End of Market Summary - Basic Plus

This page describes the End of Market Summary - Basic Plus dataset for CME Group DataMine. Files are delivered once a day at midnight (12:00 AM CST), T+1. Files are only available on a day-to-day basis. 

The content for the dataset includes daily Settlement Price, Volume, Open Interest, Open, High, Low, and Close (Delta for all options and Fixing Prices where applicable.) files for all CME Group exchanges, broken out by Asset Class.  

The data may be used by customers to calculate mark to market for end-of-day trades or positions they have on their books or for other business purposes on their end.

Dates Available

The files are available top day only. When the next day files are generated and posted, they overwrite the prior day’s files.

Sample Files

Dataset

Sample File

Dataset

Sample File

NYMEX Settle .csv

04/08/2024

NYMEX Settle .txt

04/08/2024

NYMEX Settle .xml

04/08/2024

FAQ

What format is the file delivered in?

Data is provided in .txt, .xml, and .csv format and contains volume, open, close, high and low prices for CME Group products offerings.

Are files compressed?

Files are not compressed.

Are layout guides available for the format of each dataset?

See details on file layout and specifications for the files.

What dataset is onboarded to DataMine?

Daily Text formatted settlement price files (stl) that are published after midnight CST. File names are as follows:

  • cbt.settle.e.YYYYMMDD.csv 

  • cbt.settle.e.YYYYMMDD.txt 

  • cbt.settle.e.YYYYMMDD.xml 

  • cbt.settle.s.YYYYMMDD.csv

  • cbt.settle.s.YYYYMMDD.txt 

  • cbt.settle.s.YYYYMMDD.xml 



  • cme.settle.e.YYYYMMDD.csv 

  • cme.settle.e.YYYYMMDD.txt 

  • cme.settle.e.YYYYMMDD.xml 

  • cme.settle.s.YYYYMMDD.csv

  • cme.settle.s.YYYYMMDD.txt 

  • cme.settle.s.YYYYMMDD.xml 



  • comex.settle.e.YYYYMMDD.csv 

  • comex.settle.e.YYYYMMDD.txt 

  • comex.settle.e.YYYYMMDD.xml 

  • comex.settle.s.YYYYMMDD.csv

  • comex.settle.s.YYYYMMDD.txt 

  • comex.settle.s.YYYYMMDD.xml



  • nymex.settle.e.YYYYMMDD.csv 

  • nymex.settle.e.YYYYMMDD.txt 

  • nymex.settle.e.YYYYMMDD.xml 

  • nymex.settle.s.YYYYMMDD.csv

  • nymex.settle.s.YYYYMMDD.txt 

  • nymex.settle.s.YYYYMMDD.xml 

SettleDeck Report Level Headers

Order

Length

Values

Name

Order

Length

Values

Name

0

1

  • S for SYMEX

  • 9 Otherwise

SYMEX indicator

1

4

  • substring(TCC ALIAS, 0,2) + "16" for SYMEX

  • substring(OCC ALIAS,0,4 ) or " ", otherwise

Commodity Code

2

7

  • 9999999 If the contract is an option and its Ext Qual Code is CAB

  • ******* if the high price is null

  • high price without sign and scaled so that it is represented by an 7-digit integer

High Price

3

1

if High Price exists, it can be either A fot ASK or B for BID. Otherwise, it is ' '

High Ask/Bid

4

7

  • 9999999 If the contract is an option and its Ext Qual Code is CAB

  • ******* if the low price is null

  • low price without sign and scaled so that it is represented by an 7-digit integer

Low Price

5

1

if Low Price exists, it can be either A for ASK or B for BID. Otherwise, it is ' '

Low Ask/Bid

6

1

just ' '

Filler

7

7

  • if the contract is an option and its prices is CAB, it will be 9999999

  • If the contract doesn't have a valid settle price, it will be *******

  • Otherwise, it will be the settle price scaled in a way it is represented by an integer value and without sign. If the integer value can be represented with few that 7 digits it will be padded with '0' for OTCC and SYMEX. Otherwise, it will be padded with ' '. In case the amount of digits is greater than 7, '0000000' will be written

Settle Price

8

1

Just ' '

Filler

9

1

  • * if Settle Ext Qual Code is SPECL

  • ' ', otherwise

Special Settle

10

1

  • Y, if it is FLEX

  • N, Otherwise

Flex

11

8

Period Code, or '00000000' if period code doesn't exist

Period Code

12

1

  • If flex and Option

    • A, if Exercise Ind = 'AMER'

    • E, if Exercise Ind = 'EURO'

  • ' ', Otherwise

Exercise Method

13

4

  • ' ', If delta price is NaN or product Type in [FWD,FUT,IRS,COMBO]

  • delta price * 1000 rounded to closest integer and padded with '0'

Delta

14

4

' '

Filler

15

1

Option Right Code

Option Right Code

16

7

  • ' ', For Product Type in [FWD,FUT,IRS,COMBO]

  • Strike Price without decimal point

Strike Price

17

4

' '

Filler

18

1

  • ' ' , if FLEX

  • [1,2,3,4,5,6,7,8,9] or 0 for 10, - for 11 and & for 12

Contract Month

19

1

  • 0, if FLEX

  • least significant digit form year field in period code

Contract Year

20

1

  • ' ', if Active

  • *, Otherwise

Active Indicator

21

1

  • C, if High Price Ext Qual Code is CAB

  • ' ', Otherwise

High Price CAB

22

1

  • C, if Low Price Ext Qual Code is CAB

  • ' ', Otherwise

Low Price CAB

23

1

  • C, if Settle Price Ext Qual Code is CAB

  • ' ', Otherwise

Settle Price CAB

24

1

' '

Filler

25

<= 4

  • ' ', if Product Type in [FWD,FUT,IRS,COMBO]

  • Weekly Code From Weekly Contract

Underlying Contract Period

26

4

  • ' ', if Product Type in [FWD,FUT,IRS,COMBO] or underlying commodity code is null

  • Underlying commodity code padded with ' '

Underlying Commodity Code

27

4

  • ' ', if SYMEX,

  • PRS Alias + QES Month Code + QES Year

QES Code

28

10

TCC Code if NOT SYMEX

TCC Code

29

10

Underlying Commodity Code if NOT SYMEX

Underlying Commodity Code

30

1

high price sign, if not SYMEX nor OCC

High price Sign

31

1

low price sign, if not SYMEX nor OCC

Low price Sign

32

1

Settlement price sign, if nor SYMEX nor OCC

Settlement price Sign

33

1

  • if not SYMEX nor OCC

    • ' ' if Product Type in [FWD,FUT,IRS,COMBO]

    • Strike Price

Strike Price Sign

34

8

  • if not SYMEX nor OCC

    • ' ' if Product Type in [FWD,FUT,IRS,COMBO]

    • Underlying Commodity Code padded with ' '

Underlying Commodity Code

35

14

if not SYMEX nor OCC, Settle Price Padded with ' '

Settle Price

36

1

  • if not SYMEX nor OCC

  •  

    • N, if amount of settlement price digits is lower than or equal to 7

    • Y, Otherwise



How many files are available per day?

The database structure allows for one file per day, per product. Products must be individually subscribed to.

Are there any dates for which data is unavailable?

No.

What is the historical product availability?

December 3, 2022

When are these files delivered?

Files are delivered once a day at midnight (12:00 AM CST), T+1. Files are only available on a day-to-day basis.

How large are these files?

Daily files average 2-50kb.

Is there a specific process that must be followed in order to use the data?

Six data files are delivered in a .txt, .xml, and .csv format. Customers need to utilize tools to process the data files.






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