CME Group

CME Group, the world’s leading and most diverse derivatives marketplace, is where the world comes to manage risk. Our exchanges offer the widest range of global benchmark products across all major asset classes, as well as clearing and settlement services for exchange-traded and over-the-counter products.

CME Group’s Historical Data Services comprises the following:

Available products

End-of-Day-Data

End-of-Day files contain all of the official closing information for CME Group futures and options contracts. This dataset includes the open, high, low, close, open interest, total volume, volume breakdown by venue, settlement, delta, and implied volatilities. Delivered in an easy to use .CSV format, End-of-Day preliminary settlements are available at 6:00 pm CST

Time and Sales Data

Time & Sales files provide information on trades, as well as bids or offers that better the traded prices. This dataset contains the official record of trade times and prices, as well as quantities on electronic trades only.

Market Depth Data:

Market Depth FIX files provide all market data messages required to recreate the order book: 5-10 orders deep in futures markets and 3 orders deep in options markets, as well as trade data for all CME Globex traded products.

Block Trade Data

This dataset offers historical futures and options block trades for CME, CBOT, NYMEX and COMEX products, straight from our price reporting system. Historical Block Trade data consists of:  the type of spread that has been executed, the second trade price and quantity (when applicable), detailed data for each leg of traded spreads, execution and call times – all in an easy-to-use format. CME ClearPort and Open Outcry block trades are also included in this dataset.