Market Depth
This page describes the types of market depth data available from CME DataMine.
Market Depth files provide all market data messages required to recreate the order book: five to ten orders deep in futures markets and three orders deep in options markets, as well as trade data for all CME Globex-traded products. Market Depth data is available tick-by-tick, time stamped to the millisecond, and is available in FIX and RLC formats.
Contents
- Block Trades
- End of Market Summary
- Eris PAI Dataset
- Market Depth
- MBO FIX
- BrokerTec Historical Data
- Time and Sales
- Top of Book - BBO
- Volume and Open Interest
- Order Book AI
- STL INT Settlements
- GovPX Historical Data
- Packet Capture Dataset
- GovPX End of Day Historical Data
- Premium FX Feed Historical Data
- SOFR Strip Rates
- CME Liquidity Tool Datasets
- EBS Historical Data
- Registrar
- Collateral Eligibility Lists
- CVOL
- CME Group Petroleum Index
- AIR Futures
- FX Options Vol Converter
- OTC IRS Curves
- CryptoQuant
- Fixing Prices
- Historical Margin Data
- Asian Gold Spot
- Settlements FAQ
- CME Term SOFR
- Daily Bulletin
- Commodities Indices
- Repo Fund Rates
- TFS-ICAP FX Options
- MXN Price Alignment Amount Rate
- Cleared OTC IRS
- FX Close Quotes
Dates Available
Market Depth data is available on four exchanges from as early as 2005. Prior to March 1, 2009, all files from all exchanges are available in RLC format. Starting January 5, 2009, all files are available in FIX format. See below for precise dataset availability by exchange, format, and product.
By Exchange
Exchange | Open Date | Close Date |
---|---|---|
CME (Electrics) | 1/1/2005* | Present |
CBOT (Electrics) | 1/11/2008 | Present |
NYMEX (Electrics) | 3/7/2007 | Present |
COMEX (Electrics) | 3/7/2007 | Present |
*CME quotes only. CME quotes & trades available starting 2/10/2006.
By Format
Format | Exchange | Open Date | Close Date |
---|---|---|---|
RLC | |||
CME (Electronic) | 1/1/2005* | 3/1/2009 | |
CBOT (Electronic) | 1/11/2008 | 3/1/2009 | |
NYMEX (Electronic) | 3/7/2007 | 3/1/2009 | |
COMEX (Electronic) | 3/7/2007 | 3/1/2009 | |
FIX | |||
CME (Electronic) | 1/5/2009 | Present | |
CBOT (Electronic) | 1/5/2009 | Present | |
NYMEX (Electronic) | 1/5/2009 | Present | |
COMEX (Electronic) | 1/5/2009 | Present |
*CME quotes only. CME quotes & trades available starting 2/10/2006.
By Product
Filter by product, format, and exchange here.
Sample Files
Agriculture | Energy | Equity | Foreign Exchange | Interest Rates | Metals | SecDef | |
---|---|---|---|---|---|---|---|
FIX (MDP 3.0) | |||||||
  Futures | |||||||
  Future Spreads | |||||||
  Options | |||||||
  Option Spreads | |||||||
Fix | |||||||
  Futures | |||||||
  Options | |||||||
RLC | |||||||
  Futures | Light Sweet Crude Oil (WTI) 1/28/08 | ||||||
  Options |
Layout Guides
View layout guides and message specifications for the following market data formats.
For best results, use right click + Save As to download each file.
CME MDP 3.0 (Current Production Format)
The CME Group Market Data Platform (MDP) disseminates event-based bid, ask, trade, and statistical data for CME Group markets and also provides recovery and support services for market data processing. Click below to access layout guide.
Legacy FIX Format (3/2/2009-9/27/2015)
CME Globex legacy market data is transmitted on a given Market Data Platform (MDP) channel in the FIX message format using FAST compression. Click below to access layout guide.
RLC Format
CME market data dated before 2009 is available in RLC formats. Identify the desired date range of RLC files to access layout guide.
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