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Packet Capture Dataset

Packet Capture Dataset

Market Data Packet Captures (PCAP) are the complete historical raw data feeds on all channels for both futures and options from the channels' MBO release. The Settlements and Valuations channel is a new channel available in PCAP format. 

Dates Available

Packet Capture data is available on four exchanges from January 2017 to present and all files are in FIX format. For the availability of each Channel please reference the FAQs below.

Please note that CME Term SOFR will not be available on Channel 312 after January 8th.

 

By Exchange

 

Exchange

Open Date

Close Date

Exchange

Open Date

Close Date

CME (Electronic)

5/13/2017

Present

CBOT (Electronic)

4/1/2017

Present

NYMEX (Electronic)

1/7/2017

Present

COMEX (Electronic)

1/7/2017

Present

 

 

 

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Message Specifications

 

Field contains the following data:

  • Message Length: 2 bytes

  • Binary Packet header: 12 bytes

    • MsgSeqNum: 4 bytes

    • SendingTime: 8 bytes

  • Message Header: 10 bytes

    • MsgSize: 2 bytes (repeats here)

  • SBE Message Payload

    • SBE Header: 8 bytes

      • Block Length: 2 bytes

      • Template ID: 2 bytes

      • Schema ID: 2 bytes

      • Version: 2 bytes

  • SBE Message: MsgSize - 22 bytes

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Security Definition Files

 

Tag Usage by Security Type

Tag

FIX Name

Future Outright

NYMEX Decay/Variable Future

Future Spread

Option Outright

Option Spread

UDS Combo

UDS Covered

Tag

FIX Name

Future Outright

NYMEX Decay/Variable Future

Future Spread

Option Outright

Option Spread

UDS Combo

UDS Covered

Application Sequence Control

5799

MatchEventIndicator

X

X

X

X

X

X

X

911

TotNumReports

c

c

c

c

c

c

c

980

SecurityUpdateAction

X

X

X

X

X

X

X

779

LastUpdateTime

X

X

X

X

X

X

X

1180

ApplID

X

X

X

X

X

X

X

Instrument Data

1300

MarketSegmentID

X

X

X

X

X

X

X

55

Symbol

X

X

X

X

X

X

X

48

SecurityID

X

X

X

X

X

X

X

22

SecurityIDSource

X

X

X

X

X

X

X

200

MaturityMonthYear

X

X

X

X

X

X

X

1151

SecurityGroup

X

X

X

X

X

X

X

6937

Asset

X

X

X

X

X

X

X

167

SecurityType

FUT

FUT

FUT

OOF

OOF

OOF

MLEG

762

SecuritySubType

–

–

X

–

X

X

X

461

CFI Code

X

X

X

X

X

X

X

201

PutOrCall

–

–

–

X

–

–

–

462

UnderlyingProduct

X

X

X

X

–

–

–

207

SecurityExchange

X

X

X

X

X

X

X

1682

MDSecurityTradingStatus

c

c

c

c

c

c

c

202

StrikePrice

–

–

–

X

–

–

–

947

StrikeCurrency

–

–

–

X

–

–

–

15

Currency

X

X

X

X

X

X

X

120

SettlCurrency

 

 –

 -

c

–

–

–

9850

MinCabPrice

–

–

–

c

–

–

–

9779

UserDefinedInstrument

–

–

–

–

–

Y

Y

Underlying (options only)

711

NoUnderlyings

-

-

-

X

-

-

-

→311

UnderlyingSymbol

-

-

-

X

-

-

-

→309

UnderlyingSecurityID

-

-

-

X

-

-

-



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