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Questions tagged [cme]

Questions about the exchanges in the CME Group, including the CME's trading engine, Globex

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Is it Possible to replicate SPAN?

I currently trade intraday Options on the nearest term expiry and futures. Both E-mini S&P. I am trying to replicate the SPAN margin calculation for the entire portfolio of options and futures. So ...
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1answer
131 views

Face Value of SOFR futures

What is the face value of CME 1M and 3M SOFR future contracts? The face value of CME 3M Eurodollar Futures is 1 million.
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65 views

Are bitcoin futures daily settled at T+1 or is there another mechanism?

As in the title, are bitcoin futures daily settled at T+1 or is there another mechanism? Both CBOE and CME
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172 views

CME Rate Hike Probability Calculation

First thing first, CME has a tool to calculate fed rate hike probability from here. As of 11/20/2017, their probability distribution was like this: I have checked a couple Q&A sections on this ...
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178 views

What is the industry standard pricing model for CME traded Eurodollar future option (american)?

The CME traded Eurodollar futures option is an american option. What is the industry standard pricing model for this product? Does the industry practice to treat CME traded Eurodollar futures ...
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1answer
437 views

Margin modelling to backtest futures investment strategy

Let say that I have access to continuous daily time series for 20+ years of data for E-mini S&P 500 Index Futures. I have a long/short strategy to backtest that places orders either on open or ...
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1answer
124 views

How to convert bond options strikes to future prices

CME, 10 year Note Call Strike 1300 How to convert this strike to future price? (today's open at 131'100) For example we can take current prices EOD data for example chart on CMEgroup: http://www....
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183 views

How difficult/easy it is to migrate from CME FAST to CME MDP3.0?

Has anyone gone through this migration? Just wanted to have an idea of the amount of effort required.
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1answer
228 views

Symbols for options on gold futures

I have a historical data set containing only options on gold futures. If I print out a unique list of option symbols I get: ...
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1answer
174 views

Are CME security id's unique and constant over time?

For any given day, CME security IDs are unique - a number will always refer to a single product. Are they unique over time as well? That is, might a new security have a security id that used to be ...
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2answers
362 views

Real-time market data from the exchanges: what should we be aware of?

We receive daily end-of-day data from a data vendor (i.e. not direct from an exchange) and are comfortable with this. We are now wanting to receive live data, and after a few enquiries we are feeling ...
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0answers
70 views

How to interpret CME's specification regarding grains options expirations?

Looking at the contract specifications for Soybean Meal and Soybean Oil (same for Corn, Wheat, and other major stuff I checked) serial options on CME I see the following expiration rule: the last ...
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1answer
673 views

Should I use QuickFix or a 3rd-party commercial API to connect to the CME

I already use QuickFixN to connect to FX ECNs, and am now looking to branch out into futures. Googling it, it seems as if there are a lot of 3rd party APIs which are written to do this, but is there ...
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684 views

Where does CME store Security IDs for FIX messages?

Where does CME store Security IDs for FIX messages? I cannot find them anywhere? So given Security ID XX I can go and work out what product this actually is?
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1answer
818 views

Ordering of CME Level 2 FIX Market data?

The following link contains a file containing CME Level 2 FIX Market/Orderbook data for Corn futures: ftp://ftp.cmegroup.com/datamine_sample_data/md/mdff_cbt_20130714-20130715_7813_0.zip However, ...
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2answers
790 views

CME historical option data provider

Is there any other historical end-of-day CME option data provider rather then CME DataMine? I've searched all the internet and found only CBOE traded options.