STL settlement files contain preliminary and final pre-clearing daily settlement prices for CME Group futures and options contracts. Preliminary settlement prices are published periodically throughout the day but are subject to change until the final prices are posted. This dataset includes the open, high, low, last, current day settlement, point change, estimated volume, prior day settlement, prior day volume and prior day open interest.
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
Layout Guide
| Field Name | Description | Example Values | Supported Format |
|---|---|---|---|
| MTH/STRIKE | The delivery month and year for the future. If an option, the strike price. | DEC18 10000 | MMMYY Alphanumeric |
| OPEN | Represents the first price at which a contract traded after opening for the instrument and trade date. | 97.0100 | Number |
| HIGH | Highest trade price or highest bid price for the trading day. | 97.3300B 97.7900 | Number |
| LOW | Lowest trade price or highest bid price for the trading day. | 97.3100A 97.6600 | Number |
| LAST | Represents the most recent bid, ask or trade price for a given instrument on that trade date. | 96.8850A 97.3200B | Number |
| SETT | Settlement price for current trade date. | 100.1200 CAB (Options) | Alphanumeric |
| PT CHGE | Represents the point change which is calculated as the difference between the current settlement price and prior day settlement price. | UNCH +.0100 -.0050 | Alphanumeric |
| EST. VOL | Estimated cumulative volume for the contract and trade date. It's an estimate because until all floor volumes are entered into clearing, we don't know the exact quantities. | 110297 (blank) | Number |
| PRIOR DAY SETT | Settlement price for the previous trade date. | 100.3200 CAB (Options) | Alphanumeric |
| PRIOR DAY VOL | Cleared volume representing the sum of Globex, floor and privately negotiated contract volumes for the prior trade date. | 20000 (blank) | Number |
| PRIOR DAY INT | Prior day open interest represents the total number of contracts long or short in the respective month. | 180000 (blank) | Number |
FAQ
What format is the file delivered in?
STL.INT files are delivered in .JSON format.
How many times will the file be published on a given trade date?
You will receive five preliminary files along with one final pre-clearing file.
When are these files delivered?
| File Name | Description | Preliminary Publish Times | Final Pre-Clearing Publish Time |
|---|---|---|---|
| stlint | Interest Rates | 14:15, 14:30, 15:02, 15:30, 16:30 | 18:00 |
What is the difference between Preliminary & Final Pre-Clearing STL Files?
Preliminary settlement files are published periodically throughout the day bu are subject to change until the final pre-clearing files are posted. The type of file being published is specified in the file header.
What dates are available for Block Trade data?
The files are available starting January 14, 2019.
Do you have sample files available?
Yes. View sample files.
Are bids and asks included in STL files?
Not all bids and offers are contained in STL files, but offers that occur at or below the previous last price are included. These prices are indicated with an "A" appended to the end of the corresponding price field. Bids that occur at or above the previous last price are flagged with a "B" appended to the end of the corresponding price field.
Why are some expiries and/or strikes missing settlements?
We do not currently provide settlements for expiries or option strikes that have not traded that day and do not have open interest.
Do STL files include both floor and CME Globex prices?
Yes, both venues are included in the dataset.
Are spreads included in the STL INT files?
No only plain vanilla futures and options products are included in the file.