Introduction to CME data for MFM Researchers

June 29, 2015

This document provides an overview of CME Group DataMine datasets. As a leading derivatives mar-

ketplace in the world, CME Group offers a wide range of global benchmark products across all major asset

classes including futures and options based on interest rates, equity indexes, foreign exchange, energy, agri-

cultural commodities, metals, weather and real estate. Buyers and sellers gather through the CME Globex

electronic trading platform and its trading facilities in New York and Chicago. CME Group also operates

CME Clearing, one of the largest central counterparty clearing services in the world, which provides clearing

and settlement services for exchange-traded contracts, as well as for over-the-counter derivatives transactions

through CME ClearPort. CME DataMine database offers comprehensive historic market data — raw and

straight from the source. As yet, however, very few academic researchers have exploited these rich data

sources. In the following sections, we describe the five types of CME data available for MFM researchers:

End-of-Day data, Time and Sales data, Best-Bid-Offer data, Block Trade Data, and Block Trade Data.1

1This document summarizes the decription in the CME Group DataMine data instructions webpage:http://www.cmegroup.com/market-data/datamine-historical-data/.

1

1 End-of-Day (EOD) Data

EOD market data contain all of the official closing information for select CME group contracts. Both puts

and calls are included with each options product. EOD data conveys rich information about price and

trading volume including open, high, low, close, open interest, total volume, volume breakdown by venue,

settlement, delta, and implied volatilities2 in both pit3 and electronic tradings.

Dates Available

CME (Pit) January 4, 1982 - present

CME (Electronic) January 4, 1993 - present

CBOT (Pit) January 3, 1972 - present

CBOT (Electronic) August 28, 2000 - present

NYMEX (Pit) July 1, 1986 - present

NYMEX (Electronic) June 25, 1993 - present

COMEX (Pit) January 2, 1975 - present

COMEX (Electronic) July 2, 1993 - present

Reported Variables

Trade Date, Exchange Code, Asset Class, Product Code, Clearing Code, Product Description, Product

Type , Underlying Product Code, Put/Call, Strike Price, Contract Year, Contract Month, Contract Day,

Settlement, Settlement Cabinet Indicator, Open Interest, Total Volume, Globex Volume, Floor Volume, PNT

Volume, Block Volume, EFP Volume, EOO Volume, EFR Volume, EFS Volume, EFB Volume, EFM Volume,

SUB Volume, OPNT Volume, TAS Volume, TAS Block Volume, TAM Singapore Volume, TAM Singapore

Block Volume, TAM London Volume, TAM London Block Volume, Globex Open Price, Globex Open Price

Bid/Ask Indicator, Globex Open Price Cabinet Indicator, Globex High Price, Globex High Price Bid/Ask

Indicator, Globex High Price Cabinet Indicator, Globex Low Price, Globex Low Price Bid/Ask Indicator,

Globex Low Price Cabinet Indicator, Globex Close Price, Globex Close Price Bid/Ask Indicator, Globex

Close Price Cabinet Indicator, Floor Open Price, Floor Open Price Bid/Ask Indicator, Floor Open Price

Cabinet Indicator, Floor Open Second Price, Floor Open Second Price Bid/Ask Indicator, Floor High Price,

Floor High Price Bid/Ask Indicator, Floor High Price Cabinet Indicator, Floor Low Price, Floor Low Price

Bid/Ask Indicator, Floor Low Price Cabinet Indicator, Floor Close Price, Floor Close Price High Bid/Ask

Indicator, Floor Close Price Cabinet Indicator, Floor Close Second Price, Floor Close Second Price Bid/Ask

Indicator, Floor Post-Close Price, Floor Post-Close Price Bid/Ask Indicator, Floor Post-Close Second Price,

Floor Post-Close Second Price Bid/Ask Indicator, Delta, Implied Volatility, Last Trade Date2The implied volatility is calculated based on the preliminary settlement price.3The area on the trading floor of where trading in a specific futures or options contracts is conducted by open outcry.

2

Sample Report

This sample data shows E-mini S&P 500 (Dollar) futures for October 1, 2012. To see examples in other

categories, please refer to CME Group DataMine End-Of-Day data instructions webpage.4 EOD data is

provided in csv file format.

4http://www.cmegroup.com/market-data/datamine-historical-data/#endOfDay

3

2 Time and Sales Data

Time and Sales contains the official record of trade times, prices and quantities (quantity only available on

electronic trades). The records, time stamped to the second, provide times of trades submitted for clearing,

prices and quantities. Data includes both pit and electronic products, and both puts and calls are included

with each options product.

Dates Available

CME (Pit) January 4, 1982 - present

CME (Electronic) June 26, 1992 - present

CBOT (Pit) January 2, 1995 - present

CBOT (Electronic) November 24, 2003 - present

NYMEX (Pit/Electronic) December 1, 1999 - present

NYMEX (Pit/Electronic) December 1, 1999 - present

Reported Variables

Trade Date (T.Date), Trade Time (T.Time), Trade Sequence Number (Sequence), Session Indicator (Ses-

sion), Ticker Symbol (Symbol), FOI Indicator (C/P/I), Delivery Date (Contract Delivery), Trade Quantity

(Volume), Strike Price, Trade Price (T.Price), Ask/Bid Type (A/B), Indicate Quote Type (IND), Market

Quote (MKQ), Close/Open Type (C/O), Valid Open Exception (VOE), Post Close (PC), Cancel Code

Type (CAN), Insert Code Type (INS), Fast/Late Indicator (F/L), Cabinet Indicator (CAB), Book Indicator

(BKI), Entry Date, exch_code

4

Sample Report

This sample data shows E-mini S&P 500 (Dollar) futures for November 5, 2012. To see examples in other

categories, please refer to CME Group DataMine Time and Sales data instructions webpage.5 Time and

Sales data is provided in csv file format.

