/
Top of Book - BBO

Top of Book - BBO

Designed for those looking to better understand CME Globex liquidity, Top-of-Book contains all top bid, bid size, top ask, ask size, last trade, trade volume, and time-stamp data for CME Globex-traded products. This dataset includes best bids and best offers, with corresponding volume, for all CME Globex products.

In addition to receiving the Top of Book file, with a purchase of this dataset you will also receive the Time and Sales (trades) file and the SecDef file. More information on these two files, including layout guides, sample files, etc. can be found here:

Dates Available

Top of Book data is available on four exchanges in ASCII format from as early as 1999. A new CSV format is available starting on Monday, April 14, 2025.

The following 3 dates are unavailable:

  • 06-14-2024

  • 01-09-2024

  • 03-10-2023

By Exchange

 

Exchange

Open Date

Close Date

Exchange

Open Date

Close Date

CME (Electronic)

11/1/2004

Present

CBOT (Electronic)

1/14/2008

Present

NYMEX (Electronic)

12/1/1999

Present

COMEX (Electronic)

12/1/1999

Present

[Top]

By Product

Filter availability by product here.

Layout Guides

Field Number

Data Field 

Start Position

End Position

 Length   

Description

Field Number

Data Field 

Start Position

End Position

 Length   

Description

1

Trade Date

1

8

8

YYYYMMDD- Day the trade or quote was entered

2

Trade Time

9

14

6

HHMMSS- Time the trade or quote was entered in the system

3

 

Trade Sequence Number

 

15

 

22

 

8

######## - sequence the quote or trade was entered into the

system

4

 

Session Indicator

 

23

 

23

 

1

(R/E) Indicates the Regular (PIT) or Electronic (GLOBEX) trading

session

5

Ticker Symbol

24

26

3

The product code

6

FOI Indicator

27

27

1

Futures (F) / Options (O) - Indicates the type of market data

7

Delivery Date

28

31

4

(YYMM) Indicates the month the contract expires

8

Trade Quantity

32

36

5

Number of contracts available for trade or traded

9

Strike Price

37

43

7

The strike or exercise price of the option, if applicable

10

Strike Price Decimal Locator

44

44

1

Decimal place indicator for strike price

11

Trade Price

45

51

7

Indicates actual price traded

12

Trade Price Decimal Locator

52

52

1

Decimal place indicator for traded price

13

Ask/Bid Type

53

53

1

Indicates for Bids (B) / Offers (A)

14

Indicative Quote Type

54

54

1

Indicative Market Quotes ( I )

15

Market Quote

55

55

1

Indicator for Market Quotes ( M )

16

Close/Open Type

56

56

1

Indicator for Open ( O ) / Close ( C )

17

Valid Open Exception

57

58

2

Indicator for Special Open ( O )

18

Post Close

59

59

1

Indicator for prices traded after the market close ( P )

19

Cancel Code Type

60

60

1

Indicator for canceled prices ( X )

20

Insert Code Type

61

61

1

Indicator for  Inserted prices ( I )

21

Fast/Late Indicator

62

62

1

Indicator for Fast/Late Market ( F )

22

Cabinet Indicator

63

63

1

Indicator for cabinet trades ( $ )

23

Book Indicator

64

64

1

Indicator for Book quotes ( B )

24

Entry Date

65

70

6

YYMMDD - Entry date of trade

 

Data Field 

Description

Example

 

Data Field 

Description

Example

1

Transaction_Date

YYYY-MM-DD- Day the trade or quote was entered

2025-02-04

2

Transaction_Time

YYYY-MM-DDTHH:MM:SS.#########Z- Time the trade or quote was entered in the system to the nano

2025-02-04T23:00:00.077137591Z

3

Sequence_Number

######## - sequence the quote or trade was entered into the system

1511809

4

Ticker_Symbol

The globex product code

NQ

5

Instrument_Symbol

Globex Contract / Instrument Code

NQM5

6

Security_ID

######## - Globex Security ID, joinable to CME Group Reference Data

42400089

7

Future_Option_Index_Indicator

Futures (FUT) / Options (OPT) - Indicates the type of market data

FUT or OPT

8

Delivery_Date

(YYYYMM) Indicates the year and month the contract expires

202506

9

Put_Call_Indicator

Call (C) or Put (P) - Indicates the option type, where applicable for options

C or P

10

Strike_Price

###### - Indicates the option strike price, where applicable for options

23550

11

Market_Data_Report_Type

Indicates an order entry (OBS) trade entry (TRD), or volume record from implied orders (VOL)

