# CME Group Futures & Options Schemas 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. ## CME Database includes the following tick types: * 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 - DAY Daily price and statistical data, e.g. closing price, settlement price, open interest #### CME - DAY Table Schema | Field | Data Type | Description | |---------------|-------------|----------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------| | SYMBOL_NAME | string | Symbol Name (Exchange Symbol for Equities & ETFs, and Starting with Exchange Product Code for Derivative Markets followed by expiry and strike as appropriate) | | TIMESTAMP | nsectime | Event Timestamp (typically at a nano-second resolution) | | UPDATE_TYPE | string[16] | Type of update | | OPEN | double | Open price for the current trading day | | HIGH | double | DAY: High price for the current trading day TRD_1M: Price of the highest-priced eligible trade in the current bar interval | | LOW | double | DAY: Low price for the current trading day. TRD_1M: Price of the lowest-priced eligible trade in the current bar interval | | CLOSE | double | Closing price | | VOLUME | long | DAY: Total volume traded on the current trading day TRD_1M, VWAP_1H: Total volume of eligible trades in the current bar interval | | ELEC_VOLUME | long | Total volume traded electronically | | BLOCK_VOLUME | long | Total volume of block trades executed on the current day | | SETTLE_PRICE | double | Settlement price | | SETTLE_DATE | string[8] | Trading date to which the settlement price relates (YYYYMMDD) | | OPEN_INT | double | Open interest for futures / options | | OPEN_INT_DATE | string[8] | Trading date to which the open interest relates (YYYYMMDD) | | OMDSEQ | uint | Sequence number allowing ticks of different types at the same timestamp to be sorted into the correct chronological order. e.g. if a trade and a quote have the same timestamp, the one with the lower value of OMDSEQ arrived first. | ### CME - FIXING Fixing prices #### CME - FIXING Table Schema | Field | Data Type | Description | |-------------|-------------|----------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------| | SYMBOL_NAME | string | Symbol Name (Exchange Symbol for Equities & ETFs, and Starting with Exchange Product Code for Derivative Markets followed by expiry and strike as appropriate) | | TIMESTAMP | nsectime | Event Timestamp (typically at a nano-second resolution) | | PRICE | double | TRD: Trade price, IDX: Index value, IND: Indicative price, PRL: Price point to which the depth entry relates, PRL_FULL: Order price, FIXING: Fixing price, RFC: Price associated with a Request for Cross | | OMDSEQ | uint | Sequence number allowing ticks of different types at the same timestamp to be sorted into the correct chronological order. e.g. if a trade and a quote have the same timestamp, the one with the lower value of OMDSEQ arrived first. | ### CME - IND Indicative pricing, e.g. indicative auction prices and imbalance #### CME - IND Table Schema | Field | Data Type | Description | |-------------|-------------|----------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------| | SYMBOL_NAME | string | Symbol Name (Exchange Symbol for Equities & ETFs, and Starting with Exchange Product Code for Derivative Markets followed by expiry and strike as appropriate) | | TIMESTAMP | nsectime | Event Timestamp (typically at a nano-second resolution) | | PRICE | double | TRD: Trade price, IDX: Index value, IND: Indicative price, PRL: Price point to which the depth entry relates, PRL_FULL: Order price, FIXING: Fixing price, RFC: Price associated with a Request for Cross | | SIZE | int | TRD: Trade size, IND: Indicative size, PRL: Size at the relevant price point, PRL_FULL: Order size, RFQ: Size associated with a Request for Quote, RFC: Size associated with a Request for Cross | | OMDSEQ | uint | Sequence number allowing ticks of different types at the same timestamp to be sorted into the correct chronological order. e.g. if a trade and a quote have the same timestamp, the one with the lower value of OMDSEQ arrived first. | ### CME - LULD Limit Up / Limit Down price levels #### CME - LULD Table Schema | Field | Data Type | Description | |--------------------|-------------|----------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------| | SYMBOL_NAME | string | Symbol Name (Exchange Symbol for Equities & ETFs, and Starting with Exchange Product Code for Derivative Markets followed by expiry and strike as appropriate) | | TIMESTAMP | nsectime | Event Timestamp (typically at a nano-second resolution) | | HIGH_LIMIT | double | Upper trading limit / circuit breaker level | | LOW_LIMIT | double | Lower trading limit / circuit breaker level | | DYNAMIC_PRICE_BAND | double | Maximum price movement from one trade to the next | | OMDSEQ | uint | Sequence number allowing ticks of different types at the same timestamp to be sorted into the correct chronological order. e.g. if a trade and a quote have the same timestamp, the one with the lower value of OMDSEQ arrived first. | ### CME - MKT Market phase / instrument status information #### CME - MKT Table Schema | Field | Data Type | Description | |--------------|-------------|----------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------| | SYMBOL_NAME | string | Symbol Name (Exchange