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Spread trading is the simultaneous buying and selling of two related markets with a profit
expectation when the position is offset—one position is bought while another is sold. For example,
a trader could buy one futures contract and sell another futures contract of the same commodity
using a different delivery month.
Spread Trades provides access for up to an accumulation of five rolling days of file layout
data for spread trades for both open outcry and CME® Globex®. Each compressed file contains a file
for each membership type—including CME, International Monetary Market® (IMM), Growth &
Emerging Markets® (GEM) and Index and Option Market® (IOM). If historical spread trades
back to 2000 are needed, they can be accessed through
CME DataMine(SM). Starting
December 1st, 2007 these files will be limited to the last trading day only.
File Layout
| Column |
Description |
Field Type
X=Alpha Numeric
N=Numeric |
Field Width |
| 1 - 3 |
Commodity Code - Leg One |
X |
3 |
| 4 |
Month |
X |
1 |
| 5 - 6 |
Year |
N |
2 |
| 7 |
Put/Call Indicator |
X |
1 |
| 8 - 14 |
Strike Price |
N |
7 |
| 15 - 17 |
Commodity Code - Leg Two |
X |
3 |
| 18 |
Month |
X |
1 |
| 19 - 20 |
Year |
N |
2 |
| 21 |
Put/Call Indicator |
X |
1 |
| 22 - 28 |
Strike Price |
N |
7 |
| 29 - 31 |
Commodity Code - Leg Three (optional) |
X |
3 |
| 32 |
Month |
X |
1 |
| 33 - 34 |
Year |
N |
2 |
| 35 |
Put/Call Indicator |
X |
1 |
| 36 - 42 |
Strike Price |
N |
7 |
| 43 - 45 |
Commodity Code - Leg Four (optional) |
X |
3 |
| 46 |
Month |
X |
1 |
| 47 - 48 |
Year |
N |
2 |
| 49 |
Put/Call Indicator |
X |
1 |
| 50 - 56 |
Strike Price |
N |
7 |
| 57 - 62 |
Points (+/- preceding) |
N |
6 |
| 63 |
Bid/Ask Indicator |
X |
1 |
| 64 |
Action Code (Delete/Add/Change) |
X |
1 |
| 65-70 |
Entry Time |
X |
6 |
| 71-76 |
Entry Date (MMDDYY) |
N |
6 |
| 77-82 |
Trade Date (MMDDYY) |
N |
6 |
| 83-88 |
Quantity |
N |
6 |
| 89 |
Session (E or R) |
X |
1 |
| 90-91 |
Spread Type |
X |
2 |
| 92-101 |
Spread Acronym |
X |
10 |
| 102 |
CAB Indicator |
X |
1 |
| 103-107 |
Filler |
X |
5 |
| 108-110 |
Delta Neutral (DN) Contract |
X |
3 |
| 111-112 |
DN Year |
N |
2 |
| 113 |
DN Month |
N |
1 |
| 114-119 |
DN Price |
N |
6 |
| 120-125 |
DN Quantity |
N |
6 |
| 126 |
DN Ask/Bid Indicator |
X |
1 |
| 127 |
DN Spread Type Indicator |
X |
1 |
| 128-137 |
DN Spread Type Acronym |
X |
10 |
| 138 |
Special Indicator |
X |
1 |
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