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 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

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.