Symbol for Equities & ETFs, and Starting with Exchange Product Code for Derivative Markets followed by expiry and strike as appropriate) | | TIMESTAMP | nsectime | Event Timestamp (typically at a nano-second resolution) | | TRADING_DATE | string[8] | Identifies the current business date (YYYYMMDD). May be different to the calendar date, e.g. for T+1 trading sessions. | | MKT_PHASE | string[6] | Indicates the instrument’s current market phase, as specified by the trading venue | | REASON_CODE | string[4] | Reason for an instrument status update | | EVENT_CODE | string[4] | Event that triggered an instrument status update | | OMD_STATUS | string[1] | Indicates an instrument’s current trading status. Values are normalized across all DBs. | | OMDSEQ | uint | Sequence number allowing ticks of different types at the same timestamp to be sorted into the correct chronological order. e.g. if a trade and a quote have the same timestamp, the one with the lower value of OMDSEQ arrived first. | ### CME - PRL_FULL Full orderbook data, showing updates to each individual order (MBO) #### CME - PRL_FULL Table Schema | Field | Data Type | Description | |---------------|-------------|----------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------| | SYMBOL_NAME | string | Symbol Name (Exchange Symbol for Equities & ETFs, and Starting with Exchange Product Code for Derivative Markets followed by expiry and strike as appropriate) | | TIMESTAMP | nsectime | Event Timestamp (typically at a nano-second resolution) | | UPDATE_TYPE | string[1] | Type of update | | ORDER_ID | string[20] | Order identifier, uniquely identifying an order at any given point in time. Uniqueness depends on the exchange - e.g. may be globally unique, or unique per trading day, or per instrument per trading day. | | BUY_SELL_FLAG | int | Orderbook side (0 - Buy, 1 - Sell) | | ORDER_TYPE | string[1] | Type of order. | | PRICE | double | TRD: Trade price, IDX: Index value, IND: Indicative price, PRL: Price point to which the depth entry relates, PRL_FULL: Order price, FIXING: Fixing price, RFC: Price associated with a Request for Cross | | SIZE | int | TRD: Trade size, IND: Indicative size, PRL: Size at the relevant price point, PRL_FULL: Order size, RFQ: Size associated with a Request for Quote, RFC: Size associated with a Request for Cross | | TIME_PRIORITY | long | Time priority of an order in the order queue. If two standard orders on the same side have the same price, the one with the lower value of TIME_PRIORITY will be executed first. | | TRADE_ID | string[16] | Trade identifier, generally the ID assigned by the matching engine | | FILL_SIZE | int | Size filled in an order execution event | | OLD_PRICE | double | Previous price of an order | | OLD_SIZE | int | Previous size of an order | | RECORD_TYPE | string[1] | Type of depth update. | | DELETED_TIME | nsectime | Internal OneTick field. Usually null unless hidden ticks are requested (e.g. SHOW_HIDDEN_TICKS). | | TICK_STATUS | int | Internal OneTick field. Always 0 unless hidden ticks are requested (e.g. SHOW_HIDDEN_TICKS). | | OMDSEQ | uint | Sequence number allowing ticks of different types at the same timestamp to be sorted into the correct chronological order. e.g. if a trade and a quote have the same timestamp, the one with the lower value of OMDSEQ arrived first. | ### CME - QTE Best bid / offer quotes #### CME - QTE Table Schema | Field | Data Type | Description | |------------------|-------------|----------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------| | SYMBOL_NAME | string | Symbol Name (Exchange Symbol for Equities & ETFs, and Starting with Exchange Product Code for Derivative Markets followed by expiry and strike as appropriate) | | TIMESTAMP | nsectime | Event Timestamp (typically at a nano-second resolution) | | BID_PRICE | double | Best bid price. A null value is used if the bid side is empty, or if the best bid is set by unpriced orders (e.g. market orders) | | BID_SIZE | int | Best bid size | | BID_NUM_ORDERS | short | Number of orders at the best bid price | | BID_SIZE_IMPLIED | int | Volume of implied orders included in the best bid size (best bid size = implied bid size + outright bid size) | | ASK_PRICE | double | Best ask price. A null value is used if the ask side is empty, or if the best ask is set by unpriced orders (e.g. market orders) | | ASK_SIZE | int | Best ask size | | ASK_NUM_ORDERS | short | Number of orders at the best ask price | | ASK_SIZE_IMPLIED | int | Volume of implied orders included in the best ask size (best ask size = implied ask size + outright ask size) | | OMDSEQ | uint | Sequence number allowing ticks of different types at the same timestamp to be sorted into the correct chronological order. e.g. if a trade and a quote have the same timestamp, the one with the lower value of OMDSEQ arrived first. | ### CME - RFQ Data related to a Request for Quote #### CME - RFQ Table Schema | Field | Data Type | Description | |-------------|-------------|----------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------| | SYMBOL_NAME | string | Symbol Name (Exchange Symbol for Equities & ETFs, and Starting with Exchange Product Code for Derivative Markets followed by expiry and strike as appropriate) | | TIMESTAMP | nsectime | Event Timestamp (typically at a nano-second resolution) | | RFQ_ID | string[25] | Uniquely identifies a Request for Quote | | SIZE | int | TRD: Trade size, IND: Indicative size, PRL: Size at the relevant price point, PRL_FULL: Order size, RFQ: Size associated with a Request for Quote, RFC: Size associated with a Request for Cross | | RFQ_SIDE | string[6] | Side to which a Request for Quote applies | | OMDSEQ | uint | Sequence number allowing ticks of different types at the same timestamp to be sorted into the correct chronological order. e.g. if a trade and a quote have the same timestamp, the one with the lower value of OMDSEQ arrived first. | ### CME - STAT Static data, e.g. ISIN, description, security type #### CME - STAT Table Schema | Field | Data Type | Description | |-------------------------|-------------|--------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------| | SYMBOL_NAME | string | Symbol Name (Exchange Symbol for Equities & ETFs, and Starting with Exchange Product Code for Derivative Markets followed by expiry and strike as appropriate) | | TIMESTAMP | nsectime | Event Timestamp (typically at a nano-second resolution) | | NAME | string[250] | Description of the instrument | | EXCH_SYMBOL | string[30] | Ticker symbol specified by the exchange | | UNDERLYING_SYMBOL | string[40] | Symbol of the underlying instrument | | UNDERLYING_EXCH_SYMBOL | string[30] | Ticker symbol of the underlying instrument, as specified by the exchange | | TRADING_CODE | string[20] | ID used to identify the instrument in the trading system | | PRODUCT_CODE | string[20] | Root code of a futures / options product, as specified by the exchange (e.g. CL for Crude Oil futures on NYMEX). For inter-product spreads, PRODUCT_CODE will include both products, e.g. AB-CD for a spread between products AB and CD. | | TRADING_GROUP | string[8] | Trading group to which the instrument belongs. Instruments in the same trading group will have the same trading schedule, order matching algorithm, etc. | | MIC | string[4] | Market Identifier Code (MIC, ISO 10383) identifying the market on which the instrument is traded | | OPERATING_MIC | string[4] | Market Identifier Code (MIC, ISO 10383) of the exchange that operates the market on which the instrument is traded | | SEC_TYPE | string[30] | Security type, e.g. Equity, ETF, Future | | UNDERLYING_SEC_TYPE | string[20] | Underlying asset class | | STRATEGY_TYPE | string[40] | Type of strategy / spread, e.g. Calendar Spread, Futures Butterfly | | EXCH_SEC_TYPE | string[30] | Instrument type as specified by the exchange | | EXCH_STRATEGY_TYPE | string[30] | Type of strategy / spread, as specified by the exchange | | CFI_CODE | string[6] | Classification of Financial Instruments code (ISO 10962), indicating the type of security | | CURRENCY | string[3] | Currency in which the instrument’s price is expressed (or nominal currency for bonds traded as a % of nominal). | | EXPIRATION_DATE | string[8] | Date when a derivative expires (YYYYMMDD) | | LAST_TRADING_TIME | nsectime | Time when the instrument finishes trading on the final trading day | | CONTRACT_SIZE | double | Indicates a derivative’s underlying quantity | | CONTRACT_UNITS | string[25] | Units in which CONTRACT_SIZE is expressed | | STRIKE_PRICE | double | Exercise price for options / warrants | | CALL_PUT_IND | string[1] | C - Call option, P - Put option | | EXERCISE_TYPE | string[1] | Option exercise type (A - American, E - European, B - Bermudan, S - Asian) | | TICK_SIZE_TYPE | string[8] | Indicates the type of tick size carried by TICK_SIZE. Values are Static or Variable. | | TICK_SIZE | string[80] | Tick size / minimum price increment. All order prices must be a multiple of the tick size. | | TICK_VALUE | double | Tick value, i.e. the profit / loss per contract resulting from a price movement equal to TICK_SIZE. | | FRACTIONAL_PRICE_FORMAT | string[10] | Indicates the denominator of the fractional portion of the price, for instruments whose price is conventionally displayed in fractional format. If the display price has a fraction and a subfraction, both are provided, separated by -. | | STRATEGY_LEG_COUNT | int | Number of legs in a strategy (spread) | | STRATEGY_LEGS | string[600] | Comma-separated list of symbols for the legs of a futures / options spread | | STRATEGY_RATIO | string[100] | Comma-separated list of ratios for the legs of a futures / options spread. Ratios are listed in the same order as the symbols in STRATEGY_LEGS. | | HEDGE_LEG_COUNT | int | Number of legs in the hedge portion of a spread (e.g. for option spreads hedged against underlying futures) | | HEDGE_LEGS | string[70] | Comma-separated list of symbols for the hedge portion of a spread | | HEDGE_RATIO | string[40] | Comma-separated list of ratios for the hedge portion of a futures / options spread. Ratios are listed in the same order as the symbols in HEDGE_LEGS. | | HEDGE_PRICE | string[70] | Comma-separated list of prices for the hedge portion of a futures / options spread. Prices are listed in the same order as the symbols in HEDGE_LEGS. | | MIN_TRADE_SIZE | int | Minimum tradable size | | MAX_TRADE_SIZE | int | Maximum tradable size | | ORDER_EXEC_ALGO | string[30] | Algorithm used by the matching engine to prioritise and match orders | | IMPLIED_PRICING | string[1] | Indicates whether a derivative instrument supports implied pricing (Y - Yes, N - No) | | EXCH_PRICE_MULTIPLIER | double | Multiplier used to convert from the exchange’s internal price value used in the matching engine to the monetary price seen in market data | | EXCH_STRIKE_MULTIPLIER | double | Multiplier used to convert from the exchange’s internal strike price to the monetary strike price seen in market data | | EXPIRY_CODE | string[12] | Code identifying a specific futures / options expiry within the exchange system | | EXPIRY_WEEK | string[2] | Identifies the week of the month in which weekly futures / options expire | | OMDSEQ | uint | Sequence number allowing ticks of different types at the same timestamp to be sorted into the correct chronological order. e.g. if a trade and a quote have the same timestamp, the one with the lower value of OMDSEQ arrived first. | ### CME - TRD Trades #### CME - TRD Table Schema | Field | Data Type | Description | |----------------|-------------|----------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------| | SYMBOL_NAME | string | Symbol Name (Exchange Symbol for Equities & ETFs, and Starting with Exchange Product Code for Derivative Markets followed by expiry and strike as appropriate) | | TIMESTAMP | nsectime | Event Timestamp (typically at a nano-second resolution) | | EXCH_TIME | nsectime | Event timestamp, as provided by the exchange. For electronic trading this refers to the matching engine timestamp | | PRICE | double | TRD: Trade price, IDX: Index value, IND: Indicative price, PRL: Price point to which the depth entry relates, PRL_FULL: Order price, FIXING: Fixing price, RFC: Price associated with a Request for Cross | | SIZE | int | TRD: Trade size, IND: Indicative size, PRL: Size at the relevant price point, PRL_FULL: Order size, RFQ: Size associated with a Request for Quote, RFC: Size associated with a Request for Cross | | AGGRESSOR_SIDE | string[1] | Indicates whether a trade resulted from an incoming buy or sell order. | | TRADE_TYPE | string[4] | Type of trade | | TRADE_PERIOD | string[1] | Market period during which a trade was executed. | | BOOK_TYPE | string[1] | Type of order book or trading mechanism through which a trade was executed. | | TRADE_ID | string[16] | Trade identifier, generally the ID assigned by the matching engine | | BUY_ORDER_ID | string[20] | ID of the buy order involved in a trade | | SELL_ORDER_ID | string[20] | ID of the sell order involved in a trade | | DELETED_TIME | msectime | Internal OneTick field. Usually null unless hidden ticks are requested (e.g. SHOW_HIDDEN_TICKS). | | TICK_STATUS | int | Internal OneTick field. Always 0 unless hidden ticks are requested (e.g. SHOW_HIDDEN_TICKS). | | OMDSEQ | uint | Sequence number allowing ticks of different types at the same timestamp to be sorted into the correct chronological order. e.g. if a trade and a quote have the same timestamp, the one with the lower value of OMDSEQ arrived first. | ## CME_BARS Database includes the following tick types: * 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_BARS - DAY Daily price and statistical data, e.g. closing price, settlement price, open interest #### CME_BARS - DAY Table Schema | Field | Data Type | Description | |---------------|-------------|----------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------| | SYMBOL_NAME | string | Symbol Name (Exchange Symbol for Equities & ETFs, and Starting with Exchange Product Code for Derivative Markets followed by expiry and strike as appropriate) | | TIMESTAMP | nsectime | Event Timestamp (typically at a nano-second resolution) | | UPDATE_TYPE | string[16] | Type of update | | OPEN | double | Open price for the current trading day | | HIGH | double | DAY: High price for the current trading day TRD_1M: Price of the highest-priced eligible trade in the current bar interval | | LOW | double | DAY: Low price for the current trading day. TRD_1M: Price of the lowest-priced eligible trade in the current bar interval | | CLOSE | double | Closing price | | VOLUME | long | DAY: Total volume traded on the current trading day TRD_1M, VWAP_1H: Total volume of eligible trades in the current bar interval | | ELEC_VOLUME | long | Total volume traded electronically | | BLOCK_VOLUME | long | Total volume of block trades executed on the current day | | SETTLE_PRICE | double | Settlement price | | SETTLE_DATE | string[8] | Trading date to which the settlement price relates (YYYYMMDD) | | OPEN_INT | double | Open interest for futures / options | | OPEN_INT_DATE | string[8] | Trading date to which the open interest relates (YYYYMMDD) | | OMDSEQ | uint | Sequence number allowing ticks of different types at the same timestamp to be sorted into the correct chronological order. e.g. if a trade and a quote have the same timestamp, the one with the lower value of OMDSEQ arrived first. | ### CME_BARS - MKT Market phase / instrument status information #### CME_BARS - MKT Table Schema | Field | Data Type | Description | |--------------|-------------|----------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------| | SYMBOL_NAME | string | Symbol Name (Exchange Symbol for Equities & ETFs, and Starting with Exchange Product Code for Derivative Markets followed by expiry and strike as appropriate) | | TIMESTAMP | nsectime | Event Timestamp (typically at a nano-second resolution) | | OMD_STATUS | string[64] | Indicates