Introduction to CME data for MFM Researchers

Transcription

1 Introduction to CME data for MFM Researchers June 29, 2015 This document provides an overview of CME Group DataMine datasets. As a leading derivatives marketplace 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, agricultural 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 1 This document summarizes the decription in the CME Group DataMine data instructions webpage: 1

2 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 volatilities 2 in both pit 3 and electronic tradings. Dates Available CME (Pit) CME (Electronic) CBOT (Pit) CBOT (Electronic) NYMEX (Pit) COMEX (Pit) COMEX (Electronic) January 4, present January 4, present January 3, present August 28, present July 1, present June 25, present January 2, present July 2, 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 Date 2 The implied volatility is calculated based on the preliminary settlement price. 3 The area on the trading floor of where trading in a specific futures or options contracts is conducted by open outcry. 2

3 Sample Report This sample data shows E-mini S&P 500 (Dollar) futures for October 1, 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

4 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) CME (Electronic) CBOT (Pit) CBOT (Electronic) NYMEX (Pit/Electronic) NYMEX (Pit/Electronic) January 4, present June 26, present January 2, present November 24, present December 1, present December 1, present Reported Variables Trade Date (T.Date), Trade Time (T.Time), Trade Sequence Number (Sequence), Session Indicator (Session), 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

5 Sample Report This sample data shows E-mini S&P 500 (Dollar) futures for November 5, 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

6 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) CBOT (Electronic) November 1, present January 14, present December 1, present December 1, 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, 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 EES F I EES F I EES F I EES F I EES F I EES F BI EES F I EES F BI

7 4 Market Depth Data 7 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, February 11, 2006 CME (Electronic) February 1, March 1, 2009 CBOT (Electronic) January 11, March 1, 2009 March 9, March 1, 2009 March 9, March 1, 2009 Fix 8 CME (Electronic) CBOT (Electronic) January 5, present January 5, present January 5, present January 5, 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: 7 An example of recent research that used Market Depth data is Laughlin, Aguirre and Grundfest (2014) Information Transmission between Financial Markets in Chicago and New York. The Financial Review, 49(2): The CME FIX server authenticates the client application s logon ID during the logon process. Only the assigned user ID may be used to logon to the CME FIX server. 7

8 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) CBOT (Pit) NYMEX (Pit) NYMEX (Pit) January 26, present January 2, present October 5, present May 30, present Reported Variables Trade Date, Trade Time, Report Time, Contract Symbol, Product Code, Asset Class, Market Sector, Description, 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

9 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