CME Liquidity Tool Datasets

The CME Liquidity Tool Data provides a daily re-construction of the electronic limit order book by performing calculations on CME Globex trading engine messages. Users can analyze liquidity statistics such as current and historical bid-ask spreads, book depth and the CME Liquidity Tool’s bespoke Cost to Trade (CTT) metric for several lot sizes. Data is available for core CME Group products across three distinct global time zones.

These measures are aggregated by trading hours as mentioned below:

Chicago (7 a.m. to 4 p.m.)
London (7 a.m. to 5 p.m.)
Singapore (8 a.m. to 8 p.m.)

Other Datasets

Resources

Dates Available

The data is available starting in June 1, 2017 to present day. The CME Liquidity Tool has a rolling 2 year window of data available for visualization.

[Top]

Sample Files

Dataset	Sample File

Dataset	Sample File
Liquidity Tool Sample File	Sample File

[Top]

FAQ

What format is the file delivered in?

Data is provided in .csv format (comma separated values).

Are files compressed?

No, the files are not compressed into zip files.

What products are included in the Liquidity Tool dataset?

Product	Product Code

Product	Product Code
2-Year T-Note Futures	ZT
5-Year T-Note Futures	ZF
10-Year T-Note Futures	ZN
Ultra 10-Year U.S. Treasury Note Futures	ZB
U.S. Treasury Bond Futures	TN
Ultra U.S. Treasury Bond Futures	UB
E-Mini S&P 500 Futures	ES
E-Mini NASDAQ 100 Futures	NQ
Euro FX Futures	6E
Crude Oil Futures	CL
Henry Hub Natural Gas Futures	HO
RBOB Gasoline Futures	RB
NY Harbor USLD Futures	NG
Gold Futures	GC
Corn Futures	ZC
Soybean Futures	ZS
Chicago SRW Wheat Futures	ZW
Soybean Oil Futures	ZL

How many files are available per day?

One file per product per day at the end of each trading day.

How far back do you maintain these records?

These files go back to June 1, 2017.

Do you have sample files available?

Yes, see Sample Files section above.

Are there any anomalies in the the data?

There are no known anomalies.

When are these files delivered?

Depending on the data needed to be processed, Liquidity Tool data is delivered after 8pm CST and can take until 4am CST to be deliverable.

If I purchase daily updates of these datasets, will I get historical data as well?

No. When an order is placed for daily updates of these datasets, the first file included will be generated for the start date of the subscription. However, files remain accessible for 30 days after purchase, enabling the customer to reference previous day’s data.

How is this data computed?

For understanding the computations of all the fields in the data set please reference the user guide.

Where is the data used within CME Group ?

This is used in CME Group Liquidity tool. It is a free tool for all users. To find out more visit Liquidity Tool homepage.

Can I see this data in chart format?

The data can be seen in chart format with additional overlay features on the CME Group Liquidity tool pate. This tool can be accessed here. Create an account for free and use the benefits of the tool.

What do the column values represent?

Column Name	Description

Column Name	Description
tradedate	The market data date, represented as yyyymmdd, e.g. 20170103
symbol	Product Code eg: ES for Emini S&P 500
time_zone	Product The data is divided to three different time zones - Chicago (7AM - 4PM CST), London (7AM - 5PM GMT), Singapore (8AM - 8PM SGT)
unix_in_sec	Time in unix time stamp
avg_level_1_spread - avg_level_10_spread	Average Spread aggregated by time zone for all the levels in the order book.
avg_level_1_midprice -avg_level_10_midprice	Average mid price aggregated by time zone for all the levels in the order book. Mid price is the average of Ask and Bid prices
avg_level_1_weightedprice - avg_level_10_weightedprice	Weighted Average price aggregated by time zone for all the levels in the order book. The weighted average is performed from milli second level to day level.
avg_level_1_ask_price - avg_level_10_ask_price	Average Ask price aggregated by time zone for all the levels in the order book.
avg_level_1_bid_price - avg_level_10_bid_price	Average Bid price aggregated by time zone for all the levels in the order book.
avg_level_1_ask_quantity - avg_level_10_ask_quantity	Average Ask Quantity aggregated by time zone for all the levels in the order book.
avg_level_1_bid_quantity - avg_level_10_bid_quantity	Average Bid Quantity aggregated by time zone for all the levels in the order book.
avg_level_1_ask_orders - avg_level_10_ask_orders	Average Ask Orders aggregated by time zone for all the levels in the order book.
avg_level_1_bid_orders - avg_level_10_bid_orders	Average Bid Orders aggregated by time zone for all the levels in the order book.
lot_1_size - lot_25_size	The lot size for which the cost to buy and sell are calculated.
lot_1_buy_ctt - lot_25_buy_ctt	Weighted Average (per day) of Theoretical Cost to buy a particular lot size. This is listed for 25 such different lot sizes.
lot_1_sell_ctt - lot_25_sell_ctt	Weighted Average (per day) of Theoretical Cost to sell particular lot size. This is listed for 25 such different lot sizes.
lot_1_buy_depth - lot_25_buy_depth	Weighted Average (per day) of number of levels traversed for calculating cost to buy for a particular lot size. This is listed for 25 different lot sizes.
lot_1_sell_depth - lot_25_sell_depth	Weighted Average (per day) of number of levels traversed for calculating cost to sell for a particular lot size. This is listed for 25 different lot sizes.
frontmonth	Most Active contract for a specific trade date.

[Top]