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I downloaded the “E-mini S&P 500 (Dollar) Options for 1/10/11” Top-of-Book (BBO) data. If you are interested you may download the data from the following link (approx. 80MB zipped and 1GB unzipped)

http://www.cmegroup.com/market-data/datamine-historical-data/files/XCME_ES_OPT_110110.zip

The data fields are described in the Best Bid Best Offer ASCII Layout table which can be found in the following link

http://www.cmegroup.com/confluence/display/EPICSANDBOX/Best+Bid+Best+Offer+ASCII+Layout

The basic idea is that each observation contains information about the Best Bid (highest buying quote) or Best Offer (Ask – the lowest selling quote) or the last trade.

I don’t understand the meaning of some of the Data Fields. I extensively searched the CME website but couldn’t find any answer. The data fields that puzzle me are the following

  1. Close/Open Type: Indicator for Open ( O ) / Close ( C )
  2. Valid Open Exception: Indicator for Special Open ( O )
  3. Post Close: Indicator for prices traded after the market close ( P )
  4. Insert Code Type: Indicator for Inserted prices ( I )
  5. Fast/Late Indicator: Indicator for Fast/Late Market ( F )
  6. Cabinet Indicator: Indicator for cabinet trades ( $ )
  7. Book Indicator: Indicator for Book quotes ( B )

The reason I want to understand these fields is because I am trying to match this database with similar database provided by the Options Price Reporting Authority (OPRA). The data were obtained by TickData. The documentation may be found in the following link

https://s3-us-west-2.amazonaws.com/tick-data-s3/pdf/TickData_File_Format_Overview_US_Options.pdf

The basic idea about the TickData data is that each observation contains for each time the best bid/best offer or trade. In addition it provides the OPRA Condition Code for Quote and Trade Records. I hope that if I understand the above data field indicators I will be able to match them with the OPRA Condition Codes.

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  • $\begingroup$ on this website : cmegroup.com/market-data/… it is written : Top-of-Book contains all top bid, bid size, top ask, ask size, last trade, trade volume, and time-stamp data for CME Globex-traded products so we may think that the data fields you are talking about are not included in those files. I have download the file and open it, the problem is that there is no header, and apparentky no delimiters (except 3 differents groups) so it is difficult to understand this file..Maybe you should ask to the support dept if they can provide the header ? $\endgroup$ – Malick Nov 25 '15 at 20:24
  • $\begingroup$ see also : bfi.uchicago.edu/sites/default/files/file_uploads/… page 6 , but unfortunately there is no details. $\endgroup$ – Malick Nov 25 '15 at 20:34
  • $\begingroup$ Hi Malick. Thank you for your answers. The header files are explained in the link which I provide above. Basically there is only 1 group (not 3). The spaces correspond to empty characters ' ' for a field. The 3rd column tells you where the data field starts and the 4th column where it ends. Hope this helps... $\endgroup$ – conighion Dec 3 '15 at 23:19
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    $\begingroup$ "@Malick I contacted the support dept. I'll post an answer the following days. $\endgroup$ – conighion Dec 3 '15 at 23:35

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