1 file per asset class (Interest Rates, FX, Equity, & Crypto Currency)
How far back do you maintain these records?
Offerings go back to December 5, 2022.
Do you have sample files available?
Yes, see Sample Files section above.
Are there any dates where data in unavailable?
Yes, there are missing dates for 2-Year USD MAC Swap Futures, 7-Year USD MAC Swap Futures, 20-Year USD MAC Swap Futures, 30-Year USD MAC Swap Futures.Â
When are these files delivered?
Once per day
What time will the files be delivered?
6:30-8:00 PM (Central Time) each CME Group business day
How large are these files?
Daily upload file: 1kb
Whole historical data: .075kb – 3.6kb
Is there a mandatory process for using the data?
No, there is no mandatory process.
How can I interpret the fixing files for Equities, FX, & Cryptocurrency?
EQUITIES:
ESF Calculation
On expiration days for End-of-Month (EOM) and Weekly options on standard and E-mini S&P 500 futures, CME calculates a special fixing price based on the weighted average trading price of the nearest expiring month for the E-mini S&P 500 futures in the last 30 seconds (2:59:30 - 3:00:00 p.m.) of trading before the 3:00 p.m. (Chicago Time) options expiration. This calculation always uses the nearest contract until it is no longer available for trade.
EEF Calculation
The EEF is a fixing price that is based on a volume weighted average price of the nearest expiry for the E-mini S&P 500 futures in the 30 seconds preceding 4:30 PM London Time (4:29:30-4:30:00 PM). This calculation always uses the nearest contract until it is no longer available for trade.
EJF Calculation
The EJF is a fixing price that is based on a volume weighted average price of the nearest expiry for the E-mini S&P 500 futures in the 30 seconds preceding 3:00 PM Tokyo Time (2:59:30-3:00:00 PM). This calculation always uses the nearest contract until it is no longer available for trade.
NQF Calculation
On expiration days for Weekly options on standard and E-mini NASDAQ-100 futures, CME calculates a special fixing price based on the weighted average trading price of E-mini NASDAQ-100 futures in the last 30 seconds (2:59:30 - 3:00:00 p.m.) of trading before the 3:00 p.m. (Chicago Time) options expiration. This calculation always uses the nearest contract until it is no longer available for trade.
Note
CME disclaims liability for the ESF, EEF, EJF, or NQF Options fixing prices, and no representation or warranty, express or implied, is made concerning the ESF, EEF, EJF, or NQF fixing prices (including, without limitation, the Methodology for its determination and its suitability for any particular use).
[1]Â The MXN/USD ZYM calculation occurs at 11:30 am Central Time (12:30 pm NY Time)
[2]Â The RUB/USD ZRU calculation occurs at 12:30pm Moscow (4:30am CT or 3:30 am CST)
CRYPTOCURRENCY:
The price fixing will be based on a notionally-adjusted volume-weighted average traded price of Bitcoin futures and Micro Bitcoin futures during the 30-minutes prior to 4pm London time.Â
The price fixing will be based on a notionally-adjusted volume-weighted average traded price of Ether futures and Micro Ether futures during the 30-minutes prior to 4pm London time.Â