5http://www.cmegroup.com/market-data/datamine-historical-data/#timeSales

5

3 Best-Bid-Offer (BBO) Data

BBO data are similar to Time and Sales, but contain all of the top-of-book data for CME Globex products

(electronic only). This includes top bid, bid size, top ask, ask size, last trade, trade volume and time-stamp

(to the second).

Dates Available

CME (Electronic) November 1, 2004 - present

CBOT (Electronic) January 14, 2008 - present

NYMEX (Electronic) December 1, 1999 - present

NYMEX (Electronic) December 1, 1999 - present

Reported Variables

Trade Date, Trade Time, Trade Sequence Number, Session Indicator, Ticker Symbor, FOI Indicator, Delivery

Date, Trade Quantity, Strike Price, Strike Price Decimal Locator, Trade Price, Trade Price Decimal Locator,

Ask/Bid Type, Indicate Quote Type, Market Quote, Close/Open Type, Valid Open Exception, Post Close,

Cancel Code Type, Insert Code Type, Fast/Late Indicator, Cabinet Indicator, Book Indicator, Entry Date

Sample Report

This sample data shows E-mini S&P 500 (Dollar) futures for January 10, 2011. To see examples in other

categories, please refer to CME Group DataMine Best-Bid-Best-Offer data instructions webpage.6 BBO

data is provided in ASCII format.

2011011013024000000010EES F110300000 201267502 I 110109

2011011016181300000020EES F110300000 201268002 I 110109

2011011013024000000010EES F110300000 201267502 I 110109

2011011016181300000020EES F110300000 201268002 I 110109

2011011016181400000030EES F110300000 201267502 I 110109

2011011016292800000040EES F110300000 201267752BI 110109

2011011016303500000050EES F110300000 201268252 I 110109

2011011016305800000060EES F110300000 201267752BI 110109

6http://www.cmegroup.com/market-data/datamine-historical-data/#topOfBookBbo

6

4 Market Depth Data7

Market Depth data provide all data messages needed to recreate the top five book for products traded on the

CME Globex electronic trading platform (electronic only). Included are all changes to the book including

bids, asks, bid volumes and ask volumes — five levels deep time-stamped to the millisecond. Prior to April

9, 2009, bids and asks were 5 deep for futures and 1 deep for options. Beginning on April 9, 2009 some

futures products began to include 10 deep while some options products began to include 3 deep bids and

asks.

Dates Available

• RLC

CME (Electronic) quotes only (no trade) January 1, 2005 - February 11, 2006

CME (Electronic) February 1, 2006 - March 1, 2009

CBOT (Electronic) January 11, 2008 - March 1, 2009

NYMEX (Electronic) March 9, 2007 - March 1, 2009

NYMEX (Electronic) March 9, 2007 - March 1, 2009

• Fix8

CME (Electronic) January 5, 2009 - present

CBOT (Electronic) January 5, 2009 - present

NYMEX (Electronic) January 5, 2009 - present

NYMEX (Electronic) January 5, 2009 - present

Reported Variables and Sample Report

Market Depth data provides different formats of report depending on time, and reported variables vary

accordingly. For details, please visit CME Group DataMine Market Depth data instructions webpage:

http://www.cmegroup.com/market-data/datamine-historical-data/#marketDepth

7An example of recent research that used Market Depth data is Laughlin, Aguirre and Grundfest (2014) “InformationTransmission between Financial Markets in Chicago and New York.” The Financial Review, 49(2): 283–312.

8The CME FIX server authenticates the client application’s logon ID during the logon process. Only the assigned user IDmay be used to logon to the CME FIX server.

7

5 Block Trade Data

Block Trade Data collects information about historical block trades for CME, CBOT, NYMEX and COMEX

products, straight from our price reporting system. This data includes information for each trade, such as:

a type of spread that has been executed, second trade price and quantity (when applicable), detailed data

for each leg of a spread, execution and call times, and CME ClearPort and open outcry block trades.

CME (Pit) January 26, 2008 - present

CBOT (Pit) January 2, 2008 - present

NYMEX (Pit) October 5, 2009 - present

NYMEX (Pit) May 30, 2009 - present

Reported Variables

Trade Date, Trade Time, Report Time, Contract Symbol, Product Code, Asset Class, Market Sector, De-

scription , Product Type, Contract Year, Contract Month, Strike Price, Put/Call, Exchange Code, Trade

Price, Trade Quantity, Trade Source, Spread Type, Spread Description, Contract Symbol 2, Product Code

2, Asset Class 2, Market Sector 2, Description 2, Product Type 2, Contract Year 2, Contract Month 2, Strike

Price 2, Put/Call 2, Exchange Code 2, Trade Price 2, Trade Quantity 2, Contract Symbol 3, Product Code

3, Asset Class 3, Market Sector 3, Description 3, Product Type 3, Contract Year 3, Contract Month 3, Strike

Price 3, Put/Call 3, Exchange Code 3, Contract Symbol 4, Product Code 4, Asset Class 4, Market Sector

4, Description 4, Product Type 4, Contract Year 4, Contract Month 4, Strike Price 4, Put/Call 4, Exchange

Code 4

8

Sample Report

This sample report shows data for CME Blocks. To see examples of other products, such as CBOT Blocks,

COMEX Blocks or NYMEX Blocks, please refer to CME Group DataMine Block Trades data instructions

webpage.9 Block Trades data is provided in csv file format.

9http://www.cmegroup.com/market-data/datamine-historical-data/#blockTrades

9