As of December 1, 2022, CME Historical Market Depth Data on Google Cloud Platform (GCP) is available for clients to access through Google BigQuery services and is easily discoverable through Google Analytics Hub. This service enables customer to query data from 2014 to the present day and can handle the heaviest workloads. 

This topic provides a technical overview of CME Historical Market Depth Data on GCP.

For complete details regarding Google Cloud Services, including BigQuery and Analytics Hub, please refer to:

• Service Accounts  
• Analytics Hub:
  • Introduction to Analytics Hub
  • Analytics Hub website
• BigQuery:
  • Query BigQuery Datasets
  • BigQuery Pricing

Contents

Revision History

Key Events and Dates

Certification

Certification for Historical Market Depth Data on Google Cloud Platform is not required. 

Onboarding

Customers access CME Group data products on Google Cloud (GCP) through any BigQuery discovery service, including Analytics Hub.

Customers interested in accessing the CME Historical Market Depth Data on GCP dataset should contact CME Group Data Sales, complete the Information License Agreement (if required) and pay the applicable fee.

Access Products

The following steps are required for onboarding and entitlements to the CME Historical Market Depth Data on GCP dataset in BigQuery:

1. Confirm/Obtain your CME Group Login ID. See additional information about creating a CME Group Login account as needed.
2. Confirm/Obtain your Google Cloud account and Project. Navigate to cloud.google.com to login.
3. From your Google Account, select the Google Cloud menu ( ), then navigate to BigQuery > AnalyticsHub.
4. Select Search Listings.
5. Enter "CME Group" and select from the following products
   1. CME Group Historical Market Depth Data
   2. New York Mercantile Exchange 10 Level Order Book
   3. Commodities Exchange Center 10 Level Order Book
   4. Chicago Mercantile Exchange 10 Level Order Book
   5. Chicago Board of Trade 10 Level Order Book
      
6. Select Request Access to begin the licensing workflow to fill out the Schedule 6 and share your Google account to gain access. 

Sample Queries

This T+1 service gives customers the ability to directly access the CME database from January 2014 to the present day. After gaining access, customers will be able to streamline data into other cloud services, such as Google Sheets, BigQuery Machine Learning and Google Vertex AI,etc.  

The historical market depth dataset contains 3 different data tables:

Statistics: Data examples include Settlements, Open, High, Low, Close, aggregated volume

Depth of Book: All market data for 10 Levels deep in futures and 5 level deep in options.

Quotes: User Defined Spread data.  Customers can query when instruments were RFQ'd.

These tables allow customers to recreate the book or easily query for Top of Book or Time and Sales. More advance users will be able to extract market analytics such as 200 MA, TWAP, and VWAP, etc., from these two tables.

Top of Book

SELECT transaction_ts, glbx_sym, bid_level_1_qty,bid_level_1_px,ask_level_1_px,ask_level_1_qty
FROM customersProject.prod_cme_globex_10_level_order_book.v_orderbook_10_lvl_futuresandoptions
WHERE cycle_date = "2022-09-09"
AND glbx_sym= "MBTU2"
ORDER BY transaction_ts

Time and Sales (Trades)

SELECT transaction_ts,glbx_sym,last_trade_px, last_trade_qty
FROM customersProject.prod_cme_globex_10_level_order_book.v_orderbook_10_lvl_futuresandoptions
WHERE cycle_date = "2022-09-09"
AND glbx_sym= "BTCU2"
and rpt_type = 'TRD'
ORDER BY transaction_ts

Settlements

SELECT tranaction_ts, glbx_sym,settle_px, security_type,transaction_ts_hour
FROM customersProject.prod_cme_globex_10_level_order_book.v_statistics_futuresandoptions
WHERE cycle_date between "2022-08-01" AND "2022-08-31"
AND glbx_sym = "MBTZ2"
AND rpt_type = "SETL"
AND transaction_ts_hour= 20
ORDER BY tranaction_ts

Accumulated Volume

SELECT tranaction_ts, glbx_sym,volume_qty, security_type,transaction_ts_hour
FROM customersProject.prod_cme_globex_10_level_order_book.v_statistics_futuresandoptions
WHERE cycle_date between "2022-08-01" AND "2022-08-31"
AND glbx_sym = "MBTZ2"
AND rpt_type = "MDV"
ORDER BY tranaction_ts

Historical Market Depth Data Schema

Order Book (v_orderbook_10_lvl_futuresandoptions)

Order Book Schema

Statistics (v_statistics_futuresandoptions)

Statistics Schema

Quotes Table (v_quote_request_futuresandoptions)

Quotes Schema

Contact Information

• For Service Procurement Inquiries, please contact CMEDataSales@cmegroup.com
• For Customer Support, please contact GCC@cmegroup.com