OBS, TRD, or VOL

12

Ask_Level_1_Price

Top of book (level 1) clearing ask price

109700

13

Ask_Level_1_Price_Formatted

Top of book (level 1) formatted ask price using globex display factor

1097.00

14

Ask_Level_1_Quantity

Number of ask contracts available for trade

2

15

Ask_Level_1_Order_Count

Number of ask orders at level

1

16

Bid_Level_1_Price

Top of book (level 1) clearing bid price

103900

17

Bid_Level_1_Price_Formatted

Top of book (level 1) formatted bid price using globex display factor

1039.00

18

Bid_Level_1_Quantity

Number of bid contracts available for trade

2

19

Bid_Level_1_Order_Count

Number of bid orders at level

1

20

Close_Open_Type

Indicator for Open (O) trades, always null on orders.

O or null

21

Implied_Book_Indicator

If implied book order, yes (Y) or no (N)

N or Y

22

User_Defined

Exchange-defined (H) vs. user-defined (U) contract

H or U

23

Exchange

CME Group exchange ordered / traded on

XCBT=Chicago Board of Trade

XCME=Chicago Mercantile Exchange

XNYM=New York Mercantile Exchange

XCEC= COMEX (Commodities Exchange Center)

XCME

[Top]

FAQ

The CME DataMine Top of Book files (Best Bid/Offer) provide the top bid, bid volume, ask, ask volume, last trade price, and last trade volume of the order book for all CME Globex traded products.

How far back do you maintain Top of Book (BBO) records?

Data goes back to 2004 for CME Group, 2008 for CBOT, and 1999 for NYMEX and COMEX. Specific product start dates can be found here.

Do the Top of Book files contain the same trade information as the Time & Sales files?

Yes, the Time & Sales information is a subset of the Top of Book data. Top of Book has the added benefit of providing the best bids and offers in addition to trade information.

Are spreads included in the Top of Book files?

In v1 files, pre DATE_TBD 2025, Exchange Defined option spreads are displayed in outright options files. In v2 files from DATE_TBD, spreads are included in files.

Do you have this data for all instruments?

This data is available for all CME Globex-traded instruments.

Are there any known data issues?

  • In v1 files between April 4, 2025 and April 11, 2025 are not complete and we are unable to regenerate.

  • In v2 files the following dates are not available. March 10, 2023, Jan 9, 2024 and June 14, 2024.

What is the format of the Top of Book files?

CME DataMine Top of Book files are currently available exclusively in ASCII format. A file layout guide and examples are available here.

What is the granularity of the timestamp for orders and trades?

CME DataMine Top of Book files are currently available between 1999-2025 in ASCII format, with CSV 2025 onwards. A file layout guide and examples are available here.

The v1 pre-2025 files timestamp trades and orders are to the second. The v2 post-2025 files timestamp trades and orders to the nanosecond.

Does Top of Book come from the same source as Market Depth and Time & Sales data?

Top of Book and Time & Sales files are produced from internal post-trade processing system. Market Depth files come directly from our FIX/FAST market data platform. The granularity of timestamps for the data offerings are different due to the sources.

How are trades aggregated in the Top of Book files?

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 do trades vary from "bundled" to "unbundled" over time?

This was a result of multi-step internal technology changes and was consistent for all products. Prior to 2011, trades of the same price were bundled together before market data was released. When this system was retired in 2011, trades became unbundled. With the 2015 introduction of MDP 3.0 and Trade Summary message, traded quantity became consolidated for the aggressor/price/instrument. Trades will remain bundled until further notice.

What does it mean if no (B) or (A) is present?

Lack of a (B) or (A) indicates a trade was executed.

If I purchase daily updates of Top of Book data, will I get historical data as well?

No. When an order is placed for daily updates of Top of Book data, the first file included will be generated for the start date of the subscription. Historical data is sold individually of DataMine update subscriptions.

What does it mean if no (B) or (A) is present?

Lack of a (B) or (A) indicates a trade was executed.

If I purchase daily updates of Top of Book data, will I get historical data as well?

No. When an order is placed for daily updates of Top of Book data, the first file included will be generated for the start date of the subscription. Historical data is sold individually of DataMine update subscriptions.

[Top]



How was your Client Systems Wiki Experience? Submit Feedback

Copyright © 2024 CME Group Inc. All rights reserved.