CME Group Futures & Options#
The CME Group operates derivatives exchanges ( CBOT COMEX NYMEX CME Globex ) offering trading in futures and options across asset classes like agriculture, energy, metals, interest rates, equities, and cryptocurrencies. MGEX is for trading agricultural futures and options. This CME Database includes Book Depth MBO data and additional fields that are not supported in the other CME Databases.
Country: USA United States [US]
Mkt Hours: 00:00-24:00
Time Zone: America/Chicago
Start Date: 20190331
Real Time Available: No
Bars Available: Yes
Book Depth Available: Yes
Details are provided below
Includes the following coverage:
Security Type |
# of Symbols |
% of Total |
|---|---|---|
Future |
53004 |
5.63% |
Futures Spread |
91199 |
9.69% |
Interest Rate Swap |
48 |
0.01% |
Option |
700292 |
74.41% |
Option Spread |
96612 |
10.27% |
Total |
941155 |
100% |
Consists of 3 Databases
CME#
Database includes the following Tables:
DAY - Daily price and statistical data, e.g. closing price, settlement price, open interest
FIXING - Fixing prices
IND - Indicative pricing, e.g. indicative auction prices and imbalance
LULD - Limit Up / Limit Down price levels
MKT - Market phase / instrument status information
PRL_FULL - Full orderbook data, showing updates to each individual order (MBO)
QTE - Best bid / offer quotes
RFQ - Data related to a Request for Quote
STAT - Static data, e.g. ISIN, description, security type
TRD - Trades
CME_BARS#
Database includes the following Tables:
DAY - Daily price and statistical data, e.g. closing price, settlement price, open interest
MKT - Market phase / instrument status information
QTE_1M - 1-minute quote bars
TRD_1D - Daily trade bars
TRD_1M - 1-minute trade bars
VWAP_1H - 1-hour VWAP bars
CME_DAILY#
Database includes the following Tables:
DAY - Daily price and statistical data, e.g. closing price, settlement price, open interest
STAT - Static data, e.g. ISIN, description, security type