)

USING CURL



Security Definition Files

SecDef Sample File

Click here to download a sample secdef file.

Layout Guides

For best results, use right click + Save As to download each file.

MDP 3.0 (Current Production Format)

The CME Group Market Data Platform (MDP) disseminates event-based bid, ask, trade, and statistical data for CME Group markets and also provides recovery and support services for market data processing. Click below to access layout guides.

Legacy FIX/FAST Format (3/2/2009-2016)

CME Globex legacy market data is transmitted on a given Market Data Platform (MDP) channel in the FIX message format using FAST compression. Click below to access layout guides.

RLC Format

CME market data dated before 2009 is available in RLC formats. Identify the desired date range of RLC files to access layout guides.

Top of Book - BBO

Time and Sales

End of Market Summary - Standard

Block Trades



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