an instrument’s current trading status. Values are normalized across all DBs. | | TRADING_DATE | string[8] | Identifies the current business date (YYYYMMDD). May be different to the calendar date, e.g. for T+1 trading sessions. | | MKT_PHASE | string[6] | Indicates the instrument’s current market phase, as specified by the trading venue | | REASON_CODE | string[4] | Reason for an instrument status update | | EVENT_CODE | string[4] | Event that triggered an instrument status update | | OMDSEQ | uint | Sequence number allowing ticks of different types at the same timestamp to be sorted into the correct chronological order. e.g. if a trade and a quote have the same timestamp, the one with the lower value of OMDSEQ arrived first. | ### CME_BARS - QTE_1M 1-minute quote bars #### CME_BARS - QTE_1M Table Schema | Field | Data Type | Description | |-----------------------|-------------|---------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------| | SYMBOL_NAME | string | Symbol Name (Exchange Symbol for Equities & ETFs, and Starting with Exchange Product Code for Derivative Markets followed by expiry and strike as appropriate) | | TIMESTAMP | nsectime | Event Timestamp (typically at a nano-second resolution) | | FIRST_BID_TIME | nsectime | Time of the first best bid update in the current bar interval | | FIRST_BID_PRICE | double | Price of the first best bid update in the current bar interval | | FIRST_BID_SIZE | long | Size of the first best bid update in the current bar interval | | FIRST_ASK_TIME | nsectime | Time of the first best ask update in the current bar interval | | FIRST_ASK_PRICE | double | Price of the first best ask update in the current bar interval | | FIRST_ASK_SIZE | long | Size of the first best ask update in the current bar interval | | HIGH_BID_TIME | nsectime | Time of the bid quote that set HIGH_BID. If there are multiple quotes at that price, the first one is used. | | HIGH_BID | double | Highest bid price in the current bar interval | | HIGH_BID_SIZE | long | Size of the bid quote that set HIGH_BID. If there are multiple quotes at that price, the first one is used. | | ASK_PRICE_AT_HIGH_BID | double | Ask price of the quote that set HIGH_BID. If there are multiple bid quotes at HIGH_BID, the first one is used. | | ASK_SIZE_AT_HIGH_BID | long | Ask size of the quote that set HIGH_BID. If there are multiple bid quotes at HIGH_BID, the first one is used. | | LOW_ASK_TIME | nsectime | Time of the bid quote that set LOW_ASK. If there are multiple quotes at that price, the first one is used. | | LOW_ASK | double | Lowest ask price in the current bar interval | | LOW_ASK_SIZE | long | Size of the ask quote that set LOW_ASK. If there are multiple quotes at that price, the first one is used. | | BID_PRICE_AT_LOW_ASK | double | Bid price of the quote that set LOW_ASK. If there are multiple ask quotes at LOW_ASK, the first one is used. | | BID_SIZE_LOW_ASK | long | Bid size of the quote that set LOW_ASK. If there are multiple ask quotes at LOW_ASK, the first one is used. | | LAST_BID_TIME | nsectime | Time of the last best bid update in the current bar interval | | LAST_BID_PRICE | double | Price of the last best bid update in the current bar interval | | LAST_BID_SIZE | long | Size of the last best bid update in the current bar interval | | LAST_ASK_TIME | nsectime | Time of the last best ask update in the current bar interval | | LAST_ASK_PRICE | double | Price of the last best ask update in the current bar interval | | LAST_ASK_SIZE | long | Size of the last best ask update in the current bar interval | | MID_TWAP | double | Time-weighted average of the midpoint of the best bid/ask over the current bar interval. [Note: One-sided or empty quotes are excluded from the calculation] | | MID_MEDIAN | double | Median of the midpoint of the best bid/ask quotes over the current bar interval. [Note: One-sided or empty quotes are excluded from the calculation] | | MID_LAST | double | Midpoint of the last best bid/ask in the current bar interval. [Note: One-sided or empty quotes are excluded from the calculation] | | SPREAD_MIN | double | Narrowest bid/ask spread, i.e. the lowest value of (best ask price - best bid price) over the current bar interval. [Note: May be zero or negative if the book was locked/crossed. One-sided or empty quotes are excluded from the calculation] | | SPREAD_MAX | double | Widest bid/ask spread, i.e. the highest value of (best ask price - best bid price) over the current bar interval. [Note: May be zero or negative if the book was locked/crossed. One-sided or empty quotes are excluded from the calculation] | | SPREAD_TWAP | double | Time-weighted average of (best ask price - best bid price) over the current bar interval. [Note: May be zero or negative if the book was locked/crossed. One-sided or empty quotes are excluded from the calculation] | | SPREAD_MEDIAN | double | Median value of (best ask price - best bid price) over the current bar interval. [Note: May be zero or negative if the book was locked/crossed. One-sided or empty quotes are excluded from the calculation] | | SPREAD_LAST | double | Last value of (best ask price - best bid price) over the current bar interval. [Note: May be zero or negative if the book was locked/crossed. One-sided or empty quotes are excluded from the calculation] | | QUOTE_CURRENCY | string[3] | Currency in which a quote price is expressed. | | QUOTE_TICK_COUNT | long | Number of BBO quotes in the current bar interval | | CLOUD_DB | string[32] | In composite DBs: Identifies the source database for each tick. In bars DBs: Identifies the database containing the tick data used to calculate the bars. | | OMDSEQ | uint | Sequence number allowing ticks of different types at the same timestamp to be sorted into the correct chronological order. e.g. if a trade and a quote have the same timestamp, the one with the lower value of OMDSEQ arrived first. | ### CME_BARS - TRD_1D Daily trade bars #### CME_BARS - TRD_1D Table Schema | Field | Data Type | Description | |------------------|-------------|----------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------| | SYMBOL_NAME | string | Symbol Name (Exchange Symbol for Equities & ETFs, and Starting with Exchange Product Code for Derivative Markets followed by expiry and strike as appropriate) | | TIMESTAMP | nsectime | Event Timestamp (typically at a nano-second resolution) | | FIRST_TIME | nsectime | Timestamp of the first eligible trade in the current bar interval | | FIRST | double | Price of the first eligible trade in the current bar interval | | FIRST_SIZE | long | Size of the first eligible trade in the current bar interval | | HIGH_TIME | nsectime | Timestamp of the highest-priced eligible trade in the current bar interval. If there are multiple eligible trades at that price, the first one is used. | | HIGH | double | DAY: High price for the current trading day TRD_1M: Price of the highest-priced eligible trade in the current bar interval | | HIGH_SIZE | long | Size of the highest-priced eligible trade in the current bar interval. If there are multiple eligible trades at that price, the first one is used. | | LOW_TIME | nsectime | Timestamp of the lowest-priced eligible trade in the current bar interval. If there are multiple eligible trades at that price, the first one is used. | | LOW | double | DAY: Low price for the current trading day. TRD_1M: Price of the lowest-priced eligible trade in the current bar interval | | LOW_SIZE | long | Size of the lowest-priced eligible trade in the current bar interval. If there are multiple eligible trades at that price, the first one is used. | | LAST_TIME | nsectime | Timestamp of the last eligible trade in the current bar interval | | LAST | double | Price of the last eligible trade in the current bar interval | | LAST_SIZE | long | Size of the last eligible trade in the current bar interval | | VWAP | double | Volume-weighted average price | | TWAP | double | TIme-weighted average price | | VOLUME | long | DAY: Total volume traded on the current trading day TRD_1M, VWAP_1H: Total volume of eligible trades in the current bar interval | | BUY_VOLUME | long | Traded volume originating from incoming buy orders. Excludes trades involving hidden orders, as well as off-book trades and auction trades, for the which the side of the aggressive order is undefined or unknown. | | SELL_VOLUME | long | Traded volume originating from incoming sell orders. Excludes trades involving hidden orders, as well as off-book trades and auction trades, for the which the side of the aggressive order is undefined or unknown. | | TRADE_CURRENCY | string[3] | Currency in which a trade was executed. | | TRADE_TICK_COUNT | long | Number of eligible trades in the current bar interval | | CLOUD_DB | string[32] | In composite DBs: Identifies the source database for each tick. In bars DBs: Identifies the database containing the tick data used to calculate the bars. | | OMDSEQ | uint | Sequence number allowing ticks of different types at the same timestamp to be sorted into the correct chronological order. e.g. if a trade and a quote have the same timestamp, the one with the lower value of OMDSEQ arrived first. | ### CME_BARS - TRD_1M 1-minute trade bars #### CME_BARS - TRD_1M Table Schema | Field | Data Type | Description | |------------------|-------------|----------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------| | SYMBOL_NAME | string | Symbol Name (Exchange Symbol for Equities & ETFs, and Starting with Exchange Product Code for Derivative Markets followed by expiry and strike as appropriate) | | TIMESTAMP | nsectime | Event Timestamp (typically at a nano-second resolution) | | FIRST_TIME | nsectime | Timestamp of the first eligible trade in the current bar interval | | FIRST | double | Price of the first eligible trade in the current bar interval | | FIRST_SIZE | long | Size of the first eligible trade in the current bar interval | | HIGH_TIME | nsectime | Timestamp of the highest-priced eligible trade in the current bar interval. If there are multiple eligible trades at that price, the first one is used. | | HIGH | double | DAY: High price for the current trading day TRD_1M: Price of the highest-priced eligible trade in the current bar interval | | HIGH_SIZE | long | Size of the highest-priced eligible trade in the current bar interval. If there are multiple eligible trades at that price, the first one is used. | | LOW_TIME | nsectime | Timestamp of the lowest-priced eligible trade in the current bar interval. If there are multiple eligible trades at that price, the first one is used. | | LOW | double | DAY: Low price for the current trading day. TRD_1M: Price of the lowest-priced eligible trade in the current bar interval | | LOW_SIZE | long | Size of the lowest-priced eligible trade in the current bar interval. If there are multiple eligible trades at that price, the first one is used. | | LAST_TIME | nsectime | Timestamp of the last eligible trade in the current bar interval | | LAST | double | Price of the last eligible trade in the current bar interval | | LAST_SIZE | long | Size of the last eligible trade in the current bar interval | | VWAP | double | Volume-weighted average price | | TWAP | double | TIme-weighted average price | | VOLUME | long | DAY: Total volume traded on the current trading day TRD_1M, VWAP_1H: Total volume of eligible trades in the current bar interval | | BUY_VOLUME | long | Traded volume originating from incoming buy orders. Excludes trades involving hidden orders, as well as off-book trades and auction trades, for the which the side of the aggressive order is undefined or unknown. | | SELL_VOLUME | long | Traded volume originating from incoming sell orders. Excludes trades involving hidden orders, as well as off-book trades and auction trades, for the which the side of the aggressive order is undefined or unknown. | | TRADE_CURRENCY | string[3] | Currency in which a trade was executed. | | TRADE_TICK_COUNT | long | Number of eligible trades in the current bar interval | | CLOUD_DB | string[32] | In composite DBs: Identifies the source database for each tick. In bars DBs: Identifies the database containing the tick data used to calculate the bars. | | OMDSEQ | uint | Sequence number allowing ticks of different types at the same timestamp to be sorted into the correct chronological order. e.g. if a trade and a quote have the same timestamp, the one with the lower value of OMDSEQ arrived first. | ### CME_BARS - VWAP_1H 1-hour VWAP bars #### CME_BARS - VWAP_1H Table Schema | Field | Data Type | Description | |-------------|-------------|----------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------| | SYMBOL_NAME | string | Symbol Name (Exchange Symbol for Equities & ETFs, and Starting with Exchange Product Code for Derivative Markets followed by expiry and strike as appropriate) | | TIMESTAMP | nsectime | Event Timestamp (typically at a nano-second resolution) | | VWAP | double | Volume-weighted average price | | TWAP | double | TIme-weighted average price | | VOLUME | double | DAY: Total volume traded on the current trading day TRD_1M, VWAP_1H: Total volume of eligible trades in the current bar interval | | CURRENCY | string[64] | Currency in which the instrument’s price is expressed (or nominal currency for bonds traded as a % of nominal). | | CLOUD_DB | string[32] | In composite DBs: Identifies the source database for each tick. In bars DBs: Identifies the database containing the tick data used to calculate the bars. | | OMDSEQ | uint | Sequence number allowing ticks of different types at the same timestamp to be sorted into the correct chronological order. e.g. if a trade and a quote have the same timestamp, the one with the lower value of OMDSEQ arrived first. | ## CME_DAILY Database includes the following tick types: * DAY - Daily price and statistical data, e.g. closing price, settlement price, open interest * STAT - Static data, e.g. ISIN, description, security type ### CME_DAILY - DAY Daily price and statistical data, e.g. closing price, settlement price, open interest #### CME_DAILY - DAY Table Schema | Field | Data Type | Description | |---------------|-------------|----------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------| | SYMBOL_NAME | string | Symbol Name (Exchange Symbol for Equities & ETFs, and Starting with Exchange Product Code for Derivative Markets followed by expiry and strike as appropriate) | | TIMESTAMP | nsectime | Event Timestamp (typically at a nano-second resolution) | | UPDATE_TYPE | string[16] | Type of update | | OPEN | double | Open price for the current trading day | | HIGH | double | DAY: High price for the current trading day TRD_1M: Price of the highest-priced eligible trade in the current bar interval | | LOW | double | DAY: Low price for the current trading day. TRD_1M: Price of the lowest-priced eligible trade in the current bar interval | | CLOSE | double | Closing price | | VOLUME | long | DAY: Total volume traded on the current trading day TRD_1M, VWAP_1H: Total volume of eligible trades in the current bar interval | | ELEC_VOLUME | long | Total volume traded electronically | | BLOCK_VOLUME | long | Total volume of block trades executed on the current day | | SETTLE_PRICE | double | Settlement price | | SETTLE_DATE | string[8] | Trading date to which the settlement price relates (YYYYMMDD) | | OPEN_INT | double | Open interest for futures / options | | OPEN_INT_DATE | string[8] | Trading date to which the open interest relates (YYYYMMDD) | | OMDSEQ | uint | Sequence number allowing ticks of different types at the same timestamp to be sorted into the correct chronological order. e.g. if a trade and a quote have the same timestamp, the one with the lower value of OMDSEQ arrived first. | ### CME_DAILY - STAT Static data, e.g. ISIN, description, security type #### CME_DAILY - STAT Table Schema | Field | Data Type | Description | |-------------------------|-------------|--------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------| | SYMBOL_NAME | string | Symbol Name (Exchange Symbol for Equities & ETFs, and Starting with Exchange Product Code for Derivative Markets followed by expiry and strike as appropriate) | | TIMESTAMP | nsectime | Event Timestamp (typically at a nano-second resolution) | | NAME | string[250] | Description of the instrument | | EXCH_SYMBOL | string[30] | Ticker symbol specified by the exchange | | UNDERLYING_SYMBOL | string[40] | Symbol of the underlying instrument | | UNDERLYING_EXCH_SYMBOL | string[30] | Ticker symbol of the underlying instrument, as specified by the exchange | | TRADING_CODE | string[20] | ID used to identify the instrument in the trading system | | PRODUCT_CODE | string[20] | Root code of a futures / options product, as specified by the exchange (e.g. CL for Crude Oil futures on NYMEX). For inter-product spreads, PRODUCT_CODE will include both products, e.g. AB-CD for a spread between products AB and CD. | | TRADING_GROUP | string[8] | Trading group to which the instrument belongs. Instruments in the same trading group will have the same trading schedule, order matching algorithm, etc. | | MIC | string[4] | Market Identifier Code (MIC, ISO 10383) identifying the market on which the instrument is traded | | OPERATING_MIC | string[4] | Market Identifier Code (MIC, ISO 10383) of the exchange that operates the market on which the instrument is traded | | SEC_TYPE | string[30] | Security type, e.g. Equity, ETF, Future | | UNDERLYING_SEC_TYPE | string[20] | Underlying asset class | | STRATEGY_TYPE | string[40] | Type of strategy / spread, e.g. Calendar Spread, Futures Butterfly | | EXCH_SEC_TYPE | string[30] | Instrument type as specified by the exchange | | EXCH_STRATEGY_TYPE | string[30] | Type of strategy / spread, as specified by the exchange | | CFI_CODE | string[6] | Classification of Financial Instruments code (ISO 10962), indicating the type of security | | CURRENCY | string[3] | Currency in which the instrument’s price is expressed (or nominal currency for bonds traded as a % of nominal). | | EXPIRATION_DATE | string[8] | Date when a derivative expires (YYYYMMDD) | | LAST_TRADING_TIME | nsectime | Time when the instrument finishes trading on the final trading day | | CONTRACT_SIZE | double | Indicates a derivative’s underlying quantity | | CONTRACT_UNITS | string[25] | Units in which CONTRACT_SIZE is expressed | | STRIKE_PRICE | double | Exercise price for options / warrants | | CALL_PUT_IND | string[1] | C - Call option, P - Put option | | EXERCISE_TYPE | string[1] | Option exercise type (A - American, E - European, B - Bermudan, S - Asian) | | TICK_SIZE_TYPE | string[8] | Indicates the type of tick size carried by TICK_SIZE. Values are Static or Variable. | | TICK_SIZE | string[80] | Tick size / minimum price increment. All order prices must be a multiple of the tick size. | | TICK_VALUE | double | Tick value, i.e. the profit / loss per contract resulting from a price movement equal to TICK_SIZE. | | FRACTIONAL_PRICE_FORMAT | string[10] | Indicates the denominator of the fractional portion of the price, for instruments whose price is conventionally displayed in fractional format. If the display price has a fraction and a subfraction, both are provided, separated by -. | | STRATEGY_LEG_COUNT | int | Number of legs in a strategy (spread) | | STRATEGY_LEGS | string[600] | Comma-separated list of symbols for the legs of a futures / options spread | | STRATEGY_RATIO | string[100] | Comma-separated list of ratios for the legs of a futures / options spread. Ratios are listed in the same order as the symbols in STRATEGY_LEGS. | | HEDGE_LEG_COUNT | int | Number of legs in the hedge portion of a spread (e.g. for option spreads hedged against underlying futures) | | HEDGE_LEGS | string[70] | Comma-separated list of symbols for the hedge portion of a spread | | HEDGE_RATIO | string[40] | Comma-separated list of ratios for the hedge portion of a futures / options spread. Ratios are listed in the same order as the symbols in HEDGE_LEGS. | | HEDGE_PRICE | string[70] | Comma-separated list of prices for the hedge portion of a futures / options spread. Prices are listed in the same order as the symbols in HEDGE_LEGS. | | MIN_TRADE_SIZE | int | Minimum tradable size | | MAX_TRADE_SIZE | int | Maximum tradable size | | ORDER_EXEC_ALGO | string[30] | Algorithm used by the matching engine to prioritise and match orders | | IMPLIED_PRICING | string[1] | Indicates whether a derivative instrument supports implied pricing (Y - Yes, N - No) | | EXCH_PRICE_MULTIPLIER | double | Multiplier used to convert from the exchange’s internal price value used in the matching engine to the monetary price seen in market data | | EXCH_STRIKE_MULTIPLIER | double | Multiplier used to convert from the exchange’s internal strike price to the monetary strike price seen in market data | | EXPIRY_CODE | string[12] | Code identifying a specific futures / options expiry within the exchange system | | EXPIRY_WEEK | string[2] | Identifies the week of the month in which weekly futures / options expire | | OMDSEQ | uint | Sequence number allowing ticks of different types at the same timestamp to be sorted into the correct chronological order. e.g. if a trade and a quote have the same timestamp, the one with the lower value of OMDSEQ arrived first. |