|
The CME Volume by Price file is made available in the early evening. The files are named
vpyymmdd.zip. Inside each
Zip file is a text file named
vpyymmdd. For more information about this file, please see the
Volume By Price FAQ. Each file
contains a record of total volume for each contract at each price for the trading day.
Effective 9/1/04, the Volume by Price FTP files no longer contain CTI data.
CME made a small change by adding the Expanded Commodity Code field to the
Volume by Price FTP file on 9/23/05. The updated file layout guide is reflected below.
CME RTH File Layout
|
Length
|
From
|
To
|
Datatype*
|
Format
|
Description & Comments
|
| 1 |
1 |
1 |
|
|
SOH Control Character |
| 1 |
2 |
2 |
AN |
X |
Exchange ID |
| 2 |
3 |
4 |
AN |
XX |
Vendor ID |
| 1 |
5 |
5 |
AN |
X |
Category Code |
| 1 |
6 |
6 |
AN |
X |
Type Code |
| 6 |
7 |
12 |
N |
9(6) |
Message Sequence Number |
| 2 |
13 |
14 |
N |
99 |
Hour |
| 2 |
15 |
16 |
N |
99 |
Minute |
| 2 |
17 |
18 |
N |
99 |
Second |
| 1 |
19 |
19 |
|
|
STX Control Character |
| 2 |
20 |
21 |
AN |
XX |
Commodity Code |
| 1 |
22 |
22 |
A |
X |
Contract Month Ticker Symbol |
| 1 |
23 |
23 |
N |
9 |
Contract Last Digit of Year |
| 1 |
24 |
24 |
N |
9 |
Decimal Locator for Price |
| 1 |
25 |
25 |
AN |
X |
Put/Call Indicator (Blank=Futures; P=Put; C=Call) |
| 1 |
26 |
26 |
N |
9 |
Strike Price Decimal Locator |
| 7 |
27 |
33 |
N |
9(7) |
Strike Price |
| 2 |
34 |
35 |
N |
99 |
Trade Date Year |
| 2 |
36 |
37 |
N |
99 |
Trade Date Month |
| 2 |
38 |
39 |
N |
99 |
Trade Date Day |
| 2 |
40 |
41 |
AN |
XX |
Session ID |
| 6 |
42 |
47 |
N |
9(6) |
Trade Price |
| 7 |
48 |
54 |
N |
9(7) |
Total Volume |
| 7 |
55 |
61 |
N |
9(7) |
CTI-1 Volume |
| 7 |
62 |
68 |
N |
9(7) |
CTI-2 Volume |
| 7 |
69 |
75 |
N |
9(7) |
CTI-3 Volume |
| 7 |
76 |
82 |
N |
9(7) |
CTI-4 Volume |
| 20 |
83 |
102 |
AN |
X(20) |
Brackets - RTH/Globex
|
| 1 |
103 |
103 |
AN |
X |
ETX Control Character |
| 3 |
104 |
106 |
AN |
XX |
Expanded Commodity Code
|
| 24 |
107 |
130 |
AN |
X(24) |
Filler |
CME Globex File Layout
|
Length
|
From
|
To
|
Datatype*
|
Format
|
Description & Comments
|
| 1 |
1 |
1 |
|
|
SOH Control Character |
| 1 |
2 |
2 |
AN |
X |
Exchange ID |
| 2 |
3 |
4 |
AN |
XX |
Vendor ID |
| 1 |
5 |
5 |
AN |
X |
Category Code |
| 1 |
6 |
6 |
AN |
X |
Type Code |
| 6 |
7 |
12 |
N |
9(6) |
Message Sequence Number |
| 2 |
13 |
14 |
N |
99 |
Hour |
| 2 |
15 |
16 |
N |
99 |
Minute |
| 2 |
17 |
18 |
N |
99 |
Second |
| 1 |
19 |
19 |
|
|
STX Control Character |
| 2 |
20 |
21 |
AN |
XX |
Commodity Code |
| 1 |
22 |
22 |
A |
X |
Contract Month Ticker Symbol |
| 1 |
23 |
23 |
N |
9 |
Contract Last Digit of Year |
| 1 |
24 |
24 |
N |
9 |
Decimal Locator for Price |
| 1 |
25 |
25 |
AN |
X |
Put/Call Indicator (Blank=Futures; P=Put; C=Call) |
| 1 |
26 |
26 |
N |
9 |
Strike Price Decimal Locator |
| 7 |
27 |
33 |
N |
9(7) |
Strike Price |
| 2 |
34 |
35 |
N |
99 |
Trade Date Year |
| 2 |
36 |
37 |
N |
99 |
Trade Date Month |
| 2 |
38 |
39 |
N |
99 |
Trade Date Day |
| 2 |
40 |
41 |
AN |
XX |
Session ID |
| 6 |
42 |
47 |
N |
9(6) |
Trade Price |
| 7 |
48 |
54 |
N |
9(7) |
Total Volume |
| 7 |
55 |
61 |
N |
9(7) |
CTI-1 Volume |
| 7 |
62 |
68 |
N |
9(7) |
CTI-2 Volume |
| 7 |
69 |
75 |
N |
9(7) |
CTI-3 Volume |
| 7 |
76 |
82 |
N |
9(7) |
CTI-4 Volume |
| 20 |
83 |
132 |
AN |
X(50) |
Brackets - RTH/Globex
|
| 1 |
133 |
133 |
AN |
X |
ETX Control Character |
| 3 |
134 |
136 |
AN |
XX |
Expanded Commodity Code
|
| 24 |
137 |
160 |
AN |
X(24) |
Filler